Modeling Dynamics of Oil Prices under Different Regimes of Oil Market Development

Leonid Varshavsky ()

Applied Econometrics, 2009, vol. 13, issue 1, 70-88

Abstract: The problem of modeling oil prices over the last three decades is analyzed. Because of radical changes of regimes on the oil market necessity of studying two periods of time (the 1980’s to the end of 1990’s and the end of 1990’s to 2008) is discussed. Two aggregate models reflecting the situation over the two periods are built: an econometric model of dynamics of oil market indicators and aggregate monetarist model of the US economy including an oil price prediction bloc. The influence of priorities of monetary policy on dynamics of macroeconomic indicators and oil prices is studied. Necessity of a parallel study of influence of high oil prices on oil sensitive industries is emphasized

Keywords: modeling; oil prices; aggregate monetarist model (search for similar items in EconPapers)
JEL-codes: C53 D43 E31 E52 G13 G18 Q43 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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