Analysis of the Dynamics of Crude Oil Commercial Stocks with Respect to Structural Shocks and Convenience yield
Crude oil commercial stocks are one of the main components of the oil market, and its fluctuations are important in the analysis of the oil market. The purpose of this study is to investigate the unprecedented accumulation of crude oil commercial stocks according to structural shocks and convenience...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2018-03-01
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| Series: | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| Subjects: | |
| Online Access: | https://jiee.atu.ac.ir/article_9103_5ff9cb66f12936f189eff46e5928a7c8.pdf |
| _version_ | 1797369261442727936 |
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| author | Abdolsadeh Neisy Teymour Mohammadi Sara Azimi Akram Mohammadi |
| author_facet | Abdolsadeh Neisy Teymour Mohammadi Sara Azimi Akram Mohammadi |
| author_sort | Abdolsadeh Neisy |
| collection | DOAJ |
| description | Crude oil commercial stocks are one of the main components of the oil market, and its fluctuations are important in the analysis of the oil market. The purpose of this study is to investigate the unprecedented accumulation of crude oil commercial stocks according to structural shocks and convenience yield, since the onset of crude oil prices decline. In this study, the effect of structural shocks on fluctuations of crude oil commercial stocks was analyzed in the form of a structural vector auto regression model (SVAR) over the period from 2006 to 2016. Also, for the first time, convenience yield is calculated using the inverse problem method. This paper has two innovations. First, it is the first time that convenience yield is calculated in the oil market using the inverse problem method. Second, for the first time, the dynamics of crude oil commercial stocks are analyzed expanding Killian’s SVAR Model (2009).The results show that from late 2014 onwards, mostly crude oil supply shocks and crude oil inventory demand shocks have contributed to oil commercial accumulation. Also results show that WTI futures term structure (spread) has been in contango based on the negative net convenience yield since October 2014 and has led to accumulating more crude oil commercial stocks with speculative purposes. |
| first_indexed | 2024-03-08T17:44:09Z |
| format | Article |
| id | doaj.art-a56f6f761b2948d4b8f6cb09d589c972 |
| institution | Directory Open Access Journal |
| issn | 2423-5954 2476-6437 |
| language | fas |
| last_indexed | 2024-03-08T17:44:09Z |
| publishDate | 2018-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| spelling | doaj.art-a56f6f761b2948d4b8f6cb09d589c9722024-01-02T10:48:27ZfasAllameh Tabataba'i University PressPizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān2423-59542476-64372018-03-0172615719110.22054/jiee.2018.91039103Analysis of the Dynamics of Crude Oil Commercial Stocks with Respect to Structural Shocks and Convenience yieldAbdolsadeh Neisy0Teymour Mohammadi1Sara Azimi2Akram Mohammadi3Mathematics/Mathemaics/Alameh Tabataba'i university/Tehran/IranEconomics/Economics/Alameh Tabatabaie-PHD Student of Oil and Gas Economics at Allameh Tabataba'i UniversityMaster of Mathematics at Allameh Tabataba'i UniversityCrude oil commercial stocks are one of the main components of the oil market, and its fluctuations are important in the analysis of the oil market. The purpose of this study is to investigate the unprecedented accumulation of crude oil commercial stocks according to structural shocks and convenience yield, since the onset of crude oil prices decline. In this study, the effect of structural shocks on fluctuations of crude oil commercial stocks was analyzed in the form of a structural vector auto regression model (SVAR) over the period from 2006 to 2016. Also, for the first time, convenience yield is calculated using the inverse problem method. This paper has two innovations. First, it is the first time that convenience yield is calculated in the oil market using the inverse problem method. Second, for the first time, the dynamics of crude oil commercial stocks are analyzed expanding Killian’s SVAR Model (2009).The results show that from late 2014 onwards, mostly crude oil supply shocks and crude oil inventory demand shocks have contributed to oil commercial accumulation. Also results show that WTI futures term structure (spread) has been in contango based on the negative net convenience yield since October 2014 and has led to accumulating more crude oil commercial stocks with speculative purposes.https://jiee.atu.ac.ir/article_9103_5ff9cb66f12936f189eff46e5928a7c8.pdfcrude oil commercial stocksstructural vector auto regression modelconvenience yieldinverse problem |
| spellingShingle | Abdolsadeh Neisy Teymour Mohammadi Sara Azimi Akram Mohammadi Analysis of the Dynamics of Crude Oil Commercial Stocks with Respect to Structural Shocks and Convenience yield Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān crude oil commercial stocks structural vector auto regression model convenience yield inverse problem |
| title | Analysis of the Dynamics of Crude Oil Commercial Stocks with Respect to Structural Shocks and Convenience yield |
| title_full | Analysis of the Dynamics of Crude Oil Commercial Stocks with Respect to Structural Shocks and Convenience yield |
| title_fullStr | Analysis of the Dynamics of Crude Oil Commercial Stocks with Respect to Structural Shocks and Convenience yield |
| title_full_unstemmed | Analysis of the Dynamics of Crude Oil Commercial Stocks with Respect to Structural Shocks and Convenience yield |
| title_short | Analysis of the Dynamics of Crude Oil Commercial Stocks with Respect to Structural Shocks and Convenience yield |
| title_sort | analysis of the dynamics of crude oil commercial stocks with respect to structural shocks and convenience yield |
| topic | crude oil commercial stocks structural vector auto regression model convenience yield inverse problem |
| url | https://jiee.atu.ac.ir/article_9103_5ff9cb66f12936f189eff46e5928a7c8.pdf |
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