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Transitory and permanent shocks in the global market for crude oil

Nooman Rebei () and Rashid Sbia ()

Journal of Applied Econometrics, 2021, vol. 36, issue 7, 1047-1064

Abstract: This paper documents the determinants of real oil price in the global market based on an empirical model embedding transitory and permanent shocks. We find evidence of significant differences in the propagation mechanisms of transitory versus permanent disturbances, pointing to the importance of disentangling their distinct effects. Permanent supply shocks are found to be very influential in driving oil price fluctuations.

Date: 2021
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https://doi.org/10.1002/jae.2863

Related works:
Working Paper: Transitory and permanent shocks in the global market for crude oil (2021)
Working Paper: Transitory and Permanent Shocks in the Global Market for Crude Oil (2020) Downloads
Working Paper: Transitory and Permanent Shocks in the Global Market for Crude Oil (2019) Downloads
Working Paper: Transitory and Permanent Shocks in the Global Market for Crude Oil (2019) Downloads
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