چکیده:
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.
خلاصه ماشینی:
Interactions among OPEC and non-OPEC oil production, global oil consumption, and real oil price are estimated using a structural VAR model (SVAR).
Gulen (1997) carried out Perron’s (1989) Dickey Fuller unit root test with an exogenous structural break (February 1986) found that 2 series of 15 series of cash price and 3 series of 13 series of contractual prices of US and non-US crude oil are stationary at 5%.
Maslyuk and Smyth (2008) studied cash and self price of WTI crude oil and Brent from 1991-2004 as well as LS test showed that each series of oil price can be identified as a random walk process and that, based on events that impacted on global oil markets, endogenous structural breaks are significant.
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).
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's oil production responded significantly to positive shocks of global oil consumption and non-OPEC oil production responded significantly to shocks of OPEC oil production.
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's oil production responded significantly to positive shocks of global oil consumption and non-OPEC oil production responded significantly to shocks of OPEC oil production.