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Journal Articles Journal of Applied Econometrics Year : 2021

Transitory and permanent shocks in the global market for crude oil

Abstract

This paper documents the determinants of real oil price in the global market based on an empirical model embedding transitory and permanent shocks. We find evidence of significant differences in the propagation mechanisms of transitory versus permanent disturbances, pointing to the importance of disentangling their distinct effects. Permanent supply shocks are found to be very influential in driving oil price fluctuations.

Dates and versions

hal-03355309 , version 1 (27-09-2021)

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Nooman Rebei, Rashid Sbia. Transitory and permanent shocks in the global market for crude oil. Journal of Applied Econometrics, 2021, 36 (7), pp.1047-1064. ⟨10.1002/jae.2863⟩. ⟨hal-03355309⟩
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