Producers, Politicians, Warriors, and Forecasters: Who's Who in the Oil Market?
To what extent geopolitical tensions in major oil-producer countries and unexpected news related to the Organisation of the Petroleum Exporting Countries (OPEC) affect oil price? What are the effects of non-market externalities in oil price? Are oil price forecasters aware or affected by such externalities when making their predictions? In this article, I analyse the influence of these events on oil price by means of Granger causality, using an unique measure accounting for these events (2001-12). I found evidence favouring OPEC countries'-related news as an oil price driver, influencing short-term forecasts, and reducing the consensus when unanticipated news are available.
|Date of creation:||26 Jun 2015|
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- Clive W.J. Granger, 2004.
"Time Series Analysis, Cointegration, and Applications,"
American Economic Review,
American Economic Association, vol. 94(3), pages 421-425, June.
- Granger, Clive W. J., 2003. "Time Series Analysis, Cointegration, and Applications," Nobel Prize in Economics documents 2003-7, Nobel Prize Committee.
- Granger, Clive W.J., 2004. "Time Series Analysis, Cointegration, and Applications," University of California at San Diego, Economics Working Paper Series qt2nb9f668, Department of Economics, UC San Diego.
- Robert K. Kaufmann, Stephane Dees, Pavlos Karadeloglou and Marcelo Sanchez, 2004. "Does OPEC Matter? An Econometric Analysis of Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 67-90.
- Pedro A. Almoguera & Christopher C. Douglas & Ana María Herrera, 2011. "Testing for the cartel in OPEC: non-cooperative collusion or just non-cooperative?," Oxford Review of Economic Policy, Oxford University Press, vol. 27(1), pages 144-168, Spring.
- Griffin, James M & Xiong, Weiwen, 1997. "The Incentive to Cheat: An Empirical Analysis of OPEC," Journal of Law and Economics, University of Chicago Press, vol. 40(2), pages 289-316, October.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Clifton T. Jones, 1990. "OPEC Behaviour Under Falling Prices: Implications For Cartel Stability," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 117-130.
- Eduardo López & Ercio Muñoz, 2012. "Precio del Petróleo: Tensiones Geopolíticas y Eventos de Oferta," Working Papers Central Bank of Chile 680, Central Bank of Chile. Full references (including those not matched with items on IDEAS)
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