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Do OPEC announcements influence oil prices?

Author

Listed:
  • Amine Loutia

    (PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne)

  • Constantin Mellios

    (PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne)

  • Kostas Andriosopoulos

    (ESCP Europe Business School [Berlin])

Abstract

This paper investigates the effect of OPEC production decisions (increase, cut, maintain) on both WTI and Brent crude oil prices between Q1 1991 and Q1 2015 by employing the event study methodology and by using two indices as benchmarks (BCI and S&P GSCI). We employ an EGARCH model to take into account the high volatility of oil prices and some stylized facts characterizing this volatility. We find that the impact of OPEC's announcements on oil prices (i)evolves over time and among decisions, (ii) is more significant for production cut and maintain, (iii) is different for WTI and Brent prices, and (iv) is sensitive to the benchmark index. Moreover, OPEC's decisions depend on the exploration and extraction cost of more expensive/unconventional oil resources.

Suggested Citation

  • Amine Loutia & Constantin Mellios & Kostas Andriosopoulos, 2016. "Do OPEC announcements influence oil prices?," Post-Print hal-03968824, HAL.
    • Handle: RePEc:hal:journl:hal-03968824
    DOI: 10.1016/j.enpol.2015.11.025
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    Cited by:

    1. Keller, Michael, 2022. "Oil revenues vs domestic taxation: Deeper insights into the crowding-out effect," Resources Policy, Elsevier, vol. 76(C).
    2. Luo, Keyu & Ye, Yong, 2024. "How responsive are retail electricity prices to crude oil fluctuations in the US? Time-varying and asymmetric perspectives," Research in International Business and Finance, Elsevier, vol. 69(C).
    3. Shioji, Etsuro, 2021. "Pass-through of oil supply shocks to domestic gasoline prices: evidence from daily data," Energy Economics, Elsevier, vol. 98(C).
    4. Shen, Yiran & Sun, Xiaolei & Ji, Qiang & Zhang, Dayong, 2023. "Climate events matter in the global natural gas market," Energy Economics, Elsevier, vol. 125(C).
    5. Klein, Tony, 2018. "Trends and Contagion in WTI and Brent Crude Oil Spot and Futures Markets - The Role of OPEC in the last Decade," QBS Working Paper Series 2018/05, Queen's University Belfast, Queen's Business School.
    6. Zhang, Qi & Yang, Kun & Hu, Yi & Jiao, Jianbin & Wang, Shouyang, 2023. "Unveiling the impact of geopolitical conflict on oil prices: A case study of the Russia-Ukraine War and its channels," Energy Economics, Elsevier, vol. 126(C).
    7. Celso Brunetti & Marc Joëts & Valérie Mignon, 2023. "Reasons Behind Words: OPEC Narratives and the Oil Market," Working Papers hal-04196053, HAL.
    8. Cui, Jinxin & Alshater, Muneer M. & Mensi, Walid, 2023. "Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets," Resources Policy, Elsevier, vol. 86(PA).
    9. Xianyang Li & Jiayi Xu & Haoxuan Xu & Yunxuan Ma & Yu Zhong & Lei Wang, 2023. "An Empirical Study on the Holiday Effect of China's Time-Honored Companies," Papers 2308.00702, arXiv.org.
    10. Liang Hu & Yoon‐Jin Lee, 2024. "New evidence on crude oil market efficiency," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 892-916, April.

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