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APAKAH OPEC MERUPAKAN KARTEL?: PENDEKATAN KAUSALITAS GRANGER DALAM KERANGKA VECTOR AUTOREGRESSIVE

KINERJA: Journal of Business and Economics

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Title APAKAH OPEC MERUPAKAN KARTEL?: PENDEKATAN KAUSALITAS GRANGER DALAM KERANGKA VECTOR AUTOREGRESSIVE
 
Creator Setyadharma, Andryan
 
Subject —
 
Description One would believe that The Organization of Petroleum Exporting Countries (OPEC) is certainly a cartel which curbs production in order to raise the price of its product as well as to share the market among its members. Did energy shock of the 1970’s engineered by an effective cartel of OPEC members acting to share the market by controlling output and influencing market prices? One would also expect OPEC's production to significantly affect the market price of oil as the organization is often accused of curbing production in order to raise prices. This paper tries to determine whether OPEC has the power of affecting the market price of oil and or vice versa. This study uses the Toda and Yamamoto (1995) procedure for testing for Granger non-causality in Vector Autoregressive (VAR) models that involves variables that are integrated of an arbitrary order and that are possibly cointegrated. The results indicate that there is no statistically significant causal relationship between real crude oil price and OPEC production in either direction for full sample period 1974 – 2005. Instead, we find that real crude oil price Granger cause OPEC production in 2 different sub samples period, but not in other direction. As overall we reject cartel hypothesis for OPEC as a whole.Keywords: OPEC, Granger Causality Test, VAR, Toda and Yamamoto
 
Publisher Faculty of Economics Universitas Atma Jaya Yogyakarta
 
Contributor —
 
Date 2017-01-26
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://ojs.uajy.ac.id/index.php/kinerja/article/view/923
10.24002/kinerja.v10i2.923
 
Source KINERJA; Vol 10, No 2 (2006): Kinerja; 89-102
2549-1709
0853-6627
 
Language eng
 
Relation https://ojs.uajy.ac.id/index.php/kinerja/article/view/923/832
 
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