The Determinants of Crude Oil Prices: Evidence from ARDL and Nonlinear ARDL Approaches

Leila Ben Salem, Ridha Nouira, Khaled Jeguirim and Christophe Rault

No 10050, CESifo Working Paper Series from CESifo

Abstract: This paper is an innovative attempt to empirically investigate the determinants of crude oil prices. The main objective is to distinguish between short- and long-term effects of some covariates on oil prices. The autoregressive distributed lag (ARDL) approach is applied to daily series spanning the period from January 2, 2003, to May 24, 2021, to analyze long-run relationships and short-run dynamics. The paper also focuses on the asymmetric effects of covariates and a nonlinear ARDL (NARDL) approach is used to explore this asymmetry. The use of an asymmetric error correction model with asymmetric cointegration provides new insights for examining the determinants of oil prices. All investigations of underlying oil price fluctuations are examined both before and in the COVID-19 pandemic. Our results, based on different econometric specifications, have key policy implications for policymakers both with and without COVID-19 potential considerations.

Keywords: crude oil prices; ARDL; nonlinear ARDL; symmetric and asymmetric (search for similar items in EconPapers)
JEL-codes: C50 Q40 Q43 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: The determinants of crude oil prices: Evidence from ARDL and nonlinear ARDL approaches (2022)
Working Paper: The determinants of crude oil prices: Evidence from ARDL and nonlinear ARDL approaches (2022)
Working Paper: The determinants of crude oil prices: Evidence from ARDL, and non linear ARSL approaches (2022)
Working Paper: The Determinants of Crude Oil Prices: Evidence from ARDL and Nonlinear ARDL Approaches (2022)
Working Paper: The determinants of crude oil prices: Evidence from ARDL, and nonlinear ARSL approaches (2022)
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