Asset Value, Interest Rates and Oil Price Volatility

Vipin Arora ()

ANU Working Papers in Economics and Econometrics from Australian National University, College of Business and Economics, School of Economics

Abstract: Simulations from a standard two-region model where producers respond to changes in interest rates are better able to match observed data than an identical model without supply-side responses. This indicates that incorporating the supply-side behaviour of oil producers is quantitatively important when endogenously modeling oil prices. These results have two implications. First, adding supply-side responses can change the oil price/output relationship, which is a continuing topic of research interest. Second, if production is unable to adjust to interest rate changes, an important explanatory factor of oil price volatility may be missing.

JEL-codes: E37 F47 Q43 (search for similar items in EconPapers)
Pages: 25 Pages
Date: 2011-01
New Economics Papers: this item is included in nep-ene and nep-mac
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Citations: View citations in EconPapers (9)

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Journal Article: Asset Value, Interest Rates and Oil Price Volatility (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:acb:cbeeco:2011-536

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