simultaneous equations model for world crude oil and natural gas markets
By: prepared by Noureddine Krichene.
Contributors: International Monetary Fund. African Dept.
Series: IMF working paper -- WP/05/32
Publisher: International Monetary Fund, African Dept.
Published: 2005
Place of publication: Washington, D.C
Language: eng
Number of pages: 24
Subjects: Petroleum products -- Prices -- Econometric models.; Natural gas -- Prices -- Econometric models.; Interest rates -- Econometric models.; Foreign exchange rates -- Econometric models.
Description: A model for world crude oil and natural gas markets is estimated. It confirms low price and high income elasticities of demand for both crude oil and natural gas, which explains the market power of oil producers and price volatility following shocks. The paper establishes a relationship between oil prices, changes in the nominal effective exchange rate (NEER) of the U.S. dollar, and the U.S. interest rates, thereby identifying demand shocks arising from monetary policy. Both interest rates and the NEER are shown to influence crude prices inversely. The results imply that crude oil prices should be included in the policy rule equation of an inflation targeting model.
Notes: "February 2005."

Includes bibliographical references (p. 23-24).

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