IMF Working Papers

Transitory and Permanent Shocks in the Global Market for Crude Oil

By Nooman Rebei, Rashid Sbia

February 28, 2020

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Nooman Rebei, and Rashid Sbia. Transitory and Permanent Shocks in the Global Market for Crude Oil, (USA: International Monetary Fund, 2020) accessed September 18, 2024

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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.

Subject: Commodities, Commodity price fluctuations, Economic theory, Oil, Oil prices, Oil production, Prices, Production, Supply shocks

Keywords: Bayesian estimation, Commodity price fluctuations, Demand shocks transmission, Global, Kalman filtering, Medium term, Narrative analysis, Oil, Oil market, Oil price, Oil price dynamics, Oil price plunge, Oil price volatility, Oil prices, Oil production, Oil supply shock, Oil-supply shocks, Price decline, Price upswing, Standard deviation, Supply and demand demand shock, Supply shocks, Vector autoregressions, Window estimation result, WP

Publication Details

  • Pages:

    41

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2020/047

  • Stock No:

    WPIEA2020047

  • ISBN:

    9781513528601

  • ISSN:

    1018-5941