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Analyse économétrique de l'intégration européenne des produits pétroliers : le marché du diesel en Allemagne et en France

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  • Muriel Cadren

    (IFPEN - IFP Energies nouvelles)

Abstract

Le marché spot des produits pétroliers de Rotterdam a connu un développement majeur ces dernières décennies comme source principale d'approvisionnement du Nord de l'Europe. Ceci a conduit les distributeurs européens de produits pétroliers à utiliser les prix de Rotterdam comme référence sur les marchés intérieurs. Dans cet article, on analyse plus particulièrement, au travers de tests économétriques, les relations entre les marchés du diesel allemand et français et le marché de Rotterdam. Dans un premier temps, l'existence de relations d'équilibre de long terme entre les prix du diesel des différents marchés est testée. L'estimation de modèles de cointégration et l'application des tests de non stationnarité permettent d'extraire et de mesurer les tendances qui lient ces trois marchés. Le second type de relations étudié décrit la dynamique existante entre les séries de prix. Cette approche passe par une modélisation vectorielle autorégressive (VAR). L'objectif est de mesurer l'impact sur les marchés d'une tension sur un des trois marchés. Les relations de causalité de Oranger entre les variables déduites des estimations VAR sont aussi étudiées.

Suggested Citation

  • Muriel Cadren, 1994. "Analyse économétrique de l'intégration européenne des produits pétroliers : le marché du diesel en Allemagne et en France," Working Papers hal-02434437, HAL.
    • Handle: RePEc:hal:wpaper:hal-02434437
    Note: View the original document on HAL open archive server: https://ifp.hal.science/hal-02434437
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    References listed on IDEAS

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