On the sources and consequences of oil price shocks : the role of storage

Deren Unalmis, Ibrahim Unalmis, and D. Filiz Unsal

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

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Year of publication:	2012
Authors:	Unalmis, Deren ; Unalmis, Ibrahim ; Unsal, D. Filiz
Publisher:	Washington, DC : Internat. Monetary Fund
Subject:	Ölpreis \| Oil price \| Lagerhaltungsmodell \| Inventory model \| Dynamisches Gleichgewicht \| Dynamic equilibrium \| USA \| United States \| 1982-2007

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Extent:	Online-Ressource graph. Darst.
Series:	IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 12/270 IMF Working Papers
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	"November 2012"-- verso of t.p At head of title: Research Department -- verso of t.p Includes bibliographical references (p. 22-25) Systemvoraussetzungen: Acrobat Reader 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 Electronic reproduction; Available via World Wide Web
ISBN:	978-1-4755-8636-7 ; 978-1-4755-8636-7
Source:	ECONIS - Online Catalogue of the ZBW

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