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Changes in the global oil market

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

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Changes in the global oil market. / Bataa, Erdenebat; Izzeldin, Marwan; Osborn, Denise R.
Yn: Energy Economics, Cyfrol 56, 05.2016, t. 161-176.

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

HarvardHarvard

Bataa, E, Izzeldin, M & Osborn, DR 2016, 'Changes in the global oil market', Energy Economics, cyfrol. 56, tt. 161-176. https://doi.org/10.1016/j.eneco.2016.03.009

APA

Bataa, E., Izzeldin, M., & Osborn, D. R. (2016). Changes in the global oil market. Energy Economics, 56, 161-176. https://doi.org/10.1016/j.eneco.2016.03.009

CBE

Bataa E, Izzeldin M, Osborn DR. 2016. Changes in the global oil market. Energy Economics. 56:161-176. https://doi.org/10.1016/j.eneco.2016.03.009

MLA

Bataa, Erdenebat, Marwan Izzeldin a Denise R Osborn. "Changes in the global oil market". Energy Economics. 2016, 56. 161-176. https://doi.org/10.1016/j.eneco.2016.03.009

VancouverVancouver

Bataa E, Izzeldin M, Osborn DR. Changes in the global oil market. Energy Economics. 2016 Mai;56:161-176. doi: 10.1016/j.eneco.2016.03.009

Author

Bataa, Erdenebat ; Izzeldin, Marwan ; Osborn, Denise R. / Changes in the global oil market. Yn: Energy Economics. 2016 ; Cyfrol 56. tt. 161-176.

RIS

TY - JOUR

T1 - Changes in the global oil market

AU - Bataa, Erdenebat

AU - Izzeldin, Marwan

AU - Osborn, Denise R

PY - 2016/5

Y1 - 2016/5

N2 - 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.

AB - 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.

U2 - 10.1016/j.eneco.2016.03.009

DO - 10.1016/j.eneco.2016.03.009

M3 - Article

VL - 56

SP - 161

EP - 176

JO - Energy Economics

JF - Energy Economics

SN - 0140-9883

ER -