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000002505 0247_ $$a10.34989/swp-2011-28$$2DOI
000002505 035__ $$a10.34989/swp-2011-28
000002505 041__ $$aeng
000002505 084__ $$aE Macroeconomics and Monetary Economics$$03005
000002505 084__ $$aE3 Prices, Business Fluctuations, and Cycles$$03029
000002505 084__ $$aE31 Price Level; Inflation; Deflation$$03031
000002505 084__ $$aE32 Business Fluctuations; Cycles$$03032
000002505 084__ $$aQ Agricultural and Natural Resource Economics; Environmental and Ecological Economics$$o3665
000002505 084__ $$aQ4 Energy$$o3702
000002505 084__ $$aQ43 Energy and the Macroeconomy$$o3706
000002505 245__ $$aThe Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market
000002505 269__ $$a2011
000002505 300__ $$a1 online resource (iii, 24 pages plus figures)
000002505 336__ $$aText
000002505 347__ $$bPDF
000002505 520__ $$aThere has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early 1990s. We explore reasons for this evolution. We show that a likely explanation of this empirical fact is that both the short-run price elasticities of oil demand and of oil supply have declined considerably since the second half of the 1980s. This implies that small disturbances on either side of the oil market can generate large price responses without large quantity movements, which helps explain the latest run-up and subsequent collapse in the price of oil. Our analysis suggests that the variability of oil demand and supply shocks actually has decreased in the more recent past preventing even larger oil price fluctuations than observed in the data.$$7Abstract
000002505 520__ $$aDepuis 1986, la volatilité du prix réel du pétrole brut a systématiquement augmenté, alors que celle de la production pétrolière s’est atténuée depuis le début des années 1990. Les auteurs se penchent sur les raisons de cette évolution. Ils montrent que celle-ci s’explique vraisemblablement par le fait que les élasticités-prix à court terme de la demande et de l’offre d’or noir ont toutes deux considérablement diminué depuis la deuxième moitié des années 1980. Dans ces conditions, de petites perturbations dans la demande ou l’offre de pétrole peuvent engendrer de fortes fluctuations des prix sans faire varier les quantités de façon significative, ce qui aide à comprendre la récente envolée des cours de l’or noir et leur effondrement subséquent. D’après l’analyse des auteurs, la variance des chocs de demande et d’offre de pétrole a en fait baissé dernièrement. Sans ce recul, le prix du pétrole aurait fluctué encore plus.$$7Résumé
000002505 540__ $$aCreative Commons Attribution 4.0 International$$uhttps://creativecommons.org/licenses/by/4.0/legalcode$$fCC-BY-4.0
000002505 6531_ $$aEconometric and statistical methods
000002505 6531_ $$aInternational topics
000002505 6531_ $$aMéthodes économétriques et statistiques
000002505 6531_ $$aQuestions internationales
000002505 7001_ $$aBaumeister, Christiane
000002505 7001_ $$aPeersman, Gert
000002505 789__ $$w1701-9397$$2ISSN$$eIsPartOf
000002505 791__ $$aJournalArticle$$eIsPreviousVersionOf$$iStaff Working Paper is published in peer-reviewed journal$$2DOI$$tThe Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market$$w10.1002/jae.2283$$c2012$$dJournal of Applied Econometrics (Wiley Blackwell)$$j28$$k7$$o1087$$q1109
000002505 791__ $$aDataset$$eIsSupplementedBy$$tThe role of time-varying price elasticities in accounting for volatility changes in the crude oil market (replication data)$$whttps://www.oar-rao.bank-banque-canada.ca/record/4471$$2URL$$dZBW - Leibniz Informationszentrum Wirtschaft$$c2012$$iAssociated peer-reviewed publication is accompanied by reproducibility package
000002505 8301_ $$aStaff Working Paper
000002505 8301_ $$aDocument de travail du personnel
000002505 8564_ $$uhttps://www.oar-rao.bank-banque-canada.ca/record/2505/files/wp2011-28.pdf$$988223982-84d5-494e-8ee3-acb7edba8d6e$$s481845$$zFile Source: Bank of Canada website, 2024
000002505 909CO $$ooai:www.oar-rao.bank-banque-canada.ca:2505$$pbibliographic
000002505 980__ $$aStaff Research
000002505 980__ $$aRDM
000002505 991__ $$aPublic