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Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices

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  • Ghassan, Hassan B.
  • Alhajhoj, Hassan R.

Abstract

Understanding the long-run dynamics of OPEC and non-OPEC crude oil prices is important in an era of increased financialization of petroleum markets. Utilizing an ECM within a threshold cointegration and CGARCH errors framework, we provide evidence on the cointegrating relationship and estimate how and to what extent the respective prices adjust to eliminate disequilibrium. Our findings suggest that the adjustment process of OPEC prices to the positive discrepancies is slow which implies that OPEC producers do not prefer moderate oil prices; however, the reverse holds for non-OPEC producers. These results reflect distinct competitive behaviors between OPEC and non-OPEC producers.

Suggested Citation

  • Ghassan, Hassan B. & Alhajhoj, Hassan R., 2015. "Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices," MPRA Paper 69962, University Library of Munich, Germany, revised 15 Jan 2016.
  • Handle: RePEc:pra:mprapa:69962
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    Cited by:

    1. Jiang, Meihui & An, Haizhong & Jia, Xiaoliang & Sun, Xiaoqi, 2017. "The influence of global benchmark oil prices on the regional oil spot market in multi-period evolution," Energy, Elsevier, vol. 118(C), pages 742-752.
    2. repec:eee:appene:v:220:y:2018:i:c:p:154-163 is not listed on IDEAS
    3. Ghassan, Hassan B. & Al-Jefri, Essam H., 2016. "الحساب الجاري للاقتصاد السعودي عبر نموذج داخلي الزمن دلائل من منهجية نموذج التقهقر الذاتي البنيوي
      [The Current Account of Saudi Economy through Intertemporal Model: Evidence from SVAR]
      ," MPRA Paper 80302, University Library of Munich, Germany, revised Jun 2017.
    4. repec:eee:appene:v:215:y:2018:i:c:p:630-642 is not listed on IDEAS

    More about this item

    Keywords

    Dynamic volatility; Threshold cointegration; Component GARCH; OPEC; Oil prices.;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E03 - Macroeconomics and Monetary Economics - - General - - - Behavioral Macroeconomics
    • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
    • F53 - International Economics - - International Relations, National Security, and International Political Economy - - - International Agreements and Observance; International Organizations
    • F69 - International Economics - - Economic Impacts of Globalization - - - Other

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