Research seminar (Job Talk): An empirical storage model for the oil market
- Lin Ma, NMBU
- 11 April 2018
- 11:45 - 12:45
- Auditoriet, SSB, Akersveien 26
An empirical storage model for the oil market
This paper studies the importance of demand shocks explaining the formation of short-run oil price using an extended commodity storage model for the period 1986–2009. I employ a multivariate method to extract the cyclical component of oil price and find a large and positive effect of global GDP shock on the oil price cycles in a VAR model. I estimate the commodity storage model using a moment matching method. All parameters are estimated significantly. The model shows the good capability of reproducing the volatility and persistence of oil price cycles. I find that the autocorrelation of oil price fully attributes to the speculation effect. The production shock accounts for 80 percent of the variance in the oil price cycles. The GDP shock, however, generates a moderate effect on the oil price cycles in the commodity storage model.