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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