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Oil demand shocks reconsidered: A cointegrated vector autoregression

机译：重新考虑石油需求冲击：协整向量自回归

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摘要

We reconsider the conclusions about the importance of oil demand shocks and the unimportance of supply shocks reported by Kilian (2009). We investigate whether the proxy for worldwide real economic activity, dry bulk maritime freight costs, represents anything more than transportation costs by analyzing the relation between these costs and oil prices. The meaning of this variable is critical because transportation costs appear on both sides of the equations estimated by Kilian, directly as dry bulk maritime freight costs and as part of the measure for oil prices. We also investigate the effects of representing oil supply with an aggregate of OPEC and non-OPEC production because they likely use different criteria to chose output. Finally we investigate Kilian's use of the first difference of supply while the other variables in his model are represented as levels. The results suggest that OPEC and nonOPEC nations use different criteria to set output and that reductions (increases) in OPEC production raise (lower) oil prices. The elements of the cointegrating relations, their loadings, and impulse response functions suggest that the positive relation between dry bulk maritime freight costs and oil prices simply represents the effect of higher oil prices on transportation costs. Sensitivity analyses suggest that these differences are caused by including transportation costs in the measure of oil prices, aggregating OPEC and non-OPEC productions, and using a very long lag length to estimate the VAR. Together, these results suggest that conclusions about the importance of demand shocks and the unimportance of supply shocks are not robust to alternative specifications that are consistent with many empirical findings about the world oil market.
机译：我们重新考虑关于石油需求冲击的重要性和基利安（2009）报告的供应冲击的重要性的结论。通过分析这些成本与石油价格之间的关系，我们调查了代表全球实际经济活动的代理（干散货海运成本）是否代表运输成本。该变量的含义至关重要，因为运输成本出现在基利安估算的方程式的两边，直接作为干散装海上货运成本，并且作为衡量油价的一部分。我们还研究了用石油输出国组织和非石油输出国组织生产来代表石油供应的影响，因为它们可能使用不同的标准来选择产出。最后，我们研究了基利安对供给的第一个差异的使用，而他模型中的其他变量则表示为水平。结果表明，欧佩克和非欧佩克国家使用不同的标准来设定产量，而欧佩克减产（增加）将提高（降低）石油价格。协整关系的要素，它们的负荷和冲激响应函数表明，干散装海上货运成本与油价之间的正向关系仅表示较高的油价对运输成本的影响。敏感性分析表明，这些差异是由于将运输成本包括在衡量油价中，将欧佩克和非欧佩克的产值相加以及使用很长的滞后时间来估算VAR引起的。综合起来，这些结果表明，关于需求冲击的重要性和供应冲击的不重要的结论，对于与世界石油市场的许多实证研究结果相符的替代性规范，并不可靠。

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  • 来源
    《Energy economics》 |2014年第1期|33-40|共8页
  • 作者

    Marek Kolodzeij; Robert.K. Kaufmann;

  • 作者单位

    Department of Earth and Environment, Boston University, 675 Commonwealth Avenue, Boston 02215, USA;

    Department of Earth and Environment, Boston University, 675 Commonwealth Avenue, Boston 02215, USA;

  • 收录信息 美国《科学引文索引》(SCI);美国《工程索引》(EI);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Oil prices; Oil demand shock; Oil supply shock; OPEC; Non-OPEC;

    机译：石油价格;石油需求冲击;供油冲击;欧佩克;非欧佩克;

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