عنوان مقاله [English]
The purpose of this study is to investigate the asymmetric effects of crude oil prices on oil stocks in OPEC member countries. Indeed, in this research, the effects of positive and negative shocks of OPEC crude oil prices on OPEC's oil reserves index have been studied using the non-linear distributed autoregressive model (NARDL) during the period of 1980 to 2015.The results show that the effects of positive and negative shocks of crude oil prices on oil reserves life in short run for Venezuela are asymmetric; for Iran, Libya, the United Arab Emirates, Angola and Ecuador in long run are asymmetric; for Saudi Arabia and Kuwait in both short run and long run are asymmetric, and finally symmetric for Iraq, Qatar, Nigeria and Algeria countries. Also, the results of the model show that the effect of negative oil price shocks on oil reserves life of these countries (exclude Libya) is higher than positive oil price shocks. The results of the cumulative asymmetric effect of oil price shocks on the oil reserves life show that response of the oil reserves life of Saudi Arabia and Kuwait to the asymmetric oil price shocks is different from that of other OPEC members, because the asymmetric oil price shocks have a permanent and significantly negative effect on their oil reserves life. While this effect is temporary and positive for Venezuela and temporary and negative for Libya, it is not statistically significant for other countries.
قربانی پاشاکلایی، وحید، مرتضی خورسندی، تیمور محمدی، شهلا خالقی، عباس شاکری و سید تقی ابطحیفروشانی (1393)، «الگوی بهره برداری بهینه از میادین نفتی در چارچوب مدل کنترل بهینه: مطالعه موردی یکی از میادین نفتی ایران»، پژوهشنامه اقتصاد انرژی ایران، سال 4، شماره 13، صص 191-220.
Adelman, Morris Albert (1986), “Oil Producing Countries Discount Rates, [Cambridge, Mass.]: Massachusetts Institute of Technology”, Center for Energy Policy Research, Working paper (Massachusetts Institute of Technology. Energy Laboratory); MIT-EL 86-015WP.
Alam, M.I. and R.M. Quazy (2003), Determinant of Capital Flight: an Econometric Case Study of Bangladesh), Review of Applied Economics, Vol. 17, PP. 85-103.
Aleksandrov, Nikolay, Raphael A. Espinoza, and Lajos Gyurkó (2012), Optimal Oil Production and the World Supply of Oil, [Washington, D.C.].
Apergis N., Ewing B. T., and Payne J. E. (2016), “Oil Reserve Life and the Influence of Crude oil Prices: An Analysis of Texas Reserves”, Energy Economics, 55, 266–271.
Banerji, A., J. Dolado, J. W. Galbraith and D. F. Hendry (1993), “Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data”, Oxford University Press.
Cavallo, A. (2002), “Predicting the Peak in World Oil Production”, Natural Resources Research, Vol 11, PP. 187–195.
Cherian, J. Patel, and I. Khripko (1998), “Optimal Extraction of Nonrenewable Resources when Prices are Uncertain and Costs Cumulate”, NUS Business School Working Paper.
Farzin, Y. Hossein (1984), “The Effect of the Discount Rate on Depletion of Exhaustible Resources”, the Journal of Political Economy, Vol. 92, No. 5, pp. 841-851.
Feygin,M., Satkin, R. (2004), “The Oil Reserves-to-production Ratio and its Proper Interpretation”, Natural Resources Research, 13, 57–60.
Granger, C.W. and G.Yoon (2002), “Hidden Cointegration”, Working Paper: University of California, Available at: https://econpapers.repec.org/paper/ecjac2002/92.htm.
Hallock, J., P. Tharakan, C. Hall and M. Wu.W. Jefferson (2004), “Forecasting the Limits to the Availability of Global Conventional Oil Supply”, Energy, 29, 1673–1696.
Hotelling, H. (1931), “The Economics of Exhaustible Resources”, The Journal of Political Economy, 39 (2), 137-175.
Khalatbari, Firauzeh (1977), “Market Imperfections and the Optimum Rate of Depletion of Natural Resources”, Economica, New Series, 44 (176), 409-414.
Lin, C. Y. C. (2009), “Insights from a Simple Hotelling Model of the World Oil Market”, Natural Resources Research, 18(1), 19-28.
Lin, Lawell, C. Y. C. (2005). Optimal world oil extraction: calibrating and simulating the Hotelling model. University of California, Available at: https://ssrn.com/abstract=616961.
Narayan, P. K. and S. Narayan (2004), “Estimating Income and Price Elasticity's of Imports for Fiji in a Cointegration Framework”, Economic Modeling, 22, 423-438.
Pesaran, M.H. and Y. Shin (1999), An Autoregressive Distributed Lag Modeling Approach toCointegration Analysis, In: Storm, S. (Ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Cambridge University Press, Cambridge (Chapter 11/ 371-341).
Pindyck, R. S. (1983), “The Optimal Production of an Exhaustible Resource When Price is Exogenous and Stochastic”, The Scandinavian Journal of Economics, 83(2), 277-288.
Pindyck, Robert (1978), “Optimal Exploration and Production of a Nonrenewable Resource”, Journal of political Economy, 86(5), 841-861.
Shin, Y., Yu, B., and Greenwood-Nimmo, M. (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework”, Festschrift in Honor of Peter Schmidt, Springer, New York, 281–314.