Advanced Search
MyIDEAS: Login

A Simultaneous Equation Model for World Crude Oil and Natural Gas Markets

Contents:

Author Info

  • Noureddine Krichene
Registered author(s):

    Abstract

    A model for world crude oil and natural gas markets is estimated. It confirms low price and high income elasticities of demand for both crude oil and natural gas, which explains the market power of oil producers and price volatility following shocks. The paper establishes a relationship between oil prices, changes in the nominal effective exchange rate (NEER) of the U.S. dollar, and the U.S. interest rates, thereby identifying demand shocks arising from monetary policy. Both interest rates and the NEER are shown to influence crude prices inversely. The results imply that crude oil prices should be included in the policy rule equation of an inflation targeting model.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=17970
    Download Restriction: no

    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 05/32.

    as in new window
    Length: 24
    Date of creation: 01 Feb 2005
    Date of revision:
    Handle: RePEc:imf:imfwpa:05/32

    Contact details of provider:
    Postal: International Monetary Fund, Washington, DC USA
    Phone: (202) 623-7000
    Fax: (202) 623-4661
    Email:
    Web page: http://www.imf.org/external/pubind.htm
    More information through EDIRC

    Order Information:
    Web: http://www.imf.org/external/pubs/pubs/ord_info.htm

    Related research

    Keywords: Natural gas; Prices; Interest rates; Markets; Oil prices; Economic models; crude oil; gas output; gas supply; oil supply; crude oil prices; gas markets; natural gas markets; gas production; natural gas output; natural gas supply; crude price; natural gas demand; oil demand; gas demand; gas prices; natural gas prices; crude oil price; crude prices; oil products; petroleum products; opec; aggregate demand; natural gas production; oil shocks; natural gas price; oil industry; gas price; liquid fuels; oil shock; oil and gas; oil imports; oil producers; oil markets; oil-importing countries; oil production; oil natural gas; gas journal; oil exporters; million barrels; crude oil production; gas producers; liquefied natural gas; associated gas; oil market; gasoline taxes; energy efficiency; natural gas supplies; world oil demand; price for natural gas; natural gas producers; oil market report; petroleum industry; price of natural gas; oil exports;

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Ramsey, J B & Rasche, R & Allen, Bruce T, 1975. "An Analysis of the Private and Commercial Demand for Gasoline," The Review of Economics and Statistics, MIT Press, vol. 57(4), pages 502-07, November.
    2. Rice, Patricia & Smith, V. Kerry, 1977. "An econometric model of the petroleum industry," Journal of Econometrics, Elsevier, vol. 6(3), pages 263-287, November.
    3. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
    4. Bentzen, Jan & Engsted, Tom, 1993. "Short- and long-run elasticities in energy demand : A cointegration approach," Energy Economics, Elsevier, vol. 15(1), pages 9-16, January.
    5. Robert S. Pindyck, 1979. "The Structure of World Energy Demand," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262661772, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Noureddine Krichene, 2008. "Crude Oil Prices," IMF Working Papers 08/133, International Monetary Fund.
    2. Nikolay Aleksandrov & Raphael Espinoza, 2011. "Optimal Oil Extraction as a multiple Real Option," OxCarre Working Papers 064, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    3. Ding, Liang & Vo, Minh, 2012. "Exchange rates and oil prices: A multivariate stochastic volatility analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 15-37.
    4. Sabit Bagirov & Leonid Grigoriev & Wojciech Paczynski & Vladimer Papava & Marcel Salikhov & Michael Tokmazishvili, 2009. "Energy Trade and Cooperation Between the EU and CIS Countries," CASE Network Reports 0083, CASE-Center for Social and Economic Research.
    5. Wu, Chih-Chiang & Chung, Huimin & Chang, Yu-Hsien, 2012. "The economic value of co-movement between oil price and exchange rate using copula-based GARCH models," Energy Economics, Elsevier, vol. 34(1), pages 270-282.
    6. Patricio Jaramillo & Sergio Lehmann & David Moreno., 2009. "China, Precios de Commodities y Desempeño de América Latina: Algunos Hechos Estilizados," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 67-105.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:05/32. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.