IMF-欧佩克与石油市场（英）

OPECandtheOilMarket

YousefF.NazerandAndreaPescatori

WP/22/183

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representtheviewsoftheIMF,itsExecutiveBoard,

orIMFmanagement.

2022

SEP

2

©2022InternationalMonetaryFund

WP/22/183

IMFWorkingPaper

ResearchDepartment

OPECandtheOilMarket

1

PreparedbyYousefF.NazerandAndreaPescatori

AuthorizedfordistributionbyAntonioSpilimbergo

September2022

IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.

ABSTRACT:ThispaperstudiesthehistoricalimportanceofOPECforoilpricefluctuations.Anevent-studyapproachisusedtoidentifytheeffectsofOPECannouncementsonoilpricefluctuations.ResultsshowthatpricevolatilityishigherthantypicalaroundOPECmeetings.Also,members'compliance,aproxyforcredibility,hasstronglyfluctuatedovertime.AnorderedmultinomiallogitframeworkidentifiesthemainfactorsthatexplainOPEC'sdecisionstocut,maintain,orboostmembers'oilproductionandisabletosuccessfullypredictOPECmeetingoutcomes66percentofthetime,between1989and2019.Cyclicaloilpricefluctuations(asopposedtopersistentshiftsinlevels)driveOPEC’sdecisions,suggestingthatOPEC'sobjectiveistostabilizetheoilpriceratherthancounteringfundamentalshiftsindemandandsupply.LowOPEC’smarketsharereducestheprobabilityofaproductioncut.Finally,thetransparencyofOPEC'sstatementshasmodestlyimprovedbetween2002and2019.

JELClassificationNumbers:O13,Q41

Keywords:OPECMeetings,Credibility,OilPrice,TextAnalysis,OPEC+

Author’sE-MailAddress:Ynazer@;Apescatori@

1WearegratefultoAntonioSpilimbergo,TimCallen,MartinStuermer,LukasBoer,BaharAlberto,AbdullahAl-Hassan,ÖmerE.Bayar,MohebMalak,IssoufSamakeforcommentsandZhaoLiforexcellenteconometricandprogrammingassistance,

3

TableofContents

I.INTRODUCTION 4

II.THEIMPACTOFOPECMEETINGSONTHEOILMARKET 6

III.COMPLIANCEANDCREDIBILITY 13

IV.DRIVERSOFOPECDECISIONS 16

A.BaselineResults 17

B.Robustness 19

V.OPEC’SCOMMUNICATION 20

VI.OPEC+ 22

VII.CONCLUSIONS 23

REFERENCES 24

Figures

FIGURE1:OPECANNOUNCEMENTDECISIONS

6

FIGURE2:OPECANNOUNCEMENTS:EFFECTSONOILMARKET

9

FIGURE3:OPECMEETINGSPRICEANOMALIES

10

FIGURE4:OILRETURNSAROUNDOPECMEETINGS 11

FIGURE5:SELECTEDOPECMEETINGSEFFECTSONOILMARKET

12

FIGURE6:OPEC+COUNTRIESOILDEPENDENCY

13

FIGURE7:OPECHISTORICALCOMPLIANCE

14

FIGURE8:MULTINOMIALLOGITFRAMEWORKRESULTS

17

FIGURE9:HODRICK–PRESCOTTREALOILPRICEDECOMPOSITION

19

FIGURE10:OPECSTATEMENTSWORDCOUNTSDICTIONARY

21

FIGURE11:OPEC+PRICEWAR2020

22

FIGURE12:OPECVS.OPEC+MARKETSHARE

23

Tables

TABLE1:OPECAVERAGEPRODUCTIONANDCOMPLIANCEBYDECADES

15

TABLE2:OPECDECISIONPREDICTIONRESULTS

17

TABLE3:BASELINESPECIFICATIONMODELRESULTS

18

TABLE4:PERFORMANCEANDDESCRIPTIVESTATISTICS

19

TABLE5:DIFFERENTSPECIFICATIONMODELRESULTS

20

TABLE6:SIMILARITYANALYSISFOROPECCONCLUDINGSTATEMENTS

21

TABLE7:OPECMEETINGANNOUNCEMENTS

28

TABLE8:OPECEVENTSANALYSIS(1989-2019)

