The determinants of crude oil prices: Evidence from ARDL and nonlinear ARDL approaches. (December 2022)

• Record Type: Journal Article
• Authors: Ben Salem, Leila; Nouira, Ridha; Jeguirim, Khaled; Rault, Christophe
• Is Part Of: Resources policy. Volume 79(2022)
• Publication Date: 2022-12
• Subjects: Crude oil price -- ARDL -- Nonlinear ARDL -- Symmetric and asymmetric; C5 -- Q4 -- Q43; Mines and mineral resources -- Periodicals; Ressources minérales -- Périodiques; Ressources naturelles -- Gestion -- Périodiques; Environnement -- Politique gouvernementale -- Périodiques; 333.8
• DOI: 10.1016/j.resourpol.2022.103085
• Languages: English
• ISSNs: 0301-4207

Abstract

Abstract: This paper is an innovative attempt to empirically investigate the determinants of crude oil prices. The main objective is to distinguish between short- and long-term effects of some covariates on oil prices. The autoregressive distributed lag (ARDL) approach is applied to daily series spanning the period from January 2, 2003, to May 24, 2021, to analyze long-run relationships and short-run dynamics. The paper also focuses on the asymmetric effects of covariates and a nonlinear ARDL (NARDL) approach is used to explore this asymmetry. The use of an asymmetric error correction model with asymmetric cointegration provides new insights for examining the determinants of oil prices. All investigations of underlying oil price fluctuations are examined both before and in the COVID-19 pandemic. Our results, based on different econometric specifications, have key policy implications for policymakers both with and without COVID-19 potential considerations. Highlights: This paper investigates the determinants of crude oil prices. We use daily series spanning the period from January 2, 2003, to May 24, 2021. We focus on the asymmetric effects of covariates and a nonlinear ARDL approach is used to explore this asymmetry. The underlying oil price fluctuations are examined both before and during the COVID-19 pandemic. Our results have key policy implications for policymakers both with and without COVID-19 potential considerations.