Iranian Energy Economics

Analysis of the Dynamics of Crude Oil Commercial Stocks with Respect to Structural Shocks and Convenience yield

Document Type : Research Paper

Authors

Abdolsadeh Neisy 1
Teymour Mohammadi 2
Sara Azimi 3
Akram Mohammadi 4

1 Mathematics/Mathemaics/Alameh Tabataba'i university/Tehran/Iran

2 Economics/Economics/Alameh Tabatabaie

3 -PHD Student of Oil and Gas Economics at Allameh Tabataba'i University

4 Master of Mathematics at Allameh Tabataba'i University

https://doi.org/10.22054/jiee.2018.9103
Abstract
Crude oil commercial stocks are one of the main components of the oil market, and its fluctuations are important in the analysis of the oil market. The purpose of this study is to investigate the unprecedented accumulation of crude oil commercial stocks according to structural shocks and convenience yield, since the onset of crude oil prices decline. In this study, the effect of structural shocks on fluctuations of crude oil commercial stocks was analyzed in the form of a structural vector auto regression model (SVAR) over the period from 2006 to 2016. Also, for the first time, convenience yield is calculated using the inverse problem method. This paper has two innovations. First, it is the first time that convenience yield is calculated in the oil market using the inverse problem method. Second, for the first time, the dynamics of crude oil commercial stocks are analyzed expanding Killian’s SVAR Model (2009).The results show that from late 2014 onwards, mostly crude oil supply shocks and crude oil inventory demand shocks have contributed to oil commercial accumulation. Also results show that WTI futures term structure (spread) has been in contango based on the negative net convenience yield since October 2014 and has led to accumulating more crude oil commercial stocks with speculative purposes.

Keywords

Crude oil commercial stocks
Structural Vector Auto Regression Model
convenience yield
inverse problem
Iranian Energy Economics
Volume 7, Issue 26 - Serial Number 2
Spring 2018
Pages 157-191

  • Receive Date 14 May 2018
  • Accept Date 11 September 2018
  • First Publish Date 11 September 2018
  • Publish Date 21 March 2018

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