28

TABLE9:EXPECTEDVS.UNEXPECTEDIMPACTOFOPECDECISIONS

28

AppendicesandSupplementaryMaterial

DATAAPPENDIX 26

OILPRICEDATA 26

MACROECONOMICDATAANDCOMPOSITEVARIABLES 26

TEXTANALYSIS:APPROACH 27

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I.Introduction

WhathasbeentheroleoftheOrganizationofthePetroleumExportingCountries(OPEC)intheoilmarket?Hasitsroleevolvedovertime?ThispaperteststheabilitythatOPEChashadtoinfluencetheoilmarketbylookingattheeffectsofOPEC'smeetingsonoilpricelevelsandvolatilitybetween1988and2019.ItalsostudiesthemostrelevantfactorsthatcanexplainOPEC'sproductiondecisions,andittouchesonrecentdevelopmentssuchasthealliancebetweenOPECandothernon-OPECoilproducers,OPEC+.

ThestatedobjectiveofOPECistocoordinatethepetroleumpoliciesofitsMemberCountriestostabilizetheoilmarketsarounda“fair”price.

2

Theobjectiveis,thus,intermsofbothsustainingtheoilpriceandreducingitsvolatilityaroundanequilibriumlevel—asufficientlyvaguestatementthatseemstoincentivizetheuseofdiscretionarypolicy(asdefinedinKydlandandPrescott1977)relativetoadoptingasystematicrule(i.e.,areactionfunction)thatrespondsinapredictablemannertooilmarketdevelopments.

3

OPEC,infact,hasafragileorganizationstructure(e.g.,Adelman1979,FattouhandMahadeva2013)asitlacksaformalenforcementmechanismthatcaninduceitsmemberstocomplywiththeirquotaallocations.

4

Thispaper,however,showsthatOPEC’sdecisionshaveasystematiccomponentbecausetheyarepredictable,atleasttosomeextent.Moreover,itisthesurprisecomponentofthosedecisionsthataffectsthemarketsincethesamedecisioncaninduceadifferentpriceresponse.

EventhoughOPECsometimeshasdifficultyenforcingitsproductionquotas(Almogueraetal2011),marketspaycloseattentiontoitsannouncements—thisisnotsurprisingsinceOPECaccountedformorethan40percentofworldoilproductionoverthelastthreedecades.TheempiricalevidenceontheeffectsofOPEConoilpricesis,however,rathermixed:whilesomepapershavefoundempiricalevidencethatitsannouncementscanhaveasignificantimpactonoilprices(LinandTamvakis,2010;Loutia,Mellios,andAndriosopoulos,2016),othersarguethatthisisonlyconditionalonproductioncuts.Forexample,DemirerandKutan(2010)andGuidietal(2006)findanasymmetryinthatonlyOPECproductioncutannouncementsyieldastatisticallysignificantimpactbetween1983and2008.

5

Hyndman(2008)examinestheeffectofOPECquotaannouncementsduring1986–2002oncrudeoilspotandtwomonthsfuturesprices.HefindspositiveandsignificantabnormalreturnsfollowingmeetingswhenOPECreducestheaggregatequota.Also,SchmidbauerandRösch(2009)foundevidencethattheoilmarketresponsetoOPEC’sannouncementsismorelikelytodependonthedecision.Brunettietal(2013)lookatOPEC'spronouncementsaboutthefairoilpriceasperceivedbythecoalition,from2000to2009,andfindsnoeffectsfromOPEC’sannouncementsthatcitethefairpriceevenwhenthisonediffersfromcurrentprices.

Aswewillshow,themainproblemwithsomeeventstudiesintheliteratureisthatOPEC’sdecisionsarenotexogenous,butrespondtothestateoftheoilmarketandglobaleconomy(BarskyandKilian,2004).Thismeansthat,evenintheabsenceofinformationleaks,OPEC'sdecisions

2OPECwasestablishedin1960,butitbecameactiveonlyintheearly70swhenmostnationaloilcompanies(NOC)wherefunded.Thisgavetheinstrumenttomanyoilexportingcountriestoaffectoilinvestmentandproductiondecisionsmoredirectly.TheOPEC’smissionis“tocoordinateandunifythepetroleumpoliciesofitsMemberCountriesandensurethestabilizationofoilmarketsinordertosecureanefficient,economicandregularsupplyofpetroleumtoconsumers,asteadyincometoproducersandafairreturnoncapitalforthoseinvestinginthepetroleumindustry”(OPEC).

3ItisalsoworthnotingthatbothoilproductionvolumesandpricesarenotgoodinstrumentsinthesenseofPoole(1970).

