Oil threshold value between oil price and production

Panoeconomicus

Thanh Ha Thieu Thi¹  Yang Tzu-Yi¹  Yen Chia-Wei² 

[1] Ming Chi University of Technology, Department of Business and Management, Taishan Dist., New Taipei City, Taiwan;Oil and Gas E&P Department Formosa Petrochemical Corporation, Taipei, Taiwan;

关键词: panel smooth transition regression (pstr) model;    threshold effects;    crude oil prices;    crude oil production;    nonlinear relationship;   

DOI  :  10.2298/PAN161013009Y

来源: DOAJ

【 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.

【 授权许可】

Unknown