|تعداد مشاهده مقاله||111,535,475|
|تعداد دریافت فایل اصل مقاله||86,168,010|
The Historical and Variance Decomposition for Oil Price, Oil Consumption, OPEC and Non-OPEC Oil Production
|Iranian Economic Review|
|مقاله 4، دوره 21، شماره 3، آذر 2017، صفحه 519-541 اصل مقاله (1023.77 K)|
|شناسه دیجیتال (DOI): 10.22059/ier.2017.62938|
|Somayeh Azami* ؛ Shahram Fattahi؛ Mehdi Rezaei|
|Department of Economics, Faculty of Social Science and Education, Razi University, Kermanshah, Iran|
In this paper, the behavior of the real oil price and OPEC and non-OPEC oil production during 1973-2013 are modelled. Interactions among OPEC, non-OPEC oil production, global oil consumption, and the real price of crude oil are estimated using a Structural VAR model (SVAR). After providing evidence for the structural breaks in oil price in 1996, the results indicate that, according to variance decomposition analysis, during the two periods of 1996-1973 and 2013-1997, OPEC oil production responded significantly to positive shocks of global oil consumption and non-OPEC oil production responded significantly to shocks of OPEC oil production. During the OPEC era (1973-1996), real oil price responded significantly to positive shocks of OPEC oil production and during the new industrial age (1997-2013) responded significantly to positive shocks of global oil consumption. According to historical decomposition, the cumulative effects of structural shocks of non-OPEC oil production and price on OPEC oil production are greater than the cumulative effects of structural shocks of OPEC oil production and real oil price on non-OPEC oil production .Also, cumulative effects of structural shocks of OPEC oil production on real oil price are greater than cumulative effect of structural shocks of non-OPEC oil production on real oil price.
|Keywords: OPEC Oil Production؛ Non-OPEC Oil Production؛ Global Oil Consumption؛ Oil Price. JEL Classification: Q43؛ E32؛ E31|
Alquist, R., & Gervais, O. (2013). The Role of Financial Speculation in Driving the Price of Crude Oil. The Energy Journal, 34(3), 7-40.
Almoguera, A., Douglas, C., & Herrera, M. (2011). Testing for the Cartel in OPEC: Non-Cooperative Collusion or just Non-Cooperative? Oxford Review of Economic Policy, 27, 144-168.
Dées, S., Karadeloglou, P., Kaufmann, R. K., & Sánchez, M. (2007). Modelling the World Oil Market: Assessment of a Quarterly Econometric Model. Energy Policy, 35, 178-191.
Fattouh, B., Kilian, L., & Mahadeva, L. (2013). The Role of Speculation in Oil Markets: What Have We Learned so far? The Energy Journal, 34(3), 7-40.
Gately, D. (2007). What Oil Export Levels Should We Expect from OPEC? The Energy Journal, 28(2), 151-173.
Gately, D., Al-Yousef, N., & Al-Sheikh, Hamad, M. H. (2013). The Rapid Growth of Domestic Oil Consumption in Saudi Arabia and the Opportunity Cost of Oil Exports Foregone. Energy Policy, 47, 57-68.
Ghoshray, A., & Johanson, B. (2010). Trend in World Energy Prices. Energy Economics, 3, 1147-1156.
Gulen, G. S. (1998). Efficiency in the Crude Oil Futures Market. Journal of Energy Finance and Development, 3, 13-21.
Hamilton, J. D. (2013). Historical Oil Shocks. In R. E. Parker, R. M. Whaples (Eds.), Routledge Handbook of Major Events in Economic History. New York: Routledge Taylor and Francis Group.
---------- (2009). Understanding Crude Oil Prices .The Energy Journal, 30(2), 179-206.
Huppmann, D., & Holz, F. (2012). Crude Oil Market Power-a Shift in Recent Years? Energy Journal, 33, 1-22.
