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Transitory and permanent shocks in the global market for crude oil

Nooman Rebei () and Rashid Sbia ()

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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.

Keywords: Bayesian; estimationKalman; lteringNarrative; analysisOil; marketVector; autoregressions (search for similar items in EconPapers)
Date: 2021-11
Note: View the original document on HAL open archive server: https://hal-amu.archives-ouvertes.fr/hal-03355309
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Published in Journal of Applied Econometrics, Wiley, 2021, 36 (7), pp.1047-1064. ⟨10.1002/jae.2863⟩

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Related works:
Journal Article: Transitory and permanent shocks in the global market for crude oil (2021) Downloads
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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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03355309

DOI: 10.1002/jae.2863

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