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

Leila Ben Salem (), Ridha Nouira (), Khaled Jeguirim and Christophe Rault
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Leila Ben Salem: University of Sousse
Ridha Nouira: University of Sousse

No 15666, IZA Discussion Papers from Institute of Labor Economics (IZA)

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: Nonlinear ARDL; ARDL; crude oil price; symmetric and asymmetric; COVID-19 (search for similar items in EconPapers)
JEL-codes: C5 Q4 Q43 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2022-10
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (2)

Published - published in: Resources Policy, 2022, 79, 103085

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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 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 ARSL approaches (2022)
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