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This paper develops a methodology to test whether recent developments on world oil markets are in line with the hypothesis of efficient markets. We treat the joint hypothesis problem as stated by Fama (1970), Fama (1991), that market efficiency can only be assessed in conjunction with a price...
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Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
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the former but not the latter explanation. -- Petroleum Economics ; Stochastic Dynamic Optimization …
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, OECD and U.S. oil and petroleum inventories and consumption, and historical and implied volatility. When we model the … predicted by the theory of storage. However results show that excess inventory is not adequately modelled as deviations from a … are modelled separately, we find that shocks to OECD petroleum consumption directly widen negative spreads. Further …
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We present a general equilibrium model of the global oil market, in which the oil price, oil production, and consumption, are jointly determined as outcomes of the optimizing decisions of oil importers and oil exporters. On the supply side the oil market is modelled as a dominant firm – Saudi...
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