Long run dynamic volatilities between OPEC and non-OPEC crude oil prices

Hassan Ghassan () and Hassan Rafdan AlHajhoj

Applied Energy, 2016, vol. 169, issue C, 384-394

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.

Keywords: Dynamic volatility; Threshold cointegration; Component GARCH; OPEC; Oil prices (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (9)

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Working Paper: Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices (2016)
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DOI: 10.1016/j.apenergy.2016.02.057

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