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Oil Price Shocks and Macroeconomic Responses: Does the Exchange Rate Regime Matter? 油价冲击与宏观经济反应:汇率制度重要吗?
SRPN: Oil (Topic) Pub Date : 2013-03-01 DOI: 10.1111/j.1753-0237.2012.00226.x
A. Al-Abri
{"title":"Oil Price Shocks and Macroeconomic Responses: Does the Exchange Rate Regime Matter?","authors":"A. Al-Abri","doi":"10.1111/j.1753-0237.2012.00226.x","DOIUrl":"https://doi.org/10.1111/j.1753-0237.2012.00226.x","url":null,"abstract":"The sharp fluctuations in oil prices in recent years provide an opportunity to empirically test Friedman's hypothesis that flexible exchange regimes better absorb real external shocks. This paper empirically examines whether the responses of real output, consumer prices, interest rates and real exchange rates differ across exchange rate regimes. Since the effects of oil price shocks depend on whether the economy is a net importer or a net exporter of oil, the sample used in this study is composed of nine Organisation for Economic Cooperation and Development major oil‐importing countries. The results show that only consumer prices and real exchange rates exhibit relatively faster and smoother adjustment to their long‐run equilibrium when the adopted de facto exchange rate regime is flexible, supporting Friedman's hypothesis. Also, panel Granger causality tests suggest a feedback from real effective exchange rates and inflation rates to the real oil price, supporting the argument that oil price shocks are not purely exogenous to developed economies.","PeriodicalId":343955,"journal":{"name":"SRPN: Oil (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124649786","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Price Effect of Domestic Oil Tax Under Vertically Related Market Structure: Evidence from the United States, EU and Japan 垂直相关市场结构下国内油税的价格效应:来自美国、欧盟和日本的证据
SRPN: Oil (Topic) Pub Date : 2013-03-01 DOI: 10.1111/j.1753-0237.2012.00228.x
Zesheng Sun, Junjie Hong, Xiangdong Xu
{"title":"Price Effect of Domestic Oil Tax Under Vertically Related Market Structure: Evidence from the United States, EU and Japan","authors":"Zesheng Sun, Junjie Hong, Xiangdong Xu","doi":"10.1111/j.1753-0237.2012.00228.x","DOIUrl":"https://doi.org/10.1111/j.1753-0237.2012.00228.x","url":null,"abstract":"Domestic oil tax influences not only consumer price, but also oil company's bid–ask spread and international oil price via vertically related markets. In order to examine oil tax price effects, a random‐effect variable‐coefficient model is introduced and estimated based on data from 1970 to 2010. Results show that domestic oil taxes in major oil‐importing countries are shouldered by both international and domestic markets, with the latter including the oil companies and consumers in the importing country. However, the impacts of oil taxes on domestic consumer prices can be quite different, with relatively weak consequences in the United States, and significantly positive and strong influence in the European Union and Japan.","PeriodicalId":343955,"journal":{"name":"SRPN: Oil (Topic)","volume":"117 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122916483","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Long Run Energy Demand in Iran: A Scenario Analysis 伊朗长期能源需求:情景分析
SRPN: Oil (Topic) Pub Date : 2012-07-26 DOI: 10.1108/17506221211216571
S. Moshiri, F. Atabi, M. Panjeshahi, Stefan Lechtenboehmer
{"title":"Long Run Energy Demand in Iran: A Scenario Analysis","authors":"S. Moshiri, F. Atabi, M. Panjeshahi, Stefan Lechtenboehmer","doi":"10.1108/17506221211216571","DOIUrl":"https://doi.org/10.1108/17506221211216571","url":null,"abstract":"Purpose: Iran as an energy-rich country faces many challenges in the optimal utilization of its vast resources. High rates of population and economic growth, a generous subsidies program, and poor resource management have contributed to rapidly growing energy consumption and high energy intensity over the past decades. The continuing trend of rising energy consumption will bring about new challenges as it will shrink oil export revenues restraining economic activities. This calls for a study to explore alternative scenarios for the utilization of energy resources in Iran. In this study, we model demand for energy in Iran and develop two business-as-usual and efficiency scenarios for the period 2005-2030. Design/Methodology/Approach: We use a techno-economic or end-use approach to model energy demand in Iran for different types of energy uses and energy carriers in all sectors of the economy and forecast it under two scenarios: Business As Usual (BAU) and Efficiency. Findings: Iran has a huge potential for energy savings. Specifically, under the efficiency scenario, Iran will be able to reduce its energy consumption 40 percent by 2030.The energy intensity can also be reduced by about 60 percent to a level lower than the world average today. Implications: The energy savings under the efficiency scenario will generate significant additional revenues and will lead to a 45 percent reduction in CO2 equivalent emissions by 2030 as compared to the BAU trend. Originality: This study is a comprehensive study that models the Iranian energy demand in different sectors of the economy using data at different aggregation levels and a techno-economic end-use approach to illuminate the future of energy demand under alternative scenarios.","PeriodicalId":343955,"journal":{"name":"SRPN: Oil (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133424024","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 35
