Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices

Hassan Ghassan and Hassan R. Alhajhoj

MPRA Paper from University Library of Munich, Germany

Abstract: Understanding the long-run dynamics of OPEC and non-OPEC crude oil prices is important in an era of increased financialization of petroleum markets. Utilizing an ECM within a threshold cointegration and CGARCH errors framework, we provide evidence on the cointegrating relationship and estimate how and to what extent the respective prices adjust to eliminate disequilibrium. Our findings suggest that the adjustment process of OPEC prices to the positive discrepancies is slow which implies that OPEC producers do not prefer moderate oil prices; however, the reverse holds for non-OPEC producers. These results reflect distinct competitive behaviors between OPEC and non-OPEC producers.

Keywords: Dynamic volatility; Threshold cointegration; Component GARCH; OPEC; Oil prices. (search for similar items in EconPapers)
JEL-codes: C5 E03 E39 F53 F69 (search for similar items in EconPapers)
Date: 2015-06-03, Revised 2016-01-15
New Economics Papers: this item is included in nep-ene and nep-mac
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Citations: View citations in EconPapers (9)

Published in Applied Energy http://dx.doi.org/10.1016/j.apenergy.2016.02.057.169(2016): pp. 384-394

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https://mpra.ub.uni-muenchen.de/122984/1/MPRA_paper_69962.pdf revised version (application/pdf)

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Journal Article: Long run dynamic volatilities between OPEC and non-OPEC crude oil prices (2016)
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