EconStor >
Bank of Canada, Ottawa >
Bank of Canada Working Papers >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/53767
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorBaumeister, Christianeen_US
dc.contributor.authorPeersman, Gerten_US
dc.date.accessioned2011-12-06en_US
dc.date.accessioned2011-12-15T12:55:33Z-
dc.date.available2011-12-15T12:55:33Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/53767-
dc.description.abstractThere 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.en_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2011,28en_US
dc.subject.jelE31en_US
dc.subject.jelE32en_US
dc.subject.jelQ43en_US
dc.subject.ddc330en_US
dc.subject.keywordEconometric and statistical methodsen_US
dc.subject.keywordInternational topicsen_US
dc.titleThe role of time-varying price elasticities in accounting for volatility changes in the crude oil Marketen_US
dc.typeWorking Paperen_US
dc.identifier.ppn678352615en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Bank of Canada Working Papers

Files in This Item:
File Description SizeFormat
678352615.pdf470.55 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.