4Systematicrules,transparency,andaccountabilityhavebeenthecrucialingredientsforthesuccessofmanycentralbanksinstabilizingprivatesector’sinflationexpectationsinthe1990s(BernankeandMishkin1997,BallandSheridan2004,Woodford2003,amongothers).

5

“WealsofindthatthepersistenceofreturnsfollowingOPECproductioncutannouncementscreatessubstantialexcessreturnstoinvestorswhotakelongpositionsonthedayfollowingtheendofOPECconferences.”(DemirerandKutan2010).

5

arenotrandomeventsbutcanbeanticipatedbymarketstosomeextent;hence,theirimmediateimpactonpricesshouldreflecttheelementofthedecisionthatsurprisedmarketparticipants.

UsinganeventstudymethodologyaroundOPEC’sconcludingstatements,wetrytoputsomeclaritytopreviousfindingsintheliterature.

5

First,wedividedecisionsintothreecategoriesdependingontheirimpactonthecoalitionoiloutput(cut,maintain,andincreaseinproduction)andshowthatOPEC’sdecisionsdonotsystematicallysurprisemarketparticipantsinanyspecificdirection,regardlessofthedecision.(Forexample,productioncutsarenotsystematicallyassociatedwithpriceincreases).Second,thevolatilityofoilmarketreturnsbeforeandafterthemeetingsishigherandfluctuatemorethantypically(i.e.,theoilreturnsvolatilityaroundmeetingsdatesishigherthaninthecontrolsample).Third,welookatabroaderintervalanddifferentiatebetweenregular(calendar-based)andnon-regularmeetings(calledinexceptionalcircumstances).OilpricemovementsaroundregularmeetingsseemstosuggestthatOPEC’sdecisionshaveaminortemporaryimpactontheoilpricedirection.Thepictureisdifferentfornon-regularmeetingswherethemeeting’sannouncementhasastrongimpactonprices,ofteninducingapricecorrection.

6

Finally,thehighervolatilityfoundforthedayaftertheannouncement—2.2and3.1percentagepointshigherthanthemedianvolatilityfortheregularandnon-regularmeetings,respectively—diminisheslateron,suggestingthatonaverageOPEChastendedtobeastabilizingforcefortheoilmarket,thatis,marketvolatilitydropsbelowitsmedianvalueinthecontrolsample(andpre-meetingaverage)about9-10daysaftertheconclusionofthemeetings,especiallyfornon-regularmeetings.

BecauseofOPEC’svaryingconduct,theliteraturehasarguedthatthereisnotasinglemodelthatfitswelltheOPEC’sbehavior(see,forexample,FattouhandMahadeva2013).Moreover,complianceofOPEC’smemberstotheproductionagreementshasfluctuatedhistorically,miningOPEC’scredibilityinsomeperiods.However,notonlywehavefoundthatthereisnosystematicmarketreactionbiasassociatedtoOPEC’sdecisions,butwecanalsoidentifyafewfactorsthatarestronglyrelatedtothemeetings’outcomes.Usingamultinomiallogitthatisestimatedtomatchcut,neutral,andboostdecisions,wefindthatthecyclicalcomponentofoilpricesisthemostsignificantone—suggestingthatcyclicalmovementsinoilpricesincorporatemostoftherelevantoilmarketinformationthatisusedintheOPEC’sdecisionprocess.ThetrendcomponentoftheoilpriceisinsignificantwhichsuggeststhatOPECdoesnotreacttofundamentalchangesintheoilmarketbuttriestostabilizetheoilpricearounda“fair”level.AnotherimportantfactorthatincreasestheprobabilityofacutiseconomicuncertaintywhileenteringameetingwithalowSaudioilmarketsharereducestheprobabilityofan(extra)cut.

7

Finally,atextanalysisperformedonconcludingstatementsfindsthatOPEC'sleveloftransparencyhasmoderatelyfluctuatedovertime.AlessernumberofrepetitivestatementswerefoundaroundtheGlobalFinancialCrisis,duringthe2008oilpriceboom,andduringthe2010oilpricerecovery.Additionally,extraordinarymeetingstendtohavefewerrepetitivestatementsthanregularmeetings,buttheaveragedifferenceisnotsignificant.

InsectionVI,weprovideourviewabouttherecentdevelopmentsintheoilmarketinthelightofCOVID-19pandemic.Inparticular,wedescribethepotentialcomplexitythatmightaddtoOPEC+whenmarketdynamicsnormalize.

5ThestudyofthedeterminationofmembercountryquotasisbeyondthescopeofthepaperandnotdirectlyrelatedtothequestionofwhetherandhowOPECaffectstheoilmarket.

