Storage scarcity and oil price uncertainty
研究发现油价不确定性会在低波动和高波动状态间内生切换，高波动常伴随价格下跌。本文通过引入存储成本递增和容量约束的存储模型，解释了2007-2023年美国石油市场的波动特征，并指出存储稀缺会放大不确定性。
Recent research has shown how oil price uncertainty tends to switch endogenously between low and high volatility regimes, with high volatility regimes coinciding with declining prices (Cuñado and de Gracia 2003). This is at odds with the canonical storage model - the primary economic model of commodity price volatility. The model predicts lower volatility at lower prices. The purpose of this paper is to show how a reasonable specification of the U.S. oil market with increasing marginal storage cost and constrained storage capacity can explain the major volatility regimes in the market from 2007 to 2023. Volatility increases following negative demand shocks (or positive supply shocks) due to storage capacity becoming increasingly scarce, leading the market to price in higher uncertainty due to less flexible inventory response to supply/demand. • Oil price uncertainty switch endogenously between low and high volatility regimes. • Storage model with limited storage capacity can explain this regularity. • Counterfactual analysis shows how additional capacity reduces price volatility.