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Modeling Dynamics of Oil Prices under Different Regimes of Oil Market Development

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  • Varshavsky , Leonid

    ()
    (Central Economics and Mathematics Institute of the Russian Academy of Sciences, Russia)

Abstract

The problem of modeling oil prices over the last three decades is analyzed. Because of radical changes of regimes on the oil market necessity of studying two periods of time (the 1980’s to the end of 1990’s and the end of 1990’s to 2008) is discussed. Two aggregate models reflecting the situation over the two periods are built: an econometric model of dynamics of oil market indicators and aggregate monetarist model of the US economy including an oil price prediction bloc. The influence of priorities of monetary policy on dynamics of macroeconomic indicators and oil prices is studied. Necessity of a parallel study of influence of high oil prices on oil sensitive industries is emphasized

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Bibliographic Info

Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 13 (2009)
Issue (Month): 1 ()
Pages: 70-88

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Handle: RePEc:ris:apltrx:0027

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Web page: http://appliedeconometrics.cemi.rssi.ru/

Related research

Keywords: modeling; oil prices; aggregate monetarist model;

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References

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  1. Elin Berg & Snorre Kverndokk & Knut Einar Rosendahl, 1996. "Gains from Cartelisation in the Oil Market," Discussion Papers 181, Research Department of Statistics Norway.
  2. Greene, David L & Jones, Donald W & Leiby, Paul N, 1998. "The outlook for US oil dependence," Energy Policy, Elsevier, vol. 26(1), pages 55-69, January.
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Cited by:
  1. Varshavsky, Leonid, 2010. "Crisis of financial system and evolution of commodities market," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 17(1), pages 30-44.

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