6Non-regularmeetingsareusuallyannounced3-5daysbeforetheirstart.

7Themultinomiallogitcanpredicttherightoutcome2/3ofthetimes(seesectioniv).

6

Thepaperisstructuredasfollows:SectionIIstudiesthemarketimpactofOPECannouncementsusinganeventstudymethodology;SectionIIIanalyzesOPECmembercompliance;SectionIVstudiesthedriversofOPECdecisions;SectionVtextanalysis;SectionVIdiscussesOPEC+challenges;andsectionVIIconcludes.

II.TheImpactofOPEC’sMeetingsontheOilMarket

ThissectionstudiestheeffectoftheannouncementsofOPEC’sdecisionson(Brent)spotoilpricesusinganevent-studymethodologyatdailyfrequencies.Widelyusedwhenhighfrequencydataareavailable,eventstudiesallowus—byfocusingonanarrowtimewindow—toattributethepricemovements(orabnormalreturns)totherealizationoftheeventunderconsideration(MacKinlay1997).Examplesarevarious,includingstudyingtheeffectsonassetmarketsofCentralBanks’policyratedecisions(BernankeandKuttner2005),USDAcropannouncements(SumnerandMueller1989),mergerandacquisition,orcorporateearningsannouncements(Pevzneretal2015).

Figure1:OPECannouncementdecisions

2345

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014

2016

2018

2020

Source:IMFStaff,Bloomberg,OPECandIEA

LogOilPrice(LHS)Boost

CutNeutral

Note:Oilpriceisthelogofthedaily.Brentprice

Anapproachthatuseslowerfrequencies(e.g.,monthlyfrequencies)mayintroduceaproblemofreversecausalitysinceOPECtendstocut(boost)outputwhenoilpricesareloworfalling(highorraising),seefigure1.Forrobustness,wehavealsousedexcessreturnsand3-monthBrentfuturesdailypriceswithoutfindingqualitativedifferences.

8

8Theoilmarket’sexcessreturnsarecalculatedbyregressingthedailyoilpricelog-changeontheSnP500totalreturnsandusingitsresidual.Brent3-monthfuturespricesareonlyavailablesince[1990].Resultsareavailableuponrequesttotheauthors.

7

Ouranalysiscovers101meetingsfrom1987to2019

9

.OPECmeetingscanbeeitherregular(ordinary)ornon-regular(extraordinary).Theformerhasafixedschedulewhilethelatterisusuallycalleduponinresponsetoexceptionalcircumstances(e.g.,afterthe9/11terroristattack)andmaybeconvenedattherequestofanyOPECcountrymember.Outof101meetings30arenon-regularmeetings.RegularOPECmeetingsusuallylasttwodaysandconferenceresolutionsbecomeeffectiveafter30days.

Tosetthestage,wedefinethesimplecumulativedailyoilreturnRk,jandPkisbrentcrudepricethatassociatedwiththereleaseoftheconcludingstatementofthemeetingk,thej-thdayaftertherelease,as

(1)Rk,j=logPk+j−logPk;keD,j=1,…,T

whereTdenotesthewindowoverwhichreturnsarecalculatedandkbelongstothesetofOPEC’smeetingdates,D.

Wesimilarlydefinethe(oppositeofthe)cumulativereturnspriortothemeetingas

(2)Rj=−(logPk−logPk−j);k∈D,j=1…TInthisstudy,weassumeawindowof11tradingdays,T=11.

OPEC’smainpolicytoolistochangetheoilproductiontargetatthecoalition(orsub-coalitionlevel)and,especiallybefore2006,productionquotas.

10

Qualitatively,threepolicyoptionsareavailable:tocut,maintain,orboostoilproduction.Inoursampletherewere58neutraldecisions,12ofthemweretakeninnon-regularevents.

11

Cutandboostdecisionswere24and19,respectively.

Decisionsrequireunanimitysoconsensusbuildingisafundamentalpartoftheprocesswhichtypicallyinducesrumorsandleaksthataffecttheoilmarketbeforetheconcludingresolution.TheKingdomofSaudiArabia(KSA)istherecognizedleadingmembersinceitholdsthebiggestproductionshare(OPEC+isanalyzedinsectionVI).