Multi Model Forecasts of the West Texas Intermediate Crude Oil Spot Price 西德克萨斯中质原油现货价格的多模型预测
SRPN: Oil (Topic) Pub Date : 2012-06-06 DOI: 10.2139/ssrn.2079341
M. Emery, L. Ryan, B. Whiting
{"title":"Multi Model Forecasts of the West Texas Intermediate Crude Oil Spot Price","authors":"M. Emery, L. Ryan, B. Whiting","doi":"10.2139/ssrn.2079341","DOIUrl":"https://doi.org/10.2139/ssrn.2079341","url":null,"abstract":"We measure the performance of Multi Model Inference (MMI) forecasts compared to predictions made from a single model for crude oil prices. We forecast the West Texas Intermediate (WTI) crude oil spot prices using total OECD petroleum inventory levels, surplus production capacity, the CBOE Volatility Index (VIX) and an implementation of a Subset Autoregression with Exogenous Variables (SARX). Coe\u000ecient and standard error estimates obtained from SARX determined by conditioning on a single \"best model\" ignore model uncertainty and result in under-estimated standard errors and over-estimated coe\u000ecients. We find that the MMI forecast outperforms a single model forecast for both in and out of sample data sets over a variety of statistical performance measures, and further and that weighting models according to the BIC generally yields superior results both in and out of sample when compared to the AIC.","PeriodicalId":343955,"journal":{"name":"SRPN: Oil (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125216276","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Modeling Peak Oil and the Geological Constraints on Oil Production 石油峰值建模与石油生产的地质约束
SRPN: Oil (Topic) Pub Date : 2012-03-18 DOI: 10.2139/ssrn.2025631
S. J. Okullo, F. Reynès, M. Hofkes
{"title":"Modeling Peak Oil and the Geological Constraints on Oil Production","authors":"S. J. Okullo, F. Reynès, M. Hofkes","doi":"10.2139/ssrn.2025631","DOIUrl":"https://doi.org/10.2139/ssrn.2025631","url":null,"abstract":"We propose a model to reconcile the theory of inter-temporal non-renewable resource depletion with well-known stylized facts concerning the exploitation of exhaustible resources such as oil. Our approach introduces geological constraints into a Hotelling type extraction-exploration model. We show that such constraints, in combination with initially small reserves and strictly convex exploration costs, can coherently explain bell-shaped peaks in natural resource extraction and hence U-shapes in prices. As production increases, marginal profits (marginal revenues less marginal extraction cost) are observed to decline, while as production decreases, marginal profits rise at a positive rate that is not necessarily the rate of discount. A numerical calibration of the model to the world oil market shows that geological constraints have the potential to substantially increase the future oil price. While some (small) non-OPEC producers are found to increase production in response to higher oil prices induced by the geological constraints, most (large) producers’ production declines, leading to a lower peak level for global oil production.","PeriodicalId":343955,"journal":{"name":"SRPN: Oil (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121070838","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 35
The Rapid Growth of Domestic Oil Consumption in Saudi Arabia and the Opportunity Cost of Oil Exports Foregone 沙特阿拉伯国内石油消费的快速增长与石油出口的机会成本
SRPN: Oil (Topic) Pub Date : 2011-11-16 DOI: 10.2139/ssrn.2006766
D. Gately, Nourah A. Al-Yousef, H. Al-Sheikh
{"title":"The Rapid Growth of Domestic Oil Consumption in Saudi Arabia and the Opportunity Cost of Oil Exports Foregone","authors":"D. Gately, Nourah A. Al-Yousef, H. Al-Sheikh","doi":"10.2139/ssrn.2006766","DOIUrl":"https://doi.org/10.2139/ssrn.2006766","url":null,"abstract":"We analyze the rapid growth of Saudi Arabia's domestic oil consumption, a nine-fold increase in 40 years, to nearly 3 million barrels per day, about one-fourth of production. Such rapid growth in consumption – 5.7% annually, which is 37% faster than its income growth of 4.2% – will challenge Saudi Arabia's ability to increase its oil exports, which are relied upon in long-term world oil projections by the International Energy Agency (IEA), US Department of Energy (DOE) and British Petroleum (BP). However, these institutions assume unprecedented slowdowns in Saudi oil consumption – from 5.7% annual growth historically to less than 2% in the future – allowing them to project increases in Saudi oil exports. Using 1971–2010 data, we estimate that the income responsiveness (elasticity) of oil consumption is at least 1.5—using both Ordinary Least Squares regression and Cointegration methods. We believe that continued high growth rates for domestic oil consumption are more likely than the dramatic slowdowns projected by IEA, DOE and BP. This will have major implications for Saudi production and export levels.","PeriodicalId":343955,"journal":{"name":"SRPN: Oil (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130350102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 65
Price Dynamic, Volatility and Information Flows in the Oil Industry: A Multivariate Analysis 石油行业的价格动态、波动性和信息流:一个多变量分析
SRPN: Oil (Topic) Pub Date : 2011-11-01 DOI: 10.2139/ssrn.1956582
A. Mauro, A. Peri
