University of Tasmania
Browse

File(s) under permanent embargo

An Analysis of the Global Oil Market Using SVARMA Models

journal contribution
posted on 2023-05-20, 09:18 authored by Mala RaghavanMala Raghavan
The paper analyses the importance of supply versus demand shocks on the global oil market from 1974 to 2017, using a parsimonious structural vector autoregressive moving average (SVARMA) model. The superior out-of-sample forecasting performance of the reduced form VARMA compared to VAR alternatives advocates the suitability of this framework. We specifically account for the changes in the oil market over three distinctive sub-periods - pre moderation, great moderation and post moderation periods, to provide a means of identifying the changing nature of shock transmission mechanism across times. The findings shed some light on the effects of supply versus demand related oil shocks under different economic environment. Oil supply shocks explain large fraction of the movements in the global oil market in the pre and post moderation periods, i.e. during the slower economic growth periods. The importance of global activity shock on oil price movements is obvious during the 2003-2008 boom period. The oil specific shock has an interesting transmission path on the global economic activity, where the global activity responded positively and negatively during the global economic expansion and contraction respectively, emphasising the precautionary nature of the shock.

History

Publication title

Energy Economics

ISSN

0140-9883

Department/School

TSBE

Publisher

Elsevier Science Bv

Place of publication

Po Box 211, Amsterdam, Netherlands, 1000 Ae

Rights statement

© 2019 Elsevier B.V. All rights reserved.

Repository Status

  • Restricted

Socio-economic Objectives

Economic growth; Macroeconomics not elsewhere classified; Productivity (excl. public sector)

Usage metrics

    University Of Tasmania

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC