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Regression Analysis of Global Determinants Affecting Crude Oil Price Dynamics
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Journal Article
Regression Analysis of Global Determinants Affecting Crude Oil Price Dynamics
2020
Overview
The purpose of this paper is to identify the underlying global macroeconomic variables of crude oil price dynamics, such as consumer price index, financial variables, money supply, world industrial production and interest rates by using Global Factors Vector Error Correction Model (GFVEC). The analysis of the observed result indicates a systematic response of oil prices to global variables; meanwhile augmenting interest rates have a reverse effect on oil price shocks. On the other hand, we found that financial variables could explain about 60% of the expected future supply and demand shocks in the physical market. Finally, we confirmed that the development of non-conventional oil and the disregard of declared oil production quota by some OPEC members are relevant sources of oil price fluctuations which can disrupt OPEC vision as the main dominant producer in oil industry.
Publisher
المدرسة العليا للتجارة - مخبر الإصلاحات الإقتصادية، التنمية واستراتيجيات الإندماج في الإقتصاد العالمي