Kaufmann, R. K., Bradford, A., Belanger, L. H., Mclaughlin, J. P., & Miki, Y. (2008). Determinants of OPEC Production: Implications for OPEC Behaviour. Energy Economics, 30, 333-351.
Kilian, L. (2009). Not All Oil Prices Shocks Are Alike: Disentangling Demand and Supplyshocks in the Crude Oil Market. Am. Econ. Rev., 99(3), 1053-1069.
Kilian, L., & Hicks, B. (2013). Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008? J. Forecast, 32, 385-394.
Kisswani, Kh. M. (2015). Does OPEC Influence Crude Oil Prices? Testing for Cointegration and Causality Effect. Journal of Economic Research, 20, 231-255.
Kolodzeij, M., & Kaufmann, R. K. (2014). Oil Demand Shocks Reconsidered: A Cointegrated Vector Autoregression. Energy Economics, 41, 33-40.
Lee, J. & Strazicich, M. C. (2004). Minimum LM Unit Root Test with One Structural Break. Working Paper, Retrieved from
---------- (2003). Minimum Lagrange Multiplier Unit Root Test with Tow Structural Breaks. Review of Economics and Statistic, 85, 1082-1090.
Li, R. (2010). The Role of OPEC in the World Oil Market. International Journal of Business and Economics, 9(1), 83-85.
Loutia, A., Mellios, C., & Andriosopoulos, K. (2016). Do OPEC Announcements Influence Oil Prices? Energy Policy, 90, 262-272.
Lumsdiane, R. L., & Pappel, D. H. (1997). Multiple Trend Breaks and the Unit Root Hypothesis. Review of Economics and Statistics, 79, 212-218.
Maslyuk, S., & Smyth, R. (2008). Unit Root Properties of Crude Oil Spot and Futures Prices. Energy Journal, 36(7), 2591-2600.
Perron, P. (1989). The Great Crash, the Oil Price Shock and the unit Root Hypothesis. Econometrica, 57, 1401-1361.
Pindyck, R. S. (1999). The Long-run Evolution of Energy Prices. Energy Journal, 20(2), 1-27.
Postail, F., & Picchetti, P. (2006). Geometric Bronian Motion and structural Breaks in Oil Prices: a Quantitative Analysis. Energy Economics, 28, 506-522.
Ramcharran, H. (2001). OPEC’s Production under Fluctuating Oil prices: further Test of the Target Revenue Theory. Energy Economics, 23, 667-681.
Ratti, R., A., & Vespegnani, J. L. (2015). OPEC and Non-OPEC Oil Production and the Global Economy. Energy Economics, 50, 364-378.
Rowland, Ch. S., & Mjelde, J. W. (2016). Politics and Petroleum: Unintended Implications of Global Oil Demand Reduction Policies. Energy Research & Social Science, 11, 209-224.
Sadorsky, P. (1999). Oil Price Shocks and Stock Market Activity. Energy Economics, 5, 449-469.
Saikkonen, P., & Lutkepohl, H. (2000). Testing for the Cointegrating Rank of a VAR. Journal of Business & Economic Statistics, 18(4), 451-464.
Serlites, A. (1992). Unit Root Behavior in Energy Futures Prices. Energy Journal, 13(2), 119-128.
Simpson, J. L. (2008). The Effect of OPEC Production Allocations on Oil Prices. Working Paper, Retrieved from
Smith, J. L. (2009). World Oil: Market or Mayhem? Journal of Economic Prospectives, 23(3), 145-64.
Wirl, F. (2008). Why Do Oil Prices Jump (or Fall)? Energy Policy, 36(3), 1029-1043.
Zivot, E., & Andrews, D. W. K. (1992). Further Evidence on the Great Crash, the oil Price Shock, and the Unit Root Hypothsis. Journal of Business and Economic Statistics, 10, 251-270.
تعداد مشاهده مقاله: 988
تعداد دریافت فایل اصل مقاله: 935