Dynamics of Petroleum Markets in OECD Countries in a Monthly VAR-VEC Model (1995-2007)

M. Asali
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引用次数: 1

Abstract

This paper contains some results of a study in which the dynamics of petroleum markets in the Organization for Economic Cooperation and Development (OECD) is investigated through a vector auto regression (VAR)-vector error correction model. The time series of the model comprises the monthly data for the variables demand for oil in the OECD, WTI in real term as a benchmark oil price, industrial production in OECD as a proxy for income and commercial stocks of crude oil and oil products in OECD for the time period of January 1995 to September 2007. The detailed results of this empirical research are presented in different sections of the paper; nevertheless, the general result that emerges from this study could be summarised as follows: (i) there is convincing evidence of the series being non-stationary and integrated of order one I(1) with clear signs of co-integration relations between the series; (ii) the VAR system of the empirical study appears stable and restores its dynamics as usual, following a shock to the rate of changes of different variables of the model, taking between five and eight periods (months in our case); (iii) we find the lag length of 2 as being optimal for the estimated VAR model; (iv) significant impact of changes in the commercial crude and products' inventory level on oil price and on demand for oil is highlighted in our empirical study and in different formulations of the VAR model, indicating the importance of the changes in the stocks' level on oil market dynamics; and (v) income elasticity of demand for oil appears to be prominent and statistically significant in most estimated models of the VAR system in the long run, while price elasticity of demand for oil is found to be negligible and insignificant in the short run. However, while aggregate oil consumption does not appear to be very sensitive to the changes of oil prices (which is believed to be because of the so-called 'rebound effect' of oil (energy) efficiency in the macro level) in the macro level, the declining trend of oil intensity (oil used for production of unit value of goods and services), particularly when there is an upward trend in oil price, clearly indicates the channels through which persistent changes in oil prices could affect the demand for oil in OECD countries. Copyright 2008 The Author. Journal compilation 2008 Organization of the Petroleum Exporting Countries.
基于月度VAR-VEC模型的经合组织国家石油市场动态(1995-2007)
本文采用向量自回归(VAR)-向量误差修正模型对经济合作与发展组织(OECD)石油市场动态进行了研究。该模型的时间序列包括1995年1月至2007年9月期间经合组织石油需求变量的月度数据,WTI实际值作为基准石油价格,经合组织工业生产作为收入的代理以及经合组织原油和石油产品的商业库存。本实证研究的详细结果在本文的不同章节中呈现;尽管如此,从本研究中得出的一般结果可以总结如下:(i)有令人信服的证据表明,该系列是非平稳的,且为i(1)阶积分,系列之间存在明显的协整关系;(ii)在对模型中不同变量的变化率进行冲击后,实证研究的VAR系统表现稳定,并像往常一样恢复其动态,这需要5到8个周期(在我们的案例中为数月);(iii)我们发现对于估计的VAR模型,滞后长度为2是最优的;(4)在我们的实证研究和VAR模型的不同表述中,商业原油和成品油库存水平的变化对石油价格和石油需求的影响显著,表明库存水平的变化对石油市场动态的重要性;(v)石油需求的收入弹性在长期VAR系统的大多数估计模型中显得突出且统计显著,而石油需求的价格弹性在短期内被发现可以忽略不计且不显著。然而,尽管总石油消费似乎对油价的变化并不十分敏感(这被认为是由于宏观层面上所谓的石油(能源)效率的“反弹效应”),但在宏观层面上,石油强度(用于生产单位价值商品和服务的石油)的下降趋势,特别是当油价呈上升趋势时,清楚地指出了石油价格持续变化可能影响经合组织国家石油需求的渠道。版权所有2008作者。石油输出国组织2008年期刊汇编。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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