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A Markov-switching dynamic regression analysis of the asymmetries related to the determinants of US crude oil production between 1982 and 2019
Petroleum Science ( IF 6.0 ) Pub Date : 2021-01-29 , DOI: 10.1007/s12182-021-00549-y
Serge Djoudji Temkeng , Achille Dargaud Fofack

The structural changes brought about by shale oil revolution have inspired this paper of which the aim is to analyze the potential asymmetries related to the determinants of crude oil production in the USA. Thus, using a Markov-switching dynamic regression model in which parameters change when oil production moves from one regime to the other, it is found that for both oil production and oil relative importance, the regime that was dominant during the 1980s and the early 1990s when oil production in the USA was substantially high is the same regime that has once again become dominant in the decade corresponding to the shale oil revolution. Furthermore, the study reveals the existence of asymmetries in the relationship between US crude oil production and both manufacturing production and the consumer price index. Asymmetries are also found in the relationship between the relative importance US crude oil and manufacturing production. Finally, it is found that the intercept and the variance parameter also vary from one regime to the other, thus justifying the use of regime-dependent models.



中文翻译:

1982年至2019年间与美国原油产量决定因素相关的不对称性的马尔可夫切换动态回归分析

页岩油革命带来的结构变化激发了本文的灵感,其目的是分析与美国原油产量决定因素相关的潜在不对称性。因此,使用马尔可夫切换动态回归模型,其中,当石油生产从一个政权转移到另一个政权时,参数会发生变化,发现对于石油生产和石油相对重要性而言,该政权在1980年代和1990年代初期占主导地位当美国的石油产量大幅提高时,在与页岩油革命相对应的十年中,该政权再次成为主导。此外,该研究揭示了美国原油产量与制造业产量和消费者价格指数之间的关系中存在不对称性。在美国原油的相对重要性与制造业生产之间的关系中也发现了不对称性。最后,发现截距和方差参数在一个方案之间也有所不同,因此证明了使用依赖方案的模型是合理的。

更新日期:2021-01-29
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