{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,29]],"date-time":"2026-05-29T10:20:28Z","timestamp":1780050028190,"version":"3.53.1"},"reference-count":41,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2020,1,20]],"date-time":"2020-01-20T00:00:00Z","timestamp":1579478400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2020,3]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>Oil price fluctuates in response to both demand and supply shocks. This paper proposes a new methodology that allows for timely identification of the shifting contribution from the two types of shock through a joint analysis of crude futures options and stock index options. Historical analysis shows that crude oil price movements are dominated by supply shocks from 2004 to 2008, but demand shocks have become much more dominant since then. The large demand shock following the 2008 financial crisis contributes to the start of this dynamics shift, whereas the subsequent shale revolution has fundamentally altered the crude supply behavior.<\/jats:p>","DOI":"10.1002\/jae.2745","type":"journal-article","created":{"date-parts":[[2019,12,13]],"date-time":"2019-12-13T22:10:10Z","timestamp":1576275010000},"page":"160-175","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["The shale revolution and shifting crude dynamics"],"prefix":"10.1002","volume":"35","author":[{"given":"Malick","family":"Sy","sequence":"first","affiliation":[{"name":"School of Economics, Finance and Marketing College of Business, RMIT University Melbourne Victoria Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Liuren","family":"Wu","sequence":"additional","affiliation":[{"name":"Zicklin School of Business, Baruch College The City University of New York New York USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2020,1,20]]},"reference":[{"key":"e_1_2_8_2_1","volume-title":"Implied stochastic volatility models (Working paper)","author":"Ait\u2010Sahalia Y.","year":"2019"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.215228"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1987.tb02569.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20151569"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.30.1.139"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2011.09.001"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/296025"},{"key":"e_1_2_8_10_1","volume-title":"Central bank policy impacts on the distribution of future interest rates on the distribution of future interest rates (Working paper)","author":"Breeden D. 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