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Transitory and Permanent Shocks in the Global Market for Crude Oil

Nooman Rebei () and Rashid Sbia ()

No 2020/047, IMF Working Papers from International Monetary Fund

Abstract: This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus permanent shocks, pointing to the importance of disentangling their distinct effects. Permanent supply disruptions turn out to be a bigger factor in historical oil price movements during the most recent decades, while speculative shocks became less influential.

Keywords: WP; Oil market; Vector autoregressions; Narrative analysis; Bayesian estimation; Kalman filtering; oil price; demand shocks transmission; supply and demand demand shock; medium term; oil supply shock; price upswing; oil price plunge; oil price volatility; oil-supply shocks; oil price dynamics; price decline; window estimation result; Oil prices; Oil; Oil production; Supply shocks; Commodity price fluctuations; Global; standard deviation (search for similar items in EconPapers)
Pages: 41
Date: 2020-02-28
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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 (2021)
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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