Volume 10, Issue 37 (10-2019)                   jemr 2019, 10(37): 105-138 | Back to browse issues page


XML Persian Abstract Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Takroosta A, Mohajeri P, Mohammadi T, Shakeri A, Ghasemi A. An Analysis of Oil Prices Considering the Political Risk of OPEC. jemr 2019; 10 (37) :105-138
URL: http://jemr.khu.ac.ir/article-1-1832-en.html
1- Kharazmi University , atakroosta@yahoo.com
2- Allameh Tabataba'i University
Abstract:   (5608 Views)
Oil price wild fluctuations impact the economies of developing countries as well as those of developed ones. Focusing on OPEC’s political risks as a proxy of precautionary demand, this study aims to disentangle oil price factors using an SVAR approach for 1994Q1 to 2016Q4. We disentangled oil price shocks into political risks, supplies, global demand for industrial goods and other oil price shocks. Our results highlight that shocks originated from different sources affect oil prices differently in terms of both their lifetime and directions. Besides, it is revealed that the structure of oil market has changed due to the 2008 financial crisis, increased oil price fluctuations, changes in OPEC’s behaviour and accordingly its market power, and the advent of new shale oil technologies, thus affecting oil price sensitivities. Therefore, we found out that OPEC’s political risks affected oil markets way more significantly in 2008-2016.
Full-Text [PDF 4774 kb]   (3062 Downloads)    
Type of Study: Applicable | Subject: انرژی، منابع و محیط زیست
Received: 2019/04/15 | Accepted: 2019/10/28 | Published: 2019/12/24

