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Record Nr. |
UNINA9910973896503321 |
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Autore |
Unalmis Deren |
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Titolo |
On the Sources and Consequences of Oil Price Shocks : : The Role of Storage / / Deren Unalmis, Ibrahim Unalmis, Filiz Unsal |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2012 |
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ISBN |
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9781616357023 |
1616357029 |
9781475598438 |
1475598432 |
9781283947794 |
128394779X |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (42 p.) |
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Collana |
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IMF Working Papers |
IMF working paper ; ; WP/12/270 |
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Altri autori (Persone) |
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UnalmisIbrahim |
UnsalFiliz |
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Disciplina |
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Soggetti |
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Petroleum products - Prices - Econometric models |
Petroleum products - Storage |
Investments: Energy |
Inflation |
Macroeconomics |
Economic Theory |
General Aggregative Models: Keynes |
Keynesian |
Post-Keynesian |
Energy and the Macroeconomy |
Energy: Demand and Supply |
Prices |
Energy: General |
Commodity Markets |
Price Level |
Deflation |
Agriculture: Aggregate Supply and Demand Analysis |
Investment & securities |
Economic theory & philosophy |
Oil prices |
Oil |
Commodity price fluctuations |
Supply shocks |
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Commodities |
Economic theory |
Petroleum industry and trade |
Supply and demand |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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At head of title: Research Department -- verso of t.p. |
"November 2012"-- verso of t.p. |
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Nota di bibliografia |
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Includes bibliographical references (p. 22-25). |
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Nota di contenuto |
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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 |
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Sommario/riassunto |
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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 role of oil supply shocks in driving oil price fluctuations. Our results also confirm that a change in the composition of shocks helps explain the resilience of the macroeconomic environment to the oil price surge after 2003. Finally, speculative storage is shown to have a mitigating or amplifying role depending on the nature of the shock. |
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