Do OPEC announcements influence oil prices?

Amine Loutia (), Constantin Mellios and Kostas Andriosopoulos
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Amine Loutia: PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne
Constantin Mellios: PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne
Kostas Andriosopoulos: ESCP Europe Business School [Berlin]

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Abstract: This paper investigates the effect of OPEC production decisions (increase, cut, maintain) on both WTI and Brent crude oil prices between Q1 1991 and Q1 2015 by employing the event study methodology and by using two indices as benchmarks (BCI and S&P GSCI). We employ an EGARCH model to take into account the high volatility of oil prices and some stylized facts characterizing this volatility. We find that the impact of OPEC's announcements on oil prices (i)evolves over time and among decisions, (ii) is more significant for production cut and maintain, (iii) is different for WTI and Brent prices, and (iv) is sensitive to the benchmark index. Moreover, OPEC's decisions depend on the exploration and extraction cost of more expensive/unconventional oil resources.

Date: 2016-03
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Citations: View citations in EconPapers (13)

Published in Energy Policy, 2016, 90, pp.262-272. ⟨10.1016/j.enpol.2015.11.025⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03968824

DOI: 10.1016/j.enpol.2015.11.025

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