References
1. Amir Moeini, M., Zamani, M., Ghanbari, A. (2011). Oil Price and OPEC Spare Capacity. Quarterly Energy Economics Review. 29. pp. 139-162. [In Persian]
2. Imami Meybodi, A. (2006). Analysis of the Effective Factors on Oil Price Movements. Iranian Journal of Economic Research. 28.8(6). pp. 107-122. [In Persian]
3. Abdoli, G., Vellaei Yamchi, M. (2012). Long Term Impact of Exchange Rate Fluctuations (US Dollar vs. Euro) on OPEC Oil Prices. Journal of Iranian Energy Economics. 7.1.(1). pp. 173-187.
4. Barsky, R., & Kilian, L. (2002). Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative. NBER Macroeconomics Annual, 16 (1), pp. 137-183. [DOI:10.1086/654439]
5. Barsky, R., & Kilian, L. (2004). Oil and the Macroeconomy Since the 1970s. Journal of Economic Perspectives, 18(4), pp. 115-134. [DOI:10.1257/0895330042632708]
6. Behrouzifar M, Emami Meibodi A, Ghassemi A, Heshmatzadeh M B. (2017) OPEC Members' Behavior Analysis on Oil Reserves Announcements: Case Study of Iran. Journal of Economic Modelling Research (JEMR).; 7 (27), pp. 231-256. [In Persian]
7. Chen, H., Liao, H., Tang, B.-J., & Wei, Y. M. (2016). Impacts of OPEC's Political Risk on the International Crude Oil Prices: An Empirical Analysis Based on the SVAR Models. Energy Economics, 57(2016), pp. 42-49. [DOI:10.1016/j.eneco.2016.04.018]
8. Coleman, L. (2012). Explaining Crude Oil Prices Using Fundamental Measures. Energy Policy, 40(1), pp. 318-324. [DOI:10.1016/j.enpol.2011.10.012]
9. Dees, S., Karadeloglou, P., Kaufmann, R.K., Sanchez, M. (2007). Modeling the world oil market: assessment of a quarterly econometric model. Energy Policy, 35 (1), pp. 178-191. [DOI:10.1016/j.enpol.2005.10.017]
10. Esmaili Nia, A.,A., Pazouki, A., Pazouki, M., R., Karimi, M., (2012) The impact of oil shocks on the government's expenditure in Iran's economy. Journal of Financial Economics. 20. Pp. 93-126. [In Persian]
11. Fan, Y. & Xu, Y.F. (2011). What Has Driven Oil Prices Since 2000? A Structural Change Perspective. Energy Economics, 33 (6), pp. 1082-1094. [DOI:10.1016/j.eneco.2011.05.017]
12. Faridzad A, Mohajeri P. (2011). Examination of Crude Oil Prices Relationships in Spot and Futures Markets Based on the Basis Risk and Crude Oil Inventory: Using GARCH Model. Journal of Economic Modelling Research (JEMR). 2 (5) :75-102. [In Persian]
13. Farshadgohar N, Badpar F. (2013). OPEC Structural Econometric. Journal of Economic Modelling Research (JEMR). 4 (13), pp. 27-41. [In Persian]
14. Farzanegan, M.R. & Markwardt, G. (2009). The Effects of Oil Price Shocks on the Iranian Economy. Energy Economics, 31(1), pp. 134-151. [DOI:10.1016/j.eneco.2008.09.003]
15. Hamilton, J. D. (2003). What Is an Oil Shock? Journal of Econometrics, 113(2), pp. 363-398. [DOI:10.1016/S0304-4076(02)00207-5]
16. Hamilton, J. D. (2008). Understanding Crude Oil Prices. National Bureau of Economic Research. NBER Working Paper No. 14492. Avalable at http://www.nber.org/papers/w14492 [DOI:10.3386/w14492]
17. Kaufmann, R.K. & Ullman, B. (2009). Oil Prices, Speculation, and Fundamentals: Interpreting Causal Relations Among Spot and Futures Prices. Energy Economics, 31 (4), pp. 550-558. [DOI:10.1016/j.eneco.2009.01.013]
18. Kilian, L. (2008a). A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries. Journal of the European Economic Association, 6(1), pp. 78-121. [DOI:10.1162/JEEA.2008.6.1.78]
19. Kilian, L. (2008b). Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? Review of Economics and Statistics, 90(2), pp. 216-240. [DOI:10.1162/rest.90.2.216]
20. Kilian, L. (2009). Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review, 99(3), pp. 1053-69. [DOI:10.1257/aer.99.3.1053]
21. Kilian, L., & Lee, T. K. (2014). Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories. Journal of International Money and Finance, 42(C), pp. 71-87. [DOI:10.1016/j.jimonfin.2013.08.005]
22. Lee, C.-C., Lee, C.-C., & Ning, S.-L. (2017). Dynamic Relationship of Oil Price Shocks and Country Risks. Energy Economics, 66(C), pp. 571-581. [DOI:10.1016/j.eneco.2017.01.028]
23. Lee, M.-H., & Hooy, C.-W. (2013). Country Versus Industry Diversification in ASEAN-5. Emerging Markets Finance and Trade, 49(2), pp. 44-63. [DOI:10.2753/REE1540-496X490204]
24. Lee, C.-C., Lee, C.-C., & Ning, S.-L. (2017). Dynamic relationship of oil price shocks and country risks. Energy Economics. doi:dx.doi.org/10.1016/j.eneco.2017.01.028 [DOI:10.1016/j.eneco.2017.01.028]
25. Olovsson, C., (2019). Oil prices in a general equilibrium model with precautionary demand for oil, 32, pp. 1-17. [DOI:10.1016/j.red.2018.11.003]
26. Su, C.-W., Khan, Kh., Tao, R., Nicoleta-Claudia, M., (2019). Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia. Energy, 187(116003). [DOI:10.1016/j.energy.2019.116003]
27. Sanders, D. R., Boris, K., & Manfredo, M. (2004). Hedgers, Funds, and Small Speculators in the Energy Futures Markets: An Analysis of the CFTC's Commitments of Traders Reports. Energy Economics, 26(3), pp. 425-445. [DOI:10.1016/j.eneco.2004.04.010]
28. Wen, F., Zhang, M., Deng, M., Zhao, Y., Ouyang, J., (2019). Exploring the dynamic effects of financial factors on oil prices based on a TVP-VAR model. Physica A: Statistical Mechanics and its Applications, 532(121881). [DOI:10.1016/j.physa.2019.121881]

Add your comments about this article : Your username or Email:
CAPTCHA

Send email to the article author


Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

© 2024 CC BY-NC 4.0 | Journal of Economic Modeling Research

Designed & Developed by : Yektaweb