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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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File URL: http://pe.cemi.rssi.ru/pe_2009_1_70-88.pdf
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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;

Find related papers by JEL classification:

• C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
• D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
• E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
• E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
• G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
• G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
• Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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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.
   
   • Berg, Elin & Kverndokk, Snorre & Rosendahl, Knut Einar, 1997. "Gains from cartelisation in the oil market," Energy Policy, Elsevier, vol. 25(13), pages 1075-1091, November.
   • Berg, Elin & Kverndokk, Snorre & Rosendahl, Knut Einar, 1998. "Gains from cartelisation in the oil market," Energy Policy, Elsevier, vol. 26(9), pages 725-727, August.
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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