A Study on the Effect of Tight Oil Production on the International Oil Price Return Rate-An Application of Threshold MGARCH Model-

• Main Authors: Yen-Ting Lin, 林彥廷
• Other Authors: 陳思寬
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/s8947v

碩士 === 國立臺灣大學 === 國際企業學研究所 === 102 === Energy’s sufficiency is always one of the most important issues to human. U.S. always has a great deposit of oil shale, but extracting tight oil from it was too expensive due to lack of technology in the past. After 21st century, as the technology of horizontal well and hydraulic fracturing becoming more and more matured, it became practicable and cost-effective to extract tight oil from oil shale. Most of the production of tight oil in the world is in U.S., so it will be proper to use the data of U.S. tight oil production (million barrels per day) to represent the world shale oil production, and we get the data from EIA (U.S. Energy Information Administration). We run those data separately by using univariate GARCH model and Cholesky decomposition’s Matrix-diagonal multivariate GARCH model to estimate the model of West Texas Intermediate, Dubai, and Brent crude oil price’s return rate. The outcome models show that the dummy variable that we set for the tight oil production will be significant in the univariate GARCH model, but it is not the case in the multivariate GARCH model. Possible reasons may be the tight oil production is still too low compared to the conventional crude oil production, so its influence is too low and be replaced by the other variables; and the data of the tight oil is yearly so that we can only set a dummy variable to represent it. With the settings of threshold variables, self-correlated variables, and cross-correlated variables, the estimated GARCH model’s coefficients are all significant, and can all pass the autocorrelation test.