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Transitory and permanent shocks in the global market for crude oil

Author

Listed:
  • Nooman Rebei

    (IMF - "Research Department International Monetary Fund (IMF)" - International Monetary Fund (IMF))

  • Rashid Sbia

    (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, Ministry of Finance of United Arab Emirates)

Abstract

This paper documents the determinants of real oil price in the global market based on an empirical model embedding transitory and permanent shocks. We find evidence of significant differences in the propagation mechanisms of transitory versus permanent disturbances, pointing to the importance of disentangling their distinct effects. Permanent supply shocks are found to be very influential in driving oil price fluctuations.

Suggested Citation

  • Nooman Rebei & Rashid Sbia, 2021. "Transitory and permanent shocks in the global market for crude oil," Post-Print hal-03355309, HAL.
    • Handle: RePEc:hal:journl:hal-03355309
    DOI: 10.1002/jae.2863
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    Keywords

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    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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