HowcouldweestablishOPEC’srelevanceandeffectiveness?Looselyspeaking,relevanceistheabilitytoaffecttheoilpriceinsomeways.Thisiseasytoestablish:TheoilpriceshowsanabnormalvolatilityaroundOPECmeetingdates(includingregularmeetings,seefigure3).Theabnormalvolatilityisobservedevenpriortothemeeting,confirmingthatrumorsandinformationleaksovertheupcomingOPEC’sresolutionaffecttheoilmarket.Furthermore,anecdotally,episodessuchasthecounter-oilshockin1986,thebreakdownofOPECinNovember2014,orthe

9FromJune1987toJuly2019.

10Forexceptionalcircumstances,suchaswars,somemembersareexemptedfromcomplyingwiththeirquotasandare,thus,excludedfromthecalculationofthecoalitionproductiontarget.

11boost:15(R)and4(NR)total19;Cut:14(R)and10(NR)total24;Neutral:42(R)and16(NR)andtotal58;Regularmeeting71andnon-regular30.

8

(3)

(5)

(6)

pricewarofMarch-April2020,haveshownthatOPEC’sdevelopmentsmaystronglymovetheoilmarket.

12

Effectivenessistheabilitytosteerthemarketinthedesireddirection(OPEC’sgoals):movingtheoilpricetowardsthefairprice(andaimingatstabilizingitaroundthatlevel).Thefairpriceis,however,unobservablesinceOPECstoppedpricetargetingin1983byintroducingthequotasystem.ItisalsonotusefultolookatthepricereactionafteradecisionsincemarketstrytoanticipatetheOPEC’sdecisionreactingtothesurprisecomponentofthatdecision.

Toformalizetheargumentlet’sassumethattheoilpriceisdrivenbymarketfundamentals(suchasoildemandandsupplyfactors),x,andbytheOPECdecisions,y(suchasaproductiontargetforthegroup).TheexcessoilreturntperiodsafterthereleaseoftheconcludingstatementcanbedefinedasRk+t=g(xk+t,xk)+γtykwheregk,tisafunctionofavectorofmarketfundamentals,x,whileytcapturesthepricereactiontotheOPEC’sdecision(whichmayvarywithOPEC’scredibilityandmarketshare).

IfkistheOPEC’smeetingdate,thereturns’forecasterrorscanbewrittenas

ERk+t|Ωk−j−Rk+t=Egk+t|Ωk−j−E[gk+t|Ωk+t]+γt(E[yk|Ωk−j]−yk)

whereΩistheinformationsetavailabletomarketparticipantsthej-thdaybeforetheendofthemeetings.Eveniftradersviewonmarketfundamentalschangeinthechosenintervaltheiraveragecontributionshouldtendtozeroinanarrowwindowoftime,eveniftheinformationsetΩincludesnewinformationaboutmarketfundamentals.

13

Similarly,ifmarketscananticipateOPEC’sdecisiontosomeextent,underrationalexpectations,thereshouldbenosystematicbiassothat

(4)(E[yk|Ωk−j]−yk)/T→0

So,ifwesplitthedecisionintoitsexpectedandunexpectedcomponent

yk=E[yk|Ωk−j]+(yk−E[yk|Ωk−j]),

itisonlytheunexpectedcomponentthatcanmovethemarket.Indeed,table9showsthatthereisnosystematicbiassinceoilreturnsaftertheeventsarenotsystematicallyrelatedtotheOPEC’sdecisiontocut,maintain,orboostoutput.Thisresultisrobustacrosstimeperiods.

EventhoughresultssuggestthatoilreturnsareunpredictablearoundOPEC’smeeting,themeansquaredforecasterrorwillbegreaterthanzero

(E[yk|Ωt−j]−yk)2/T>0.

12Establishingtheabilitytoaffecttheleveloftheoilpriceoverthelongrunisbeyondthescopeofthepaper.Foranalysisoftheshiftinoilmarketpowersee,forexample,NazerandLove(2020).

13Implicitly,weareassumingtheOPEChasnotimetoreacttochangingmarketfundamentalsinsuchanarrowwindowoftime.Itis,thus,recommendabletotakej=0.

9

Fromequation(3),ifyt>0thenthevolatilityoftheoilreturnincreasesaboveitstypicallevelaroundthemeetingdatesunlessdecisionsareperfectlypredictable—whichisnotthecase.

