On the sources and consequences of oil price shocks [[electronic resource] ] : the role of storage / / Deren Unalmis, Ibrahim Unalmis, and D. Filiz Unsal

• Record Nr.: UNINA9910453122503321
• Autore: Unalmis Deren
• Pubbl/distr/stampa: Washington, D.C., : International Monetary Fund, c2012
• ISBN: 1-61635-702-9; 1-4755-9843-2; 1-283-94779-X
• Descrizione fisica: 1 online resource (42 p.)
• Collana: IMF working paper ; ; WP/12/270
• Altri autori (Persone): UnalmisIbrahim; UnsalD. Filiz
• Soggetti: Petroleum products - Prices - Econometric models; Petroleum products - Storage; Electronic books.
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: At head of title: Research Department -- verso of t.p.; "November 2012"-- verso of t.p.
• Nota di bibliografia: Includes bibliographical references (p. 22-25).
• Nota di contenuto: Cover; Contents; 1. Introduction; 2. The Model; 2.1 Households; 2.2 Firms and Production; 2.3 Monetary and Fiscal Policy; 2.4 Goods Market Equilibrium; 2.5 Storage and Oil Market Equilibrium; 3. Estimation; 3.1 Data; 3.2 Calibrated Parameters; 3.3 Prior Distributions and Estimation Results; 4. Conclusion; References; Appendix; Tables; 1. Calibrated parameters; 2. Prior distributions and posterior estimates (sample period: 1982Q1-2007Q4); 3. Variance decomposition (sample period: 1982Q1-2007Q4); 4. Variance decomposition (sample period: 2000Q1-2007Q4); Figures; 1. Impulse responses to a one standard deviation positive TFP shock2. Impulse responses to a one standard deviation positive labor productivity shock; 3. Impulse responses to a one standard deviation negative oil supply shock; 4. Impulse responses to a one standard deviation storage demand shock; 5. Impulse responses to a one standard deviation positive TFP shock with and without storage; 6. Impulse responses to a one standard deviation positive labor ; productivity shock with and without storage; 7. Impulse responses to a one standard deviation negative oil supplywith and without storage
• Sommario/riassunto: Building on recent work on the role of speculation and inventories in oil markets, we embed a competitive oil storage model within a DSGE model of the U.S. economy. This enables us to formally analyze the impact of a (speculative) storage demand shock and to assess how the effects of various demand and supply shocks change in the presence of oil storage facility. We find that business-cycle driven oil demand shocks are the most important drivers of U.S. oil price fluctuations during 1982-2007. Disregarding the storage facility in the model causes a considerable upward bias in the estimated rol