4. Conclusions
We have examined the dynamics of OPEC and non-OPEC oil prices within an original TAR-Error Correction-CGARCH model, leading to a parsimonious representation of some stylized features for the period January 1973–April 2013. The results show that for both OPEC and non-OPEC producers, price shocks tend to be both persistent and volatile, indicating that there is a long memory in the volatility of international crude oil prices. Also, due to the high short-run volatility in the transitory variance, there is no half-life defined for either OPEC or non-OPEC oil prices. More concretely, our findings suggest that the OPEC prices adjustment process in relation to the positive deviations from the long-run equilibrium is slow, implying that OPEC producers do not prefer moderate oil prices. However, the reverse holds for non-OPEC producers, which prefer rapid adjustment when oil prices are too high. These differences in speed between OPEC and non-OPEC price adjustments imply that there is evidence of a quasi-competitive behavior and different profit and pricing strategies between OPEC and non-OPEC countries. OPEC producers do not drive crude oil market prices up or down; to some extent, market traders and speculators assuming OPEC actions can cause oil price volatilities. The results also show that non-OPEC countries do not strictly follow OPEC strategies, except in the MTAR model with a negative error correction term. This exception means that both OPEC and non-OPEC producers react similarly to negative discrepancies when oil prices are too low.
