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Autor
Salisu Afees A. (University of Ibadan, Nigeria), Adediran Idris A. (Obafemi Awolowo University, Nigeria)
Tytuł
The U.S. Shale Oil Revolution and the Behavior of Commodity Prices
Źródło
Econometric Research in Finance, 2018, vol. 3, nr 1, s. 27-53, rys., wykr., bibliogr. 46 poz.
Słowa kluczowe
Wstrząs podażowy, Rynki finansowe, Gaz łupkowy, Cena produktu, Model wektorowej autoregresji
Supply shock, Financial markets, Shale gas, Product price, Vector Autoregression Model (VAR)
Uwagi
JEL classifcation: C32, E31, E32, Q02, Q43
summ.
Kraj/Region
Stany Zjednoczone Ameryki
United States of America (USA)
Abstrakt
The United States is committed to technological improvements in horizontal drilling and hydraulic fracturing in its drive of toppling the world's leading oil producers by the mid-2020s and evolving into a net oil exporter by 2030. Consequently, these technological innovations revolutionized the U.S. oil sector and the international oil market with increasing relevance of the shale oil and attendant shock spillovers to financial and commodity markets. Upon these attractions and consistent with evidence in the literature, we trace the oil price and commodity price dynamics to the shale oil revolution using a recursive structural VAR model of the shale supply shocks. In line with the standard practice of ensuring sensitivity of results, we conduct analyses such as impulse responses, forecast-error variance decomposition, and historical decompositions to accommodate energy and nonenergy commodity components. We show, in addition to the popular view in the extant literature, that the shale oil revolution is not only associated with the recent oil price plunge, but also responsible for the tumble in the total energy-based commodity prices with crude oil price being just a component. (original abstract)
Dostępne w
Biblioteka SGH im. Profesora Andrzeja Grodka
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Bibliografia
Pokaż
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Cytowane przez
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ISSN
2451-1935
2451-2370
Język
eng
URI / DOI
https://doi.org/10.33119/ERFIN.2018.3.1.2
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