تجزیه و تحلیل تولید نفت توسط کشورهای عضو اوپک: پایداری، استراحت، و نقاط دورافتاده

This study examines the time series behaviour of oil production for OPEC member countries within a fractional integration modelling framework recognizing the potential for structural breaks and outliers. The analysis is undertaken using monthly data from January 1973 to October 2008 for 13 OPEC member countries. The results indicate there is mean reverting persistence in oil production with breaks identified in 10 out of the 13 countries examined. Thus, shocks affecting the structure of OPEC oil production will have persistent effects in the long run for all countries, and in some cases the effects are expected to be permanent.

According to the Energy Information Administration, in 2008 roughly 43% of the world’s oil production was attributed OPEC member countries. Furthermore, OPEC member countries have approximately 70% of the proven oil reserves in the world. Table 1 displays country specific oil production for 1973 and 2008, as one can see oil production in Algeria, Angola, Ecuador, Iraq, Qatar, Saudi Arabia, and the United Arab Emirates (UAE) show an increase while Indonesia, Iran, Kuwait, Libya, Nigeria, and Venezuela show a decrease relative to 1973. Furthermore, the International Energy Agency (IEA) and the Energy Information Administration (EIA) project an increase in global demand for oil over the next several decades which raises the question on whether this increased demand can be met by OPEC oil production. Table 1. OPEC countries oil production. Countries Oil production in barrels October in 2008 Oil production in barrels October in 1973 Oil reserves declared mb 2008 Algeria 1873.99 1059 12,200 Angola 1991 162 9500 Ecuador 496.874 220 6511 Indonesia 990 1447 3990 Iran 4100 5977 137,620 Iraq 2327.578 1846 115,000 Kuwait 2628.738 3060 101,500 Libya 1745 2370 44,271 Nigeria 2185 2200 37,200 Qatar 924.756 600 25,405 Saudi Arabia 9400 7796 264,063 U.A.E. 2660.912 1669 97,800 Venezuela 2360 3381 172,323 Total 33683.85 31,787 1,027,383 Source: Oil production from OPEC Annual Statistics Bulletin 2008 in thousands of barrels per day. Oil reserves in millions of barrels (mb). Table options OPEC’s oil production is influenced by a myriad of factors such as the price of oil and market conditions, i.e. the global demand for oil along with the production associated with non-OPEC oil producers and the geopolitical environment. OPEC has generally been successful in utilizing production cuts to prevent declines in price while on the other hand offsetting disruptions in the supply of oil and the rise in oil prices by increasing production. However, the pursuit of output policies has become more complicated given the emergence of the futures market in signaling oil prices and the corresponding adjustments in oil production. Indeed, the effectiveness of output policies hinges on the effectiveness of OPEC to influence market participants’ expectations in the futures market along with OPEC’s long-term investment plans to expand production capacity (Fattouh, 2007). By the early 1970s, in addition to the oil embargo, OPEC oil production was influenced by the change in the oil pricing system from multinational oil companies to OPEC with the halt on authorizing new concessions by OPEC governments, movement towards equity participation in the existing concessions, and in some cases the nationalization of the oil industry. As a result by the late 1970s, multinational companies diversified their oil supply sources in the development of oil reserves outside of OPEC. In response to higher oil prices by the early 1980s, the discovery of oil reserves in non-OPEC countries in conjunction with advances in new technology brought forth an increase in the supply of oil to the international market resulting in downward pressure on oil prices with OPEC losing market share. With the infusion of non-OPEC oil producers and their prices more responsive to competitive market conditions, OPEC abandoned the administered oil pricing system by the mid-1980s instead moving to market-reference pricing based on the price quotes provided by oil price reporting agencies. However, the limited liquidity of the spot market gave way to the use of the futures market which provided greater liquidity and price transparency. OPEC would adjust production quotas to achieve a desired price target zone. However, OPEC’s ability to influence price is dependent on market participants’ expectations in the futures market. Essentially, OPEC’s decisions on production quotas provided signals to the market about OPEC’s desired range of prices, the effectiveness of the signals depended on the whether the market believed that OPEC could make the necessary production adjustments in light of market conditions (Fattouh, 2007). In the face of a decrease in the global demand for oil, OPEC would attempt to defend a target price by cutting production. However, the success of such production cuts hinges on the coordination efforts and bargaining power of OPEC member countries. On the other hand, while coordination to increase production quotas may be easier with an increase in the global demand for oil, OPEC may not respond quickly to this upward trend given uncertainty about future demand (Fattouh, 2007). Due to the large investment outlays required and the irreversibility of the investment, the decision to wait and not increase oil production would be more profitable than to increase oil production when the trend may turn out to be false (Dixit and Pindyck, 1994, Gately, 2004 and Fattouh, 2007). The ability of OPEC to increase production capacity is also influenced by state control of the oil sector and the geopolitical climate. With respect to investment and production in member countries with state control of the oil sector, the increasing demands on the government to finance other socio-economic projects imposes budgetary constraints on national oil companies to expand production capacity. Also, an unfavorable geopolitical climate for OPEC member countries in terms of security concerns and sanctions would have an adverse impact on the investment climate and thus may limit capacity expansion. In light of the myriad of influences on OPEC’s oil production, understanding the time series behaviour of OPEC oil production is critical in the assessment of the impact of oil shocks and structural breaks on both oil supply and the repercussions for global economic activity.1 Specifically, this study examines the degree of persistence, potential breaks, and outliers of oil production for each OPEC member country within a fractional integration modelling framework. In particular, two important features commonly observed in oil production data are the persistence across time (Lien and Root, 1999 and Kang et al., 2009) and breaks in production (Altinay and Karagol, 2004, Lee and Chang, 2005, Narayan and Smyth, 2008 and Rao and Rao, 2009).2 Modelling the degree of persistence is important in that it can reflect the stability of production in a particular country and given the importance of oil production to other sectors of an economy the persistence of such shocks may be transmitted to other sectors of the economy and macroeconomic aggregates as well. Such transmission of shocks has implications for the effectiveness of government intervention or stabilization policies. Breaks and outliers are other important features that are present in monthly oil production data which may be attributed to fluctuations in oil prices, changes in the world geopolitical climate, and country-specific socio-economic events, among others.3 Indeed, if oil production is stationary I(0), shocks to oil production will be transitory and following major structural breaks in oil production, the supply of oil will return to its original equilibrium with the disruptions in oil production only having a temporary impact on the economic activity. However, if oil production contains a unit root (i.e., if it is nonstationary I(1)), shocks to oil production will have persistent effects on the supply of oil with the disruptions in oil production having a permanent impact on the economic activity ( Narayan et al., 2008). 4 In the present paper we extend the models based on I(0) and I(1) hypotheses to the fractional I(d) case, which permits the examination of the dependence oil production between periods. Despite the importance of oil as an energy source and the previous research on the oil industry, there are no studies that specifically analyse the persistence, breaks, and outliers associated with OPEC oil production. While studies consider, for example, oil consumption (Mohn and Osmundsen, 2008 and Lean and Smyth, 2009), returns on investment in oil (Boone, 2001) and oil exhaustion (Tsoskounoglou et al., 2008, Höök and Aleklett, 2008 and Karbassi et al., 2007), no studies have explored the long memory/persistence properties of OPEC oil production. The remainder of this study is organised as follows. Section 2 presents a review of the previous literature. Section 3 details the methodology. Section 4 presents the data and the empirical results. Section 5 deals with the discussion of the results, while Section 6 provides concluding remarks.

