DO DEMAND AND SUPPLY SHOCKS EXPLAIN USA'S OIL STOCK FLUCTUATIONS?

摘要

In this paper using historical monthly data on the US oil stocks (Crude Oil and Petroleum Products Ending Stock-coppes), industrial production, and oil production, we examine whether supply and demand shocks explain the apparent decline in the volatility of the growth of COPPES since about the mid-1980s. We find that in both the short-run and long-run, shocks to the US COPPES explain the bulk of the variations in its own error variance. Cumulatively, the impact of demand and supply shocks at the long-run horizon amounts to about 40 percent although at the short horizon the impact of demand and supply shocks is relatively less.