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All Journal Jurnal Ekonomi Kuantitatif Terapan Jurnal Presipitasi : Media Komunikasi dan Pengembangan Teknik Lingkungan Kinerja JEJAK Journal of Indonesian Economy and Business Jurnal Ekonomi & Studi Pembangunan Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan Management Analysis Journal Economics Development Analysis Journal Journal of Economic Education ECOPLAN : JOURNAL OF ECONOMICS AND DEVELOPMENT STUDIES Efficient: Indonesian Journal of Development Economics JFRES: Journal of Fiscal And Regional Economy Studies Indonesian Journal of Devotion and Empowerment (IJDE)
Andryan Setyadharma
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Agriculture, Biological Sciences & Forestry Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Social Sciences

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Journal : Kinerja

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APAKAH OPEC MERUPAKAN KARTEL?: PENDEKATAN KAUSALITAS GRANGER DALAM KERANGKA VECTOR AUTOREGRESSIVE Setyadharma, Andryan
KINERJA Vol 10, No 2 (2006): Kinerja
Publisher : Faculty of Economics Universitas Atma Jaya Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24002/kinerja.v10i2.923

Abstract

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
APAKAH OPEC MERUPAKAN KARTEL?: PENDEKATAN KAUSALITAS GRANGER DALAM KERANGKA VECTOR AUTOREGRESSIVE Andryan Setyadharma
KINERJA Vol. 10 No. 2 (2006): Kinerja
Publisher : Faculty of Business and Economics Universitas Atma Jaya Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24002/kinerja.v10i2.923

Abstract

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
Co-Authors Adi Kurniawan Sujatmiko Amin Pujiati Angesti, Nidia Melania Anisa Rahmawati Arief Yulianto Avi Budi Setiawan Christy Elisha, Lempira Dwi Rahmayani, Dwi Dyah Maya Nihayah Elina, Sefria Etty Soesilowati Fauzin, Karmelia A.N. Febryansyah, M. Lutfi Furohmah, Duyu Furohmah, Duyu Indah Fajarini Sri Wahyuningrum, Indah Fajarini Sri Irmaya, Heti Iskandar, Muhammad Roy Joni Karmelia A.N. Fauzin Lestari, Dina Hernita Lestari, Triyani Lilik Andrietya, Achyarnis Lisdiana Lisdiana Lulufani, Regina M. Lutfi Febryansyah Maria Anastasia Artvelia Perdana Muhammad Khafid Noormalitasari, Audina Rizka Nurjannah Rahayu Kistanti P. Eko Prasetyo Pertiwi, Raras Sukma Pertiwi, Raras Sukma Prasetyo, Benedictus Singgih Rahma Wijayanti Rahma Wijayanti, Rahma Rusdarti - Saeeid Mohammad, Sami Shanty Oktavilia Silvia Nur Fadhilah Siti Aminatul Ahadiyah Sucihatiningsih Dian Wisika Prajanti Tania Wicaksana Yuneldi