ما الذي يقود سعر النفط الخام؟ تحليل للمحددات والعوامل المسببة للصدمات
Résumé
منذ سبعينيات القرن الماضي، أصبح سعر النفط شديد التقلب، ويتميز بحالة من عدم اليقين حول مساراته. في هذه الورقة نحاول إعادة النظر في الأسباب الحقيقية التي كانت وراء أهم الصدمات، من خلال تحليل العوامل الأساسية وهي: الطلب والعرض، والعوامل الأخرى التي من المرجح أنها ساهمت في بعض الصدمات وهي: المضاربة المالية؛ والمضاربة في السوق المادي؛ والمخزونات. وذلك من خلال تحليل بيانات هذه العوامل وتتبع تزامن التغيرات التي حدثت فيها مع التغيرات في السعر، وبالاستعانة بمسح لنتائج وآراء الأدبيات. توصلنا إلى أن صدمات العرض تؤثر على سعر النفط، ولكن، في حالة ما إذا كان الطلب ينمو بمعدل مستمر وثابت نسبيا. ولا يمكن القول إن العرض أو الطلب هو المحدد الرئيسي، وإنما سعر النفط يتحدد من خلال تفاعل كل من قوى العرض والطلب كغيره من أسعار السلع الأخرى. العوامل الأخرى يمكن أن يكون لها أثر غير مباشر على السعر، بحيث تساهم في زيادة حدة بعض الصدمات، ليس كعامل جديد مستقل، ولكن من خلال تأثيرها على العرض والطلب.
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Références
Kilian, Lutz. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market." The American Economic Review, 2009: 1053-1069.
Juvenal, Luciana, and Ivan Petrella. "Speculation in the oil market." Journal of applied econometrics, 2015: 621-649.
Ji, Qiang, and Ying Fan. "Evolution of the world crude oil market integration: A graph theory analysis." Energy Economics, 2016: 90-100.
Kaufmann, Robert K. "The role of market fundamentals and speculation in recent price changes for crude oil." Energy Policy, 2011: 105-115, p 4.
Ibid.
Smith, James L. "World oil: market or mayhem?" CEEPR, 2008.
Kaufmann, Robert K, Stephane Dees, Pavlos Karadeloglou, and Marcelo Sánchez. "Does OPEC matter? An econometric analysis of oil prices." The Energy Journal, 2004: 67-90.
Brémond, Vincent, Emmanuel Hache, and Valérie Mignon. "Does OPEC still exist as a cartel? An empirical investigation." Energy Economics, 2012: 125-131.
Kilian, Lutz. "Oil Price shocks : causes and consequences." Annual Review of Resource Economics, 2014: 133-154.
Hamilton, James D. "Understanding crude oil prices (No. w14492)." National Bureau of Economic Research, 2008, p 21.
Kilian, Lutz, and Bruce Hicks. "Did unexpectedly strong economic growth cause the oil price shock of 2003–2008?" Journal of Forecasting, 2013: 385-394.
Singleton, Kenneth J. "Investor flows and the 2008 boom/bust in oil prices." Management Science, 2013: 300-318.
Alquist, Ron, and Olivier Gervais. "The role of financial speculation in driving the price of crude oil." The Energy Journal, 2011.
Büyükşahin, Bahattin, and Jeffrey H. Harris. "Do speculators drive crude oil futures prices?" The Energy Journal, 2011: 167-202.
Fattouh, Bassam, Lutz Kilian, and Lavan Mahadeva. "The role of speculation in oil markets: What have we learned so far?" 2012.
Sanders, Dwight R., Keith Boris, and Mark Manfredo. "Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports." Energy Economics, 2004: 425-445.
Hamilton, James D. "Causes and Consequences of the Oil Shock of 2007–08." Brookings Papers on Economic Activity, 2009.
Kilian, Lutz, and Thomas K Lee. "Quantifying the speculative component in the real price of oil: The role of global oil inventories." Journal of International Money and Finance, April 2014: 71-87.
Chevillon, Guillaume, and Christine Rifflart. "Physical market determinants of the price of crude oil and the market premium." Energy Economics, 2009: 537-549.
