A dynamic network analysis of the world oil market: Analysis of OPEC and non-OPEC members

Rousan, Sahel Al; Sbia, Rashid; Taş, Bedri Kamil Onur

doi:10.1016/j.eneco.2018.07.032

Cited by 29 publications

(20 citation statements)

References 30 publications

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“…Figure 3 plots the trend in the average CARs for three types of OPEC announcements. According to existing literature, the result that the price reactions to announcements are generally not significant could not be related to the choice of commodity index [38][39][40][41][42][43][44]. This phenomenon could be correlated with OPEC's market power.…”

Section: The Reaction Of Oil Price To Announcementsmentioning

confidence: 96%

“…However, the increase announcement could drive oil prices to drop first, and then oil prices will go up during post-crisis periods. This is not a surprise due to the fact that OPEC often acts as a marginal producer in order to offset, whereas non-OPEC is generally considered as a price taker during pre-crisis periods [37,38].…”

Section: The Reaction Of Oil Price To Announcementsmentioning

confidence: 99%

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The Oil Market Reactions to OPEC’s Announcements

2019

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Because of the crucial implications of the market power of OPEC, the aim of this paper was to investigate the oil asymmetric market reactions, such as the price and risk reactions, to OPEC’s announcements. Specifically, this paper first explored the oil price reactions to OPEC’s announcements and their heterogeneity to depict the directional role of OPEC based on event study methodology. Furthermore, this paper analyzed the oil risk reactions in the framework of a linear model. Our findings reveal several key results. The oil price reactions to OPEC production decisions behave quite heterogeneously in three kinds of decisions. Specifically, the reaction to announcements of a production increase shows an invert “U” shape, whereas there is a linear effect of cut announcements. Otherwise, when a maintain decision is announced, the oil prices have no obvious change over the sample period. Additionally, the oil risk reactions to OPEC’s announcements are heavily related to the interaction item between OPEC decisions and its production over full sample periods. Furthermore, OPEC’s role in promoting stability in crude oil markets by changing its production shows a heterogeneous condition after global financial crisis.

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Section: The Reaction Of Oil Price To Announcementsmentioning

confidence: 96%

Section: The Reaction Of Oil Price To Announcementsmentioning

confidence: 99%

The Oil Market Reactions to OPEC’s Announcements

2019

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“…Moreover, Aastveit [19] found that the impact on the real oil price is more than twice of demand from emerging economies compared with that in developed counties. However, there are many reasons that result in such reactions, such as the major events mentioned in Section 2.2, as well as coordination levels and space capacity of countries [50,51].…”

Section: Discussionmentioning

confidence: 99%

The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks

Liao

et al. 2019

Energies

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Due to the crucial implication of oil risks for economic growth and policy making, the aim of this paper is to explore the heterogeneous interconnections of supply or demand in oil risks over time horizons and different countries. Specifically, we first examine the correlation of supply or demand in oil return risks and show the relationships in different countries based on wavelet coherence. Furthermore, we explore the time-varying interconnections between supply- or demand-side and oil return risks, as well as oil producers and demand countries. The empirical results show that the correlation between supply and oil return risks is relatively stable, whereas the linkage between demand and oil return risks shows greater volatility due to the impact of specific events. Further study indicates that there are heterogeneous interconnections between supply- or demand-side and oil return risks over sample periods. Specifically, the sign of response could be divided into four phases, i.e., 1997–2002, 2002–2010, 2010–2013 and 2014–2018. In addition, the interconnections of the demand side could be divided into three phases due to the sign of it. What is more, the dynamic interconnections of oil producers’ or countries’ demands behave quite heterogeneously in different countries. Thus policymakers should focus on the coordination level and space capacity in the global crude oil market.

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“…A multi-layer, multi-country network is extracted through a novel Bayesian graphical vector autoregressive model, which allows for a more comprehensive, dynamic representation of the network linkages than traditional or static pairwise Granger-causal inference approaches. Building on the complementary strengths in Espinasa et al (2017) and Rousan et al (2018), the layers of the network include country-and region-specific oil production levels and rigs, both through simultaneous and lagged temporal dependences among key factors, while controlling for oil prices and a world economic activity index. The proposed approach extracts relationships across all variables through a dynamic, cross-regional network.…”

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confidence: 99%

Multilayer network analysis of oil linkages

Casarin

Iacopini

Molina

et al. 2020

The Econometrics Journal

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Summary This manuscript proposes a new approach for unveiling existing linkages within the international oil market across multiple driving factors beyond production. A multilayer, multicountry network is extracted through a novel Bayesian graphical vector autoregressive model, which allows for a more comprehensive, dynamic representation of the network linkages than do traditional or static pairwise Granger-causal inference approaches. Building on previous work, the layers of the network include country- and region-specific oil production levels and rigs, both through simultaneous and lagged temporal dependences among key factors, while controlling for oil prices and a world economic activity index. The proposed approach extracts relationships across all variables through a dynamic, cross-regional network. This approach is highly scalable and adjusts for time-evolving linkages. The model outcome is a set of time-varying graphical networks that unveil both static representations of world oil linkages and variations in microeconomic relationships both within and between oil producers. An example is provided, illustrating the evolution of intra- and inter-regional relationships for two major interconnected oil producers: the United States, with a regional decomposition of its production and rig deployment, and the Arabian Peninsula and key Middle Eastern producers, with a country-based decomposition of production and rig deployment, while controlling for oil prices and global economic indices. Production is less affected by concurrent changes in oil prices and the overall economy than rigs. However, production is a lagged driver for prices, rather than rigs, which indicates that the linkage between rigs and production may not be fully accounted for in the markets.

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A dynamic network analysis of the world oil market: Analysis of OPEC and non-OPEC members

Cited by 29 publications

References 30 publications

The Oil Market Reactions to OPEC’s Announcements

The Oil Market Reactions to OPEC’s Announcements

The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks

Multilayer network analysis of oil linkages

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