Rights statement: 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
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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Changes in the global oil market
AU - Bataa, Erdenebat
AU - Izzeldin, Marwan
AU - Osborn, Denise
N1 - 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
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.
KW - oil price shocks
KW - multiple breaks
KW - breaks in SVAR
U2 - 10.1016/j.eneco.2016.03.009
DO - 10.1016/j.eneco.2016.03.009
M3 - Journal article
VL - 56
SP - 161
EP - 176
JO - Energy Economics
JF - Energy Economics
SN - 0140-9883
ER -