Kilian, Lutz, and Daniel P. Murphy. "The role of inventories and speculative trading in the global market for crude oil." Journal of Applied Econometrics, 2014: 454-478.
Griffin, James M. "OPEC behavior: a test of alternative hypotheses." The American Economic Review, 1985: 954-963.
Hamilton, James D. "Oil and the macroeconomy since World War II." Journal of political economy, 1983: 228-248.
Hamilton, James D. "Historical oil shocks (No. w16790)." National Bureau of Economic Research, 2011.
Matsumoto, Ken'ichi, Vlasios Voudouris, Dimitrios Stasinopoulos, Robert Rigby, and Carlo Di Maio. "Exploring crude oil production and export capacity of the OPEC Middle East countries." Energy policy, 2012: 820-828.
Kilian, Lutz. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market." The American Economic Review, 2009: 1053-1069.
Juvenal, Luciana, and Ivan Petrella. "Speculation in the oil market." Journal of applied econometrics, 2015: 621-649.
Ji, Qiang, and Ying Fan. "Evolution of the world crude oil market integration: A graph theory analysis." Energy Economics, 2016: 90-100.
Kaufmann, Robert K. "The role of market fundamentals and speculation in recent price changes for crude oil." Energy Policy, 2011: 105-115, p 4.
Smith, James L. "World oil: market or mayhem?" CEEPR, 2008.
Kaufmann, Robert K, Stephane Dees, Pavlos Karadeloglou, and Marcelo Sánchez. "Does OPEC matter? An econometric analysis of oil prices." The Energy Journal, 2004: 67-90.
Brémond, Vincent, Emmanuel Hache, and Valérie Mignon. "Does OPEC still exist as a cartel? An empirical investigation." Energy Economics, 2012: 125-131.
Kilian, Lutz. "Oil Price shocks : causes and consequences." Annual Review of Resource Economics, 2014: 133-154.
Hamilton, James D. "Understanding crude oil prices (No. w14492)." National Bureau of Economic Research, 2008, p 21.
Kilian, Lutz, and Bruce Hicks. "Did unexpectedly strong economic growth cause the oil price shock of 2003–2008?" Journal of Forecasting, 2013: 385-394.
Singleton, Kenneth J. "Investor flows and the 2008 boom/bust in oil prices." Management Science, 2013: 300-318.
Alquist, Ron, and Olivier Gervais. "The role of financial speculation in driving the price of crude oil." The Energy Journal, 2011.
Büyükşahin, Bahattin, and Jeffrey H. Harris. "Do speculators drive crude oil futures prices?" The Energy Journal, 2011: 167-202.
Fattouh, Bassam, Lutz Kilian, and Lavan Mahadeva. "The role of speculation in oil markets: What have we learned so far?" 2012.
Sanders, Dwight R., Keith Boris, and Mark Manfredo. "Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports." Energy Economics, 2004: 425-445.
Hamilton, James D. "Causes and Consequences of the Oil Shock of 2007–08." Brookings Papers on Economic Activity, 2009.
Kilian, Lutz, and Thomas K Lee. "Quantifying the speculative component in the real price of oil: The role of global oil inventories." Journal of International Money and Finance, April 2014: 71-87.
Chevillon, Guillaume, and Christine Rifflart. "Physical market determinants of the price of crude oil and the market premium." Energy Economics, 2009: 537-549.
Kilian, Lutz, and Daniel P. Murphy. "The role of inventories and speculative trading in the global market for crude oil." Journal of Applied Econometrics, 2014: 454-478.
Griffin, James M. "OPEC behavior: a test of alternative hypotheses." The American Economic Review, 1985: 954-963.
Hamilton, James D. "Oil and the macroeconomy since World War II." Journal of political economy, 1983: 228-248.
Hamilton, James D. "Historical oil shocks (No. w16790)." National Bureau of Economic Research, 2011.
Matsumoto, Ken'ichi, Vlasios Voudouris, Dimitrios Stasinopoulos, Robert Rigby, and Carlo Di Maio. "Exploring crude oil production and export capacity of the OPEC Middle East countries." Energy policy, 2012: 820-828.
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