Oil threshold value between oil price and production
This study proposes a panel smooth transition regression (PSTR) model to investigate the nonlinear relationship between crude oil prices and crude oil production in 122 countries, both OPEC and non-OPEC, from March 1994 to October 2015. The statistical test for the existence of a threshold effect in...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2019-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2019/1452-595X1700009Y.pdf |
| _version_ | 1818361973281128448 |
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| author | Yang Tzu-Yi Thanh Ha Thieu Thi Yen Chia-Wei |
| author_facet | Yang Tzu-Yi Thanh Ha Thieu Thi Yen Chia-Wei |
| author_sort | Yang Tzu-Yi |
| collection | DOAJ |
| description | This study proposes a panel smooth transition regression (PSTR) model to investigate the nonlinear relationship between crude oil prices and crude oil production in 122 countries, both OPEC and non-OPEC, from March 1994 to October 2015. The statistical test for the existence of a threshold effect indicates that the relationship between oil prices and oil production is nonlinear, with different changes over time among the oil price and transition variables. Additionally, a threshold value exists. Furthermore, crude oil price volatility exhibits asymmetric responses to production volatility by fluctuating above or below the threshold value. Finally, when crude oil price volatility with a lag of two periods exceeds the threshold value, crude oil production changes have a positive impact on crude oil price volatility. In contrast, when crude oil price volatility with a lag of two periods is less than the threshold value, crude oil production changes have a negative impact on price volatility. |
| first_indexed | 2024-12-13T21:25:11Z |
| format | Article |
| id | doaj.art-ab9a74f8c7624d3e8397ac2dfaca5ca3 |
| institution | Directory Open Access Journal |
| issn | 1452-595X 2217-2386 |
| language | English |
| last_indexed | 2024-12-13T21:25:11Z |
| publishDate | 2019-01-01 |
| publisher | Economists' Association of Vojvodina |
| record_format | Article |
| series | Panoeconomicus |
| spelling | doaj.art-ab9a74f8c7624d3e8397ac2dfaca5ca32022-12-21T23:30:59ZengEconomists' Association of VojvodinaPanoeconomicus1452-595X2217-23862019-01-0166448750510.2298/PAN161013009Y1452-595X1700009YOil threshold value between oil price and productionYang Tzu-Yi0Thanh Ha Thieu Thi1Yen Chia-Wei2Ming Chi University of Technology, Department of Business and Management, Taishan Dist., New Taipei City, TaiwanMing Chi University of Technology, Department of Business and Management, Taishan Dist., New Taipei City, TaiwanOil and Gas E&P Department Formosa Petrochemical Corporation, Taipei, TaiwanThis study proposes a panel smooth transition regression (PSTR) model to investigate the nonlinear relationship between crude oil prices and crude oil production in 122 countries, both OPEC and non-OPEC, from March 1994 to October 2015. The statistical test for the existence of a threshold effect indicates that the relationship between oil prices and oil production is nonlinear, with different changes over time among the oil price and transition variables. Additionally, a threshold value exists. Furthermore, crude oil price volatility exhibits asymmetric responses to production volatility by fluctuating above or below the threshold value. Finally, when crude oil price volatility with a lag of two periods exceeds the threshold value, crude oil production changes have a positive impact on crude oil price volatility. In contrast, when crude oil price volatility with a lag of two periods is less than the threshold value, crude oil production changes have a negative impact on price volatility.http://www.doiserbia.nb.rs/img/doi/1452-595X/2019/1452-595X1700009Y.pdfpanel smooth transition regression (pstr) modelthreshold effectscrude oil pricescrude oil productionnonlinear relationship |
| spellingShingle | Yang Tzu-Yi Thanh Ha Thieu Thi Yen Chia-Wei Oil threshold value between oil price and production Panoeconomicus panel smooth transition regression (pstr) model threshold effects crude oil prices crude oil production nonlinear relationship |
| title | Oil threshold value between oil price and production |
| title_full | Oil threshold value between oil price and production |
| title_fullStr | Oil threshold value between oil price and production |
| title_full_unstemmed | Oil threshold value between oil price and production |
| title_short | Oil threshold value between oil price and production |
| title_sort | oil threshold value between oil price and production |
| topic | panel smooth transition regression (pstr) model threshold effects crude oil prices crude oil production nonlinear relationship |
| url | http://www.doiserbia.nb.rs/img/doi/1452-595X/2019/1452-595X1700009Y.pdf |
| work_keys_str_mv | AT yangtzuyi oilthresholdvaluebetweenoilpriceandproduction AT thanhhathieuthi oilthresholdvaluebetweenoilpriceandproduction AT yenchiawei oilthresholdvaluebetweenoilpriceandproduction |