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Mr. Nooman Rebei and Rashid Sbia
This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus permanent shocks, pointing to the importance of disentangling their distinct effects. Permanent supply disruptions turn out to be a bigger factor in historical oil price movements during the most recent decades, while speculative shocks became less influential.
Mr. Nooman Rebei and Rashid Sbia

estimation moving ahead the starting date by one year. 16 In the following we highlight the main results that are dependent on the considered samples with statistically significant changes over time; namely, the oil prices responses to speculative shocks. 4.1 Variance decomposition Figure 5 shows the contributions of the five structural shocks to the forecast error variance decomposition of real oil prices based on the ten-year rolling window estimation results. In the early samples, speculative innovations explain the bulk of oil price volatility with a

International Monetary Fund. Monetary and Capital Markets Department

estimates. Note: Sample time period: 1/31/1985–6/30/2008. VECM (2,3) eight-year rolling window estimation results of the cointegration coefficients (with 90 percent confidence band) denoting the long-term equilibrium relation between level changes in the effective U.S. Federal Funds rate and selected market rates of lenders and borrowers (with seasonal control). A coefficient value of indicates a stable long-term equilibrium relation of the policy rate and the selected market rate, whereas deviations from this value indicate a breakdown in the relation. The dates in the