Transitory and Permanent Shocks in the Global Market for Crude Oil
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Summary:
This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus permanent shocks, pointing to the importance of disentangling their distinct effects. Permanent supply disruptions turn out to be a bigger factor in historical oil price movements during the most recent decades, while speculative shocks became less influential.
Series:
Working Paper No. 2020/047
Subject:
Commodities Commodity price fluctuations Economic theory Oil Oil prices Oil production Prices Production Supply shocks
English
Publication Date:
February 28, 2020
ISBN/ISSN:
9781513528601/1018-5941
Stock No:
WPIEA2020047
Pages:
41
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