Figure2:OPECannouncements:Effectsonoilmarket

SpotPriceVolatility

3-MeetingMovingAverage

Volatility

1990-1999

2010-2019

2000-2009

DestabilizingMarketImpact

StabilizingMarketImpact

-.SS.ShlleoOililBom:2010-2016

-OPEC+:2016-present

-Geopoliticaltensions2001-2004

-FinancialCrisis2007-2009

-GulfWarI:1990-1991

-EmergingMarketCrisis:1997-1999

1987-1989

15%

10%

5%

0%

-5%

-10%

-15%

Source:IMFStaffEstimate

Note:Thedotsrepresentthedifferencebetweenthestandarddeviationofoilpricereturnspostandpremeeting,usingasymmetric11-dayswindow,whilethesolidlineistheir3-lagsmovingaverage.

MUl才a刀s刀Uq!1!2U刀!on

Whentakenatfacevalue,notallOPEC’smeetingshaveresultedinthestabilizationoftheoilpricerelativelytopre-meeting.Figure2plotsthedifferencebetweenthestandarddeviationofoilpricereturnspostandpremeeting,usingasymmetric11-dayswindow.

14

Acasualinspectionsuggeststhatinsomeperiods,especiallyinthesecondhalfofthe90s,OPECplayedastabilizingrole,butnotalways.ThereareclearlyepisodeswhentheobjectiveofOPECwasnolongerstabilizingthemarketbutregainingmarketshare(seeSectionIV).Theseepisodes,whicharequiteisolated,andleaksbeforethemeetingsgenerateanoisethatblurstheactualeffectofOPEC’sdecisionsinFigure2.We,thus,turntoadifferentapproach.

TounderstandhowOPEC’sdecisionsaffectoilpricevolatility,itisusefultocomparethedistributionofoilpricereturnsaroundthemeetingdateswithacontroldistributionwhichincludesalltradingdaysbetween1989and2020—exceptthe3daysbeforeand6tradingdaysafterthedayofOPEC’sconcludingmeeting.ThedailyBrentreturn’sstandarddeviationofthecontroldistributionisbetween2.0and2.5percentabout50percentofthetimeswithamedianreturnof2.2percent.

15

differencebetweenthestandarddeviationofthelogBrentpricebeforeandaftertheOPECmeetings:stddiff=(l∑1(Pk−uk−)2−

14Similarly,wehaveused3dayswindow,but11daysseemsappropriatetoidentifymarketbehaviorbeforeOPECmeetings.Inaddition,3days

windowisasmallertimehorizonthatreflectshowthemarketbehaveforOPEC’sannouncementoftheirregularmeeting.Welookedatthe

l15))0thhereercen(oisBrthensbtin.1.8and3.1percent,respectively.Excludingtheveryextremeeventsin2020,

theoilpricereturndistributionisslightlyskewedtotherightsincegeopoliticaleventsandunplannedoilsupplydisruptionsleadtospikesinoilprices.

10

dailyreturnstadarddeviation(percent)

RegularmeetingsNon-regul.meetings

All

Figure3:OPECmeetingspriceanomalies

ThevolatilityoftheoilpricedailyreturnsOPECmeetingpriceanomalies

increasesastheconclusionoftheregular4.5

meetingsapproaches.Inparticular,daythreeand

dayonebeforethereleaseofthemeeting's4

concludingstatementshowahigheroilreturn

volatilitythanthetypicalvolatilityofthecontrol3.5

distribution(about0.6percentagepointshigher

thanthemedianvolatility,seefigure3.Theday3

beforethestartofthemeeting(day-2)showsan

unusuallylowvolatility(about0.5percentage2.5

pointbelowthemedianvolatility).Thedayafter

theconcludingmeeting,volatilitypeakswhich2

impliesthatOPECisrelevantfortheoilmarket

beingabletoaffecttheoilprices.Notonly,it1.5

meansthatdecisionsarenotalwaysfully

10

anticipated.Afterthefirstmarketreactiontothe1-10-8-6-4-202468

news,however,thevolatilitydeclinesafterward.daysafterOPECmeeting

Non-regularmeetingsarenotonafixedscheduleandhaveusuallybeencalledinresponsetoexceptionalcircumstances.Indeed,thevolatilityofoilreturninthedaysbeforethenon-regularmeetingsisalmosttwiceashighasthetypicalmedianvolatilityofoilreturns.Afterthemeeting,thepricevolatilityisabnormalabout3.5percent—i.e.,1.3percentagepointsabovethemedianvolatility.Asdayspassby,however,thereductioninthevolatilityissubstantialfallingfromvolatility.Asdayspassby,however,thereductioninthevolatilityissubstantialfallingfromabovethe75thpercentiletobelowthe25thpercentileofthecontroldistