Factors behind the Price of Oil: Vector Error Correction (VEC) Analysis

Résumé En

The current paper observes the factors behind the oil price. We use monthly statistics in orderto analyze the relation between Europe Brent Spot Prices, S&P 500 Futures, Gold Futures,production of crude oil by OPEC member states, U.S. Crude Oil Rotary Rigs in operation andCrude Oil stocks in OECD member states. The results suggest that there is a cointegrationbetween these variables. However, only two variables, Number of Rotary Rigs in US and Stocksin OECD, appear significant and have a short-run causality on the price of oil. Moreover, Priceof oil (Brent), Production of OPEC and the number of Oil rigs appear to have a long-runrelation. We have also established the existence of Granger Causality between stocks of crudeoil in OECD countries and the price of oil. Our study concludes that the oil production of USand the policies of OECD member states have a significant impact on the oil price.