{"title":"Price Dynamic, Volatility and Information Flows in the Oil Industry: A Multivariate Analysis","authors":"A. Mauro, A. Peri","doi":"10.2139/ssrn.1956582","DOIUrl":"https://doi.org/10.2139/ssrn.1956582","url":null,"abstract":"The relationships between crude and product prices are crucial throughout oil markets and especially so within the refining industry, where they define the refinery margin between cost of inputs (crudes) and value of outputs (products). The oil market is global but regional factors are also relevant, creating local variations in crude / product relationships. These relationships are often ambiguous, with limited in depth study to date. It is important to test and understand if there are feedback mechanisms from product to crude markets in the short run, investigating, in particular, weather shocks affecting the former also affect the latter. Consequently, the findings of this paper present relevant issues for oil market participants and their management of price risk.","PeriodicalId":343955,"journal":{"name":"SRPN: Oil (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126484156","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
A GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinguish between the Total Market Index and the Sustainability Index 宏观经济对美国股市影响的GARCH检验:总市场指数和可持续性指数的区分
SRPN: Oil (Topic) Pub Date : 2009-02-10 DOI: 10.2139/ssrn.1340574
N. Sariannidis, Nicolaos Litinas, G. Konteos, Grigoris Giannarakis
{"title":"A GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinguish between the Total Market Index and the Sustainability Index","authors":"N. Sariannidis, Nicolaos Litinas, G. Konteos, Grigoris Giannarakis","doi":"10.2139/ssrn.1340574","DOIUrl":"https://doi.org/10.2139/ssrn.1340574","url":null,"abstract":"The paper examines the impact of several macroeconomic variables on the Dow Jones Sustainability and Dow Jones Wilshire 5000 indexes, using a GARCH model and monthly data for the period January, 2000 to January, 2008. The results show that changes in returns of crude oil prices affect negatively the U.S. stock market, contrary to changes in returns of the 10-year bond value that affect it positively. Both economic indicators influence the DJSI with a month delay. Also, the exchange rate volatility affects negatively the returns of the U.S. stock market and the non-farm payroll can be characterised as a stabilising factor for the DJSI.","PeriodicalId":343955,"journal":{"name":"SRPN: Oil (Topic)","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130360780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 53
Gain Seeking in a 'Double Security Dilemma': The Case of OPEC 在“双重安全困境”中寻求利益:以欧佩克为例
SRPN: Oil (Topic) Pub Date : 2008-03-01 DOI: 10.2139/ssrn.1120855
Ellinor Zeino-Mahmalat
{"title":"Gain Seeking in a 'Double Security Dilemma': The Case of OPEC","authors":"Ellinor Zeino-Mahmalat","doi":"10.2139/ssrn.1120855","DOIUrl":"https://doi.org/10.2139/ssrn.1120855","url":null,"abstract":"The remarkable stability of the cooperation among the members of the Organization of Petroleum Exporting Countries (OPEC) has generally been explained by these members’ mutual dependency on high and stable oil revenues. Since the OPEC countries, however, face the double security dilemma of both domestic and external security threats, they are not simply eager to secure (absolute) oil revenues for the sake of domestic stability; they are also sensitive to the (relative) oil revenues of their competing or even conflicting partners. The existing approaches of rational egoism and defensive positionalism have proven to be rather inadequate in explaining this kind of gain-seeking behavior. This paper therefore develops the new theoretical approach of “gain-seeking mentalities,” with the objective of tracing variations in OPEC members’ gain-seeking behaviors. Using this approach, the empirical assessment of Iran and Iraq during the Iran-Iraq War and Iraq during the Gulf War of 1990/91 shows the extent to which Iran and Iraq altered their gain-seeking behavior as a result of a changing constellation of threats.","PeriodicalId":343955,"journal":{"name":"SRPN: Oil (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129990473","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
A Regional Model of Oil and Gas Exploration in the Ukcs 英国油气勘探的区域模式
SRPN: Oil (Topic) Pub Date : 2006-05-01 DOI: 10.1111/j.1467-9485.2006.00376.x
A. Kemp, Sola Kasim
{"title":"A Regional Model of Oil and Gas Exploration in the Ukcs","authors":"A. Kemp, Sola Kasim","doi":"10.1111/j.1467-9485.2006.00376.x","DOIUrl":"https://doi.org/10.1111/j.1467-9485.2006.00376.x","url":null,"abstract":"Existing exploration–discovery models are generally characterised by equations describing the behaviour of exploration, success rates, and discoveries. The present paper adds two equations describing the behaviour of finding costs and exploration efficiency. The model was disaggregated along regional lines. Applying the model to UK Continental Shelf data over the period 1964–2002 produced results that supported the new approach. Analysis of the model dynamics and simulation forecast reveals similarities, but also important differences in the responsiveness of activity in the regions to policy multipliers, implying that uniform policy instruments will produce unequal responses in areas with different levels of maturity.","PeriodicalId":343955,"journal":{"name":"SRPN: Oil (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127927755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
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