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Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales

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La recherche explique comment le cours des actions des compagnies pétrolières dépend du prix à terme du pétrole. La modélisation est appliquée aux principales compagnies pétrolières Shell: Exxon Mobil, BP, Total et Chevron. La recherche est originale car elle porte sur les relations à court et long terme à partir de modèles à correction d'erreur vectorielle (VECM) avec changements de régime. La modélisation structurelle, entre le cours des actions des compagnies pétrolières et le prix à terme du pétrole, est menée à partir de modèles de d’autorégression vectorielle (VAR) en lien avec la cointégration. La recherche est conduite en utilisant des données mensuelles de novembre 1989 à juin 2011. La stationnarité des séries temporelles est testée avec les tests de DickeyFuller, PhilipsPerron et KPSS. Les approches d’EngleGranger et Johansen ne permettent pas de trouver une relation de long terme sur toute la période. Cependant, l’approche de Bai et Perron permet d’identifier 5 changements de régime et de modéliser des relations de cointégration différentes sur ces souspériodes. Afin d'identifier les relations de cointégration à changements de régime, la méthode Gregory et Hansen est utilisée et les résultats montrent une cointégration avec des changements de régime. Les VECM associés à la cointégration avec changements de régime sont estimés. Le VECM permet de comprendre la dynamique sur le court terme. Puis l'analyse économique et financière est faite. L’analyse de choc est mise en oeuvre avec la fonction de réponse impulsionnelle. De plus, le test ARCHLM montre l'existence d'un modèle ARCH vectoriel. La recherche indique comment les dernières techniques de cointégration sont utiles notamment en incluant des ruptures structurelles endogènes menant à des évolutions de régimes. D'autres recherches seront effectuées pour estimer si l'on peut couvrir les risques de fluctuations des prix des matières premières en utilisant les cours boursiers des entreprises cotées dans des marchés beaucoup plus liquides. Cette modélisation sera complétée par la construction de modèles de court terme incorporant des changements de régime avec l’approche markovienne MSVAR et MSVECM.

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  • Declerck , Francis & Indjehagopian , Jean-Pierre & Bellocq , Flavien, 2015. "Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales," ESSEC Working Papers WP1504, ESSEC Research Center, ESSEC Business School.
    • Handle: RePEc:ebg:essewp:dr-15004
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    1. Jushan Bai, 1994. "Least Squares Estimation Of A Shift In Linear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(5), pages 453-472, September.
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    3. Tillmann, Peter, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers 27/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
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    5. Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-560, August.
    6. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    7. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
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    More about this item

    Keywords

    marchés à terme; changements structurels multiples; VAR; cointégration; pétrole; prix à terme du pétrole; cours boursier des compagnies pétrolières; modèle à changement de régime markovien;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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