Do OPEC announcements influence oil prices?

Amine Loutia, Constantin Mellios and Kostas Andriosopoulos

Energy Policy, 2016, vol. 90, issue C, 262-272

Abstract: This paper investigates the effect of OPEC production decisions (increase, cut, maintain) on both WTI and Brent crude oil prices between Q1 1991 and Q1 2015 by employing the event study methodology and by using two indices as benchmarks (BCI and S&P GSCI). We employ an EGARCH model to take into account the high volatility of oil prices and some stylized facts characterizing this volatility. We find that the impact of OPEC’s announcements on oil prices (i)evolves over time and among decisions, (ii) is more significant for production cut and maintain, (iii) is different for WTI and Brent prices, and (iv) is sensitive to the benchmark index. Moreover, OPEC’s decisions depend on the exploration and extraction cost of more expensive/unconventional oil resources.

Keywords: WTI crude oil; Brent crude oil; OPEC; Announcements; Event study; EGARCH (search for similar items in EconPapers)
JEL-codes: G14 L10 Q40 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:90:y:2016:i:c:p:262-272

DOI: 10.1016/j.enpol.2015.11.025

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