| 来源类型 | Discussion paper
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| 规范类型 | 论文
|
| 来源ID | DP7753
|
| DP7753 The Role of Inventories and Speculative Trading in the Global Market for Crude Oil |
| Lutz Kilian; Daniel Murphy
|
| 发表日期 | 2010-03-21
|
| 出版年 | 2010
|
| 语种 | 英语
|
| 摘要 | We develop a structural model of the global market for crude oil that for the first time explicitly allows for shocks to the speculative demand for oil as well as shocks to the flow demand and flow supply. The forward-looking element of the real price of oil is identified with the help of data on oil inventories. The model estimates rule out explanations of the 2003-08 oil price surge based on unexpectedly diminishing oil supplies and based on speculative trading. Instead, we find that this surge was caused by fluctuations in the flow demand for oil driven by the global business cycle. There is evidence, however, that speculative demand shifts played an important role during earlier oil price shock episodes including 1979, 1986, and 1990. Recently, it has been suggested that it is possible for speculative trading to occur even without any change in oil inventories, if the short-run price elasticity of oil demand is zero. Our structural model allows us to obtain an estimate of this elasticity based on shifts of the supply curve along the demand curve. We show that, even after accounting for the role of inventories in smoothing oil consumption, our estimate of the price elasticity of oil demand is not close to zero and much higher than traditional estimates from dynamic models that do not account for price endogeneity. This eliminates speculation as an explanation of the 2003-08 oil price surge. |
| 主题 | International Macroeconomics
|
| 关键词 | Oil market
Speculation
Fundamentals
Peak oil
Inventories
Demand
Supply
Oil demand elasticity
Gasoline demand elasticity
Structural model
|
| URL | https://cepr.org/publications/dp7753
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536589
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推荐引用方式
GB/T 7714 |
Lutz Kilian,Daniel Murphy. DP7753 The Role of Inventories and Speculative Trading in the Global Market for Crude Oil. 2010.
|
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