Oil Threshold Value between Oil Price and Production

Abstract

This study proposes a panel smooth transition regression (PSTR) model to investigate the nonlinear relationship between crude oil prices and crude oil production in 122 countries, both OPEC and non-OPEC, from March 1994 to October 2015. The statistical test for the existence of a threshold effect indicates that the relationship between oil prices and oil production is nonlinear, with different changes over time among the oil price and transition variables. Additionally, a threshold value exists. Furthermore, crude oil price volatility exhibits asymmetric responses to production volatility by fluctuating above or below the threshold value. Finally, when crude oil price volatility with a lag of two periods exceeds the threshold value, crude oil production changes have a positive impact on crude oil price volatility. In contrast, when crude oil price volatility with a lag of two periods is less than the threshold value, crude oil production changes have a negative impact on price volatility.

Key words: Panel smooth transition regression (PSTR) model, Threshold effects, Crude oil prices, Crude oil production, Nonlinear relationship.

Granična vrednost nafte između cene i proizvodnje nafte

Studija predstavlja model panela glatke tranzicijske regresije (PSTR) kako bi se istražila nelinearna veza između cena sirove nafte i proizvodnje sirove nafte u 122 zemlje, i OPEC i ne-OPEC zemalja, od marta 1994. do oktobra 2015. Statistički test za postojanje efekta praga pokazuje da je odnos cene nafte i proizvodnje nafte nelinearni, sa različitim promenama cena nafte i tranzicijskih varijabli tokom vremena. Postoji i vrednost praga. Nadalje, nestabilnost cena sirove nafte pokazuje asimetrične reakcije na volatilnost proizvodnje u smislu fluktuiranja iznad ili ispod granične vrednosti. Konačno, kada volatilnost cena sirove nafte sa zakašnjenjem od dva perioda pređe graničnu vrednost, promene proizvodnje sirove nafte imaju pozitivan uticaj na volatilnost cena sirove nafte. Suprotno tome, kada je volatilnost cena sirove nafte sa zakašnjenjem od dva perioda manja od granične vrednosti, promene proizvodnje sirove nafte negativno utiču na volatilnost cena.

Ključne reči: Model glatke tranzicijske regresije (PSTR), granični efekti, cene sirove nafte, proizvodnja sirove nafte, nelinearni odnos.