Changes in the global oil market

Bataa, Erdenebat and Izzeldin, Marwan and Osborn, Denise (2016) Changes in the global oil market. Energy Economics, 56. pp. 161-176. ISSN 0140-9883

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Changes in the parameters of a recursively identified oil market model are examined through an iterative algorithm that tests for possible breaks in coefficients and variances. The analysis detects breaks in the coefficients of the oil production and price equations, together with volatility shifts in all three equations of the model. Coefficient changes imply an enhanced response of production to aggregate demand shocks after 1980; and that the price response to supply shocks is more persistent from the mid-1990s. All variables evidence changes in the relative contributions of individual shocks to their forecast error variances, with coefficient and volatility breaks in the first half of the 1990s being particularly important in this respect. The results show that analysts of this market should eschew constant parameter models estimated over an extended period.

Item Type:
Journal Article
Journal or Publication Title:
Energy Economics
Additional Information:
This is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Economics, 56, 2016 DOI: 10.1016/j.eneco.2016.03.009
Uncontrolled Keywords:
?? oil price shocksmultiple breaksbreaks in svareconomics and econometricsenergy(all)e42q43 ??
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Deposited On:
30 Mar 2016 07:50
Last Modified:
18 Dec 2023 01:36