Terrorism and the behavior of oil production and prices in OPEC

Manuel Monge and Enrique Cristóbal

Resources Policy, 2021, vol. 74, issue C

Abstract: This paper contributes to the discussion of the role that terrorism plays in oil production and oil prices literature by studying the dynamics of terrorist attacks and oil production in OPEC. To this purpose, we use techniques based on fractional integration, fractional cointegration VAR (FCVAR) and wavelet analysis. Monthly data related to OPEC oil production, OPEC basket crude oil prices and terrorist attacks from January 1970 to December 2018 are used. The results, using fractional integration and cointegration techniques, indicate that the time series analyzed are highly persistent and there are no long-term deviations. Finally, using wavelet analysis, we conclude that the impact of the terrorist attacks in oil production and oil prices are non-significant and has a short-term component, recovering the original trend values between 1 and 10 months after the terrorist shock.

Keywords: Oil production; Oil prices; Terrorist attacks; Fractional integration; FCVAR model; Wavelet analysis (search for similar items in EconPapers)
JEL-codes: C00 C22 E0 N4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003317

DOI: 10.1016/j.resourpol.2021.102321

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