Cover IMF Working Papers
Transitory and Permanent Shocks in the Global Market for Crude Oil
Author:
Mr. Nooman Rebei
Search for other papers by Mr. Nooman Rebei in
Current site
Google Scholar
PubMedClose
and
Rashid Sbianull

Search for other papers by Rashid Sbia in
Current site
Google Scholar
PubMedClose
Series:
IMF Working Papers
Volume/Issue:
Volume 2020: Issue 047
Language:
English
Publication Date:
28 Feb 2020
DOI:
https://doi.org/10.5089/9781513528601.001
ISBN:
9781513528601
ISSN:
1018-5941
Pages:
41
Keywords:
WP; Oil market; Vector autoregressions; Narrative analysis; Bayesian estimation; Kalman filtering; oil price; demand shocks transmission; supply and demand demand shock; medium term; oil supply shock; price upswing; oil price plunge; oil price volatility; oil-supply shocks; oil price dynamics; price decline; window estimation result; Oil prices; Oil; Oil production; Supply shocks; Commodity price fluctuations; Global; standard deviation
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (2.1 MB) Download Epub
This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus permanent shocks, pointing to the importance of disentangling their distinct effects. Permanent supply disruptions turn out to be a bigger factor in historical oil price movements during the most recent decades, while speculative shocks became less influential.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2020: Issue 047