Oil Threshold Value between Oil Price and Production

被引：8

作者：

Yang, Tzu-Yi ^{[1
]}

Thieu Thi Thanh Ha ^{[1
]}

Yen, Chia-Wei ^{[2
]}

机构：

[1] Ming Chi Univ Technol, Dept Business & Management, Taipei, Taiwan

[2] Formosa Petrochem Corp, Oil & Gas E&P Dept, Taipei, Taiwan

来源：

PANOECONOMICUS | 2019年 / 66卷 / 04期

关键词：

Panel smooth transition regression (PSTR) model; Threshold effects; Crude oil prices; Crude oil production; Nonlinear relationship; ECONOMIC-ACTIVITY; FUTURES PRICES; STOCK MARKETS; CO-MOVEMENT; CRUDE; COINTEGRATION; SHOCKS; US; DEMAND; IMPACT;

D O I：

10.2298/PAN161013009Y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study proposes a panel smooth transition regression (PSTR) model to investigate the nonlinear relationship between crude oil prices and crude oil production in 122 countries, both OPEC and non-OPEC, from March 1994 to October 2015. The statistical test for the existence of a threshold effect indicates that the relationship between oil prices and oil production is nonlinear, with different changes over time among the oil price and transition variables. Additionally, a threshold value exists. Furthermore, crude oil price volatility exhibits asymmetric responses to production volatility by fluctuating above or below the threshold value. Finally, when crude oil price volatility with a lag of two periods exceeds the threshold value, crude oil production changes have a positive impact on crude oil price volatility. In contrast, when crude oil price volatility with a lag of two periods is less than the threshold value, crude oil production changes have a negative impact on price volatility.

引用

页码：487 / 505

页数：19

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