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World Oil and Inventory Study: A Global VAR Analysis

Author

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  • Jennifer Considine
  • Abdullah Aldayel
  • Emre Hatipoglu

    (King Abdullah Petroleum Studies and Research Center)

Abstract

Despite numerous journal articles, forecasting studies, and books, very little is known about the actual quantitative value, or economic cost, of shocks to world oil markets. The potential consequences of a given political or economic disturbance are unclear, and appear to depend on market conditions at the time of forecast and the idiosyncratic nature of the shock (see Figure 1). This study develops a new analytical framework to analyze shocks to world oil markets. We build upon the global vector autoregression (GVAR) model developed in 2016 by Mohaddes and Pesaran to include a new variable, OECD oil inventories, creating the GVAR Oil and Inventory Model — GOVAR. We also expand its geographic coverage by adding two new countries, Russia and Venezuela.

Suggested Citation

  • Jennifer Considine & Abdullah Aldayel & Emre Hatipoglu, 2020. "World Oil and Inventory Study: A Global VAR Analysis," Methodology Papers ks--2020-mp04, King Abdullah Petroleum Studies and Research Center.
    • Handle: RePEc:prc:mpaper:ks--2020-mp04
    DOI: 10.30573/KS--2020-MP04
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    File URL: https://www.kapsarc.org/research/publications/world-oil-and-inventory-study-a-global-var-analysis/
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    Cited by:

    1. Considine, Jennifer & Hatipoglu, Emre & Aldayel, Abdullah, 2022. "The sensitivity of oil price shocks to preexisting market conditions: A GVAR analysis," Journal of Commodity Markets, Elsevier, vol. 27(C).
    2. Considine, Jennifer & Galkin, Phillip & Hatipoglu, Emre & Aldayel, Abdullah, 2023. "The effects of a shock to critical minerals prices on the world oil price and inflation," Energy Economics, Elsevier, vol. 127(PB).

    More about this item

    Keywords

    GVAR; Oil markets; Oil Price; Oil Price Shocks;
    All these keywords.

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