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    Empirical Analysis of Global Oil Price Determinants at the Disaggregated Level Over the Last Two Decades

    Yoshino, Naoyuki; Alekhina, Victoriia | July 2019
    Abstract
    While until the mid-1990s the Organization of the Petroleum Exporting Countries played a key role in oil pricing, during recent decades, rapid economic growth in developing economies has boosted the demand for oil, making oil prices vulnerable to a wider range of factors. This research will provide theoretical and empirical examination on the impacts of oil supply and demand factors on Brent crude oil prices by developing an oil aggregate demand–aggregate supply model and empirically estimating using a vector autoregressive approach and monthly time series data from 1999 to 2017. In this study, global oil demand is disaggregated into demand from the Organization for Economic Co-operation and Development (OECD), the People’s Republic of China (PRC), and India to measure the scale of their contributions to global oil price movements, and the industrial production (IP) index is considered as a determinant of the oil demand side. It is found that among these three, the OECD and the PRC’s IP had a positive impact on oil prices in the estimated period. Moreover, among all factors included in the model, an appreciation of the US dollar exchange rate had a significant negative impact on oil prices over the last 2 decades. Another contribution of this paper is that it examines the equilibrium of the oil market during the estimated period and shows that oil prices were adjusting instantly, which confirms the existence of the equilibrium.
    Citation
    Yoshino, Naoyuki; Alekhina, Victoriia. 2019. Empirical Analysis of Global Oil Price Determinants at the Disaggregated Level Over the Last Two Decades. © Asian Development Bank Institute. http://hdl.handle.net/11540/10840.
    Keywords
    Macroeconomic
    Macroeconomic Analysis
    Macroeconomic Framework
    Macroeconomic Models
    Macroeconomic Performance
    Macroeconomic Planning
    Macroeconomic
    Policies
    Macroeconomic Reform
    Macroeconomic Stabilization
    Oil and Gas Industry
    Development cooperation
    Petroleum Industry
    Transport Industry
    Social condition
    Economic dependence
    Economic assistance
    International monetary relations
    International monetary relations
    International trade
    National accounting
    Market
    Petroleum Refineries
    Petroleum Products
    Petroleum Prices
    Petroleum
    Crude Oil
    Petrochemical Industry
    Export Oriented Industries
    Exchange
    Exchange rates
    Comparative economics
    Index number
    Monetary policy
    Value analysis
    Adjustment cost
    Transaction cost
    Conditionality
    International relations
    Oil refineries
    Gasoline
    Oil
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    Citable URI
    http://hdl.handle.net/11540/10840
    Metadata
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    adbi-wp982.pdf (704.3Kb)
    Author
    Yoshino, Naoyuki
    Alekhina, Victoriia
    Theme
    Economics
    Industry
     
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise