Transitory and Permanent Shocks in the Global Market for Crude Oil

42 Pages Posted: 20 Apr 2020

See all articles by Nooman Rebei

Nooman Rebei

International Monetary Fund (IMF)

Rashid Sbia


Date Written: February 2020


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.

Keywords: Oil prices, Supply and demand, Oil production, Purchasing power parity, Real sector, Oil market, Vector autoregressions, Narrative analysis, Bayesian estimation, Kalman filtering, WP, global activity, endogenous variable, oil price, real price, supply shock

JEL Classification: Q41, Q43, C32, E32, G28, E01, D4, Q, O13, Q35

Suggested Citation

Rebei, Nooman and Sbia, Rashid, Transitory and Permanent Shocks in the Global Market for Crude Oil (February 2020). IMF Working Paper No. 20/47, Available at SSRN:

Nooman Rebei (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Rashid Sbia

Independent ( email )

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