| Titre : |
Beyond Supply and Demand: Investigating U.S. Interest Rates as a Key Driver of Crude Oil Price Dynamics |
| Type de document : |
Mémoire |
| Auteurs : |
Sacha BUCHET, Auteur |
| Année de publication : |
2025 |
| Importance : |
49 p. |
| Note générale : |
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| Langues : |
Anglais (eng) |
| Mots-clés : |
Management
RENTABILITE ; STATISTIQUE DESCRIPTIVE
|
| Résumé : |
This dissertation analyses the role of US interest rates, a central measure of monetary policy, in the dynamics of crude oil prices. Over the last few decades, however, crude oil has gone from being a simple physical commodity to an increasingly financialised asset class. This development has profound implications for the dynamics of crude oil prices, particularly in relation to macroeconomic indicators such as interest rates. Understanding the complex interplay between crude oil prices and US interest rates is essential for policymakers, market participants and researchers, especially as the global oil market approaches a pivotal period. The literature review provides a comprehensive review of existing academic studies and statistical models that investigate this relationship. It explores early theoretical treatments that viewed oil prices primarily as a function of supply and demand dynamics, as well as more recent advances that recognise the increasing financialization of commodity markets.
To capture this trend, the thesis introduces its own empirical approach, focusing on the open interest of crude oil futures contracts on the New York Mercantile Exchange (NYMEX). Open interest is used to measure market activity and financial commitment, making it an ideal variable for assessing the degree of financialization of the crude oil market. The central assumption is that open interest in crude oil futures can be modelled as a downward exponential function of the effective federal funds rate, the main measure of short-term interest rates in the US. In other words, when interest rates rise, open interest on crude oil futures tends to fall, suggesting a change in investor behaviour and market dynamics. The results of the analysis support this hypothesis, revealing a statistically significant relationship between the federal funds rate and levels of open interest. This result confirms the increasing role of financial variables in determining the behaviour of crude oil markets.
Importantly, the dissertation places these findings within the broader context of global energy and economic trends. As global oil consumption approaches its expected peak around 2030, the sensitivity of crude oil prices to changes in US interest rates is expected to intensify. This is due both to changes in the fundamental dynamics of oil supply and demand, and to the growing role of financial players and speculative behaviour on the oil futures markets. In this context, traditional pricing models that focus solely on physical market dynamics may be insufficient to capture the complexities of oil price behaviour.
The results suggest that the correlation between US interest rates and crude oil prices will intensify as global oil consumption approaches its peak. This strengthening relationship will have important implications for the Federal Reserve's monetary policy decisions, investors' portfolio allocation strategies and broader inflationary pressures on the economy as a whole.
This research contributes to the growing literature on the financialization of commodities and crude oil while providing practical insights for policymakers, investors and energy market participants navigating into this evolving landscape. |
| Programme : |
MSc Finance |
| Permalink : |
https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=619337 |
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Beyond Supply and Demand: Investigating U.S. Interest Rates as a Key Driver of Crude Oil Price Dynamics / 2025 
