مدل‌سازی بازار نفت جهانی: ارزیابی مدل اقتصادسنجی سه‌ماهه

This paper describes a structural econometric model of the world oil market that can be used to analyse oil market developments and risks. Oil demand depends on domestic economic activity and the real price of oil. Oil supply for non-OPEC producers, based on competitive behaviours, is constrained by geological and institutional conditions. Oil prices are determined by a “price rule” that includes market conditions and OPEC behaviour. Policy simulations indicate that oil demand and non-OPEC supply are rather inelastic to changes in price, while OPEC decisions about quota and capacity utilisation have a significant, immediate impact on oil prices.

The oil shocks of the 1970s and 1980s prompted theoretical advances in energy economics (Griffin, 1993), many of which were used to model the world oil market. Standard structural energy models that simulated energy flows in physical terms remained important for international organisations (see e.g. Cozzi, 2004; European Commission, 1995), but the bulk of oil price-related studies conducted in the 1990s analyzed the links between oil prices and macroeconomic activity by applying new econometric techniques (e.g. VAR and VECM models). Recent price increases for oil combined with—and partly due to—geopolitical pressures and high demand have re-ignited interest in structural explanations of oil price formation based on market equilibrium (Krichene, 2002). Standard practice models the world oil market in terms of a supply–demand equilibrium schedule (e.g. Bacon, 1991; Al Faris, 1991). This approach has proved difficult due to characteristics specific to the oil market. Although a demand curve that relates quantities to prices can accurately represent oil demand, modelling supply is more difficult because oil is supplied by both a set of independent producers (non-OPEC nations) that act as price takers and an organization (OPEC) that uses a myriad of factors to determine levels of production and installed capacity. These aspects of OPEC production, along with changes in market conditions and OPEC behaviour, affect real oil prices (Kaufmann et al., 2004). Here, we address these particularities with a quarterly model for the world oil market that includes a pricing rule and demand and supply schedules for different regions of the world. To model supply, we distinguish between non-OPEC and OPEC production behaviours. Non-OPEC behaviour is assumed to be competitive (but subject to geological and institutional constraints), while OPEC production is modelled using various behaviours that are described in an extensive literature (see Smith, 2005 for a brief review). Among the behaviours described, two can be identified as corner solutions: a cartel model, in which OPEC is the price maker, and a competitive model, in which OPEC is a price taker. Efforts to choose among these behaviours focus in part on identifying the slope of OPEC's supply curve. A negative relationship between price and production has been interpreted as a backward bending supply curve, which indicates that OPEC sets production based on some type of non-competitive behaviour. Econometric analyses of these relationships indicates that production by individual OPEC nations and OPEC as a whole “Granger causes” oil prices but prices generally do not “Granger cause” production (Kaufmann et al., 2004). More recent research indicates that individual OPEC nations do increase production in response to higher prices, but this response can be overwhelmed by changes in OPEC quotas and production sharing behaviours (Kaufmann et al., in review). In other words, OPEC functions somewhere between the two corner solutions. To simulate this intermediate degree of “real-world” control over the world oil market, the effect of both market conditions and OPEC behaviour on oil prices often is modelled with a “price rule.” Such a rule gives the price at which OPEC is ready to act as a swing producer, given new demand conditions and market indicators that reflect the effect of behaviour by the dominant producer. The rest of this paper is organised as follows. Section 2 describes the general structure of the model. Section 3 discusses the econometric methodology and reports estimation results for the demand, supply and price equations. Section 4 assesses the model in terms of forecast performance and simulation properties. The final section summarises the major findings.

This paper describes a model of the world oil market that can be used to forecast oil supply, demand, and real prices and to analyse risks with each. The model simulates oil demand with behavioural equations that relate demand to domestic economic activity and the real price of oil. Oil supply for non-OPEC producers is simulated assuming a competitive behaviour that is constrained by geological and institutional factors. Real oil prices are simulated using a “price rule” that represents the effects of market conditions and OPEC behaviour. OPEC behaviour can be simulated using two modes, a cooperative behaviour, which ensures a balance between supply and demand, and a competitive behaviour which uses a rule that mimics basic petroleum economics. Simulations indicate that the model can be used to understand the responses of the world oil market to various types of shocks and changes in OPEC behaviours. For instance, the scenario that describes the effect of changes in OPEC capacity points out the economic reasons that OPEC members are reluctant to add capacity. The scenario that simulates a shock in OECD stocks demonstrates the significance of an externality associated with private decisions regarding optimal stock levels. The scenario that simulates alternative OPEC behaviours describes how the collapse of OPEC cooperation may have negative consequences for oil consuming nations, despite the reduction in average price. Finally, the model is able to generate a fairly accurate dynamic price “backcast”, by capturing changes in oil supply and demand that have caused real oil prices to fluctuate over the last two decades.