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世界石油和库存研究:全球VAR分析World Oil and Inventory Study: A Global VAR Analysis 世界石油和库存研究:全球VAR分析World Oil and Inventory Study: A Global VAR Analysis

世界石油和库存研究:全球VAR分析World Oil and Inventory Study: A Global VAR Analysis

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  • 更新时间:2021-09-17
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尽管有许多期刊文章,预测研究和书籍,但对冲击世界石油市场的实际定量价值或经济成本知之甚少。给定的政治或经济动荡的潜在后果尚不清楚,并且似乎取决于预测时的市场状况和冲击的特殊性质(见图1)。这项研究建立了一个新的分析框架来分析对世界石油​​市场的冲击。我们以Mohaddes和Pesaran在2016年开发的全球矢量自回归(GVAR)模型为基础,其中包括一个新变量OECD石油库存,从而创建了GVAR石油和库存模型GOVAR。我们还通过添加两个新的国家(俄罗斯和委内瑞拉)来扩大其地理覆盖范围。

Despite numerous journal articles, forecasting studies, and books, very little is known about the actual quantitative value, or economic cost, of shocks to world oil markets. The potential consequences of a given political or economic disturbance are unclear, and appear to depend on market conditions at the time of forecast and the idiosyncratic nature of the shock (see Figure 1). This study develops a new analytical framework to analyze shocks to world oil markets. We build upon the global vector autoregression (GVAR) model developed in 2016 by Mohaddes and Pesaran to include a new variable, OECD oil inventories, creating the GVAR Oil and Inventory Model — GOVAR. We also expand its geographic coverage by adding two new countries, Russia and Venezuela.

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