欧佩克与石油市场（英）

OPECandtheOilMarket YousefF.NazerandAndreaPescatori WP/22/183 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersare thoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2022 SEP ©2022InternationalMonetaryFundWP/22/183 IMFWorkingPaper ResearchDepartment OPECandtheOilMarket1 PreparedbyYousefF.NazerandAndreaPescatori AuthorizedfordistributionbyAntonioSpilimbergoSeptember2022 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:ThispaperstudiesthehistoricalimportanceofOPECforoilpricefluctuations.Anevent-studyapproachisusedtoidentifytheeffectsofOPECannouncementsonoilpricefluctuations.ResultsshowthatpricevolatilityishigherthantypicalaroundOPECmeetings.Also,members'compliance,aproxyforcredibility,hasstronglyfluctuatedovertime.AnorderedmultinomiallogitframeworkidentifiesthemainfactorsthatexplainOPEC'sdecisionstocut,maintain,orboostmembers'oilproductionandisabletosuccessfullypredictOPECmeetingoutcomes66percentofthetime,between1989and2019.Cyclicaloilpricefluctuations(asopposedtopersistentshiftsinlevels)driveOPEC’sdecisions,suggestingthatOPEC'sobjectiveistostabilizetheoilpriceratherthancounteringfundamentalshiftsindemandandsupply.LowOPEC’smarketsharereducestheprobabilityofaproductioncut.Finally,thetransparencyofOPEC'sstatementshasmodestlyimprovedbetween2002and2019. JELClassificationNumbers: O13,Q41 Keywords: OPECMeetings,Credibility,OilPrice,TextAnalysis,OPEC+ Author’sE-MailAddress: Ynazer@imf.org;Apescatori@imf.org 1WearegratefultoAntonioSpilimbergo,TimCallen,MartinStuermer,LukasBoer,BaharAlberto,AbdullahAl-Hassan,ÖmerE.Bayar,MohebMalak,IssoufSamakeforcommentsandZhaoLiforexcellenteconometricandprogrammingassistance, TableofContents I.INTRODUCTION4 II.THEIMPACTOFOPECMEETINGSONTHEOILMARKET6 III.COMPLIANCEANDCREDIBILITY13 IV.DRIVERSOFOPECDECISIONS16 A.BaselineResults17 B.Robustness19 V.OPEC’SCOMMUNICATION20 VI.OPEC+22 VII.CONCLUSIONS23 REFERENCES24 Figures FIGURE1:OPECANNOUNCEMENTDECISIONS6 FIGURE2:OPECANNOUNCEMENTS:EFFECTSONOILMARKET9 FIGURE3:OPECMEETINGSPRICEANOMALIES10 FIGURE4:OILRETURNSAROUNDOPECMEETINGS11 FIGURE5:SELECTEDOPECMEETINGSEFFECTSONOILMARKET12 FIGURE6:OPEC+COUNTRIESOILDEPENDENCY13 FIGURE7:OPECHISTORICALCOMPLIANCE14 FIGURE8:MULTINOMIALLOGITFRAMEWORKRESULTS17 FIGURE9:HODRICK–PRESCOTTREALOILPRICEDECOMPOSITION19 FIGURE10:OPECSTATEMENTSWORDCOUNTSDICTIONARY21 FIGURE11:OPEC+PRICEWAR202022 FIGURE12:OPECVS.OPEC+MARKETSHARE23 Tables TABLE1:OPECAVERAGEPRODUCTIONANDCOMPLIANCEBYDECADES15 TABLE2:OPECDECISIONPREDICTIONRESULTS17 TABLE3:BASELINESPECIFICATIONMODELRESULTS18 TABLE4:PERFORMANCEANDDESCRIPTIVESTATISTICS19 TABLE5:DIFFERENTSPECIFICATIONMODELRESULTS20 TABLE6:SIMILARITYANALYSISFOROPECCONCLUDINGSTATEMENTS21 TABLE7:OPECMEETINGANNOUNCEMENTS28 TABLE8:OPECEVENTSANALYSIS(1989-2019)28 TABLE9:EXPECTEDVS.UNEXPECTEDIMPACTOFOPECDECISIONS28 AppendicesandSupplementaryMaterial DATAAPPENDIX26 OILPRICEDATA26 MACROECONOMICDATAANDCOMPOSITEVARIABLES26 TEXTANALYSIS:APPROACH27 I.Introduction WhathasbeentheroleoftheOrganizationofthePetroleumExportingCountries(OPEC)intheoilmarket?Hasitsroleevolvedovertime?ThispaperteststheabilitythatOPEChashadtoinfluencetheoilmarketbylookingattheeffectsofOPEC'smeetingsonoilpricelevelsandvolatilitybetween1988and2019.ItalsostudiesthemostrelevantfactorsthatcanexplainOPEC'sproductiondecisions,andittouchesonrecentdevelopmentssuchasthealliancebetweenOPECandothernon-OPECoilproducers,OPEC+. ThestatedobjectiveofOPECistocoordinatethepetroleumpoliciesofitsMemberCountriestostabilizetheoilmarketsarounda“fair”price.2Theobjectiveis,thus,intermsofbothsustainingtheoilpriceandreducingitsvolatilityaroundanequilibriumlevel—asufficientlyvaguestatementthatseemstoincentivizetheuseofdiscretionarypolicy(asdefinedinKydlandandPrescott1977)relativetoadoptingasystematicrule(i.e.,areactionfunction)thatrespondsinapredictablemannertooilmarketdevelopments.3OPEC,infact,hasafragileorganizationstructure(e.g.,Adelman1979,FattouhandMahadeva2013)asitlacksaformalenforcementmechanismthatcaninduceitsmemberstocomplywiththeirquotaallocations.4Thispaper,however,showsthatOPEC’sdecisionshaveasystematiccomponentbecausetheyarepredictable,atleasttosomeextent.Moreover,itisthesurprisecomponentofthosedecisionsthataffectsthemarketsincethesamedecisioncaninduceadifferentpriceresponse. EventhoughOPECsometimeshasdifficultyenforcingitsproductionquotas(Almogueraetal2011),marketspaycloseattentiontoitsannouncements—thisisnotsurprisingsinceOPECaccountedformorethan40percentofworldoilproductionoverthelastthreedecades.TheempiricalevidenceontheeffectsofOPEConoilpricesis,however,rathermixed:whilesomepapershavefoundempiricalevidencethatitsannouncementscanhaveasignificantimpactonoilprices(LinandTamvakis,2010;Loutia,Mellios,andAndrios