NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Three Epochs of Oil

Eyal Dvir, Kenneth S. Rogoff

NBER Working Paper No. 14927
Issued in April 2009
NBER Program(s):   IFM   ME

We test for changes in price behavior in the longest crude oil price series available (1861-2008). We find strong evidence for changes in persistence and in volatility of price across three well defined periods. We argue that historically, the real price of oil has tended to be highly persistent and volatile whenever rapid industrialization in a major world economy coincided with uncertainty regarding access to supply. We present a modified commodity storage model that fully incorporates demand, and further can accommodate both transitory and permanent shocks. We show that the role of storage when demand is subject to persistent growth shocks is speculative, instead of its classic mitigating role. This result helps to account for the increased volatility of oil price we observe in these periods.

download in pdf format
   (305 K)

email paper

This paper is available as PDF (305 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w14927

Users who downloaded this paper also downloaded these:
Hamilton w16790 Historical Oil Shocks
Barsky and Kilian w10855 Oil and the Macroeconomy Since the 1970s
Hamilton w15002 Causes and Consequences of the Oil Shock of 2007-08
Reinhart and Rogoff w15639 Growth in a Time of Debt
Reinhart and Rogoff w15795 From Financial Crash to Debt Crisis
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us