دانلود رایگان مقاله نوسانات پویای بلندمدت بین قیمت نفت خام اوپک و غیر اوپک

abstract

Understanding the long-run dynamics of OPEC and non-OPEC crude oil prices is important in an era of increased financialization of petroleum markets. Utilizing an ECM within a threshold cointegration and CGARCH errors framework, we provide evidence on the cointegrating relationship and estimate how and to what extent the respective prices adjust to eliminate disequilibrium. Our findings suggest that the adjustment process of OPEC prices to the positive discrepancies is slow which implies that OPEC producers do not prefer moderate oil prices; however, the reverse holds for non-OPEC producers. These results reflect distinct competitive behaviors between OPEC and non-OPEC producers.

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.