A. Hayat and P.K. Narayan (Australia)
Oil Stock; Industrial Production; Demand and Supply Shocks.
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. Cumula tively, 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.
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