Unlike previous studies on oil production employing traditional unit root integrated models or even threshold unit root tests, this study adopts a fractional integration model adopted by Caporale and Gil-Alana, 2007 and Caporale and Gil-Alana, 2008 which incorporates breaks and outliers in the analysis. Specifically, we present different specifications based on fractional integration, first with no breaks, and then allowing outliers and breaks to describe time series dependence and other implicit dynamics of oil production in OPEC countries. The results indicate that the standard methods employed in the literature, based on stationary I(0) or nonstationary I(1) models are clearly rejected in favour of fractional degrees of integration. Evidence of long memory (d>0) is obtained in all cases, with orders of integration ranging from 0.642 (Iraq during the first subsample, January 1973–October 1980) to 1.141 (Libya, first subsample:January 1973–January 1981). However, the results substantially vary from one country to another. Thus, for Algeria, Indonesia, and Kuwait, we do not observe breaks, and mean reversion is obtained in the three countries with their orders of integration strictly below 1, which indicates that shocks are transitory and mean reverting, disappearing in the long run. Mean reversion is also observed in some countries in which a single break is required; for example, Iran, Qatar, UAE, Ecuador, and Venezuela during the first subsamples, and in the latter two countries outliers seem to be present as well. Finally, we observe two countries with two structural breaks, Iraq and Saudi Arabia. In the former country, mean reversion occurs during the sample period except for the period of the 1980s, and in Saudi Arabia during the period before the second break in September 1990. These results confirm the high degree of persistence in each series. Thus, the results indicate that shocks affecting the structure of OPEC oil production (based on the estimates of d in all tables), will have persistent effects in the long run for all countries, and in some cases the effects are expected to be permanent. Indeed, the maximum rate of oil production is determined by operational capacity which in turn is influenced by the existing capital structure. Hence, it is not surprising to observe a high degree of persistence in terms of oil production. The incorporation of outliers and structural breaks into the analysis highlights the role of exogenous events either political or economic, which may reduce production levels below operational capacity. As a consequence, disruptions in oil production and supply will have a persistent impact on economic activity as such shocks will be transmitted to other sectors of the economy. Therefore, it is crucial for policy makers to distinguish the nature of the shock (i.e. transitory or persistent) since the policy actions may differ as to the type of shock. In case of values of d equal to or above 1, stabilization policies in restoring production levels to equilibrium levels will be required; otherwise, the implications for oil production and supply will persist forever. On the other hand, for countries with values of d below 1, shocks will disappear in the long run as production will return to equilibrium levels over time without the need for stabilization efforts. In summary, it is clear that taking first differences in the oil production of OPEC countries under the assumption of a unit root, may lead in some cases to series that are over-differenced, and subsequently such a procedure may result in inappropriate policy actions. Similarly, the standard analysis based on cointegration techniques and involving oil productioni should be examined in the more general context of fractional cointegration (Robinson and Hualde, 2003 and Johansen, 2008). Second, persistence behaviour is another characteristic of these data although for some countries the adjustment process takes a long time to disappear in which case an active oil policy stance is required to restore oil production levels. Third, outliers do not alter the main conclusions of this study though in two countries (Ecuador and Venezuela) outliers should be considered even in the context of structural breaks. Fourth, the breaks in oil production are specific to each country or common to OPEC policy, signifying that there are specific events that affect each country’s oil production and common elements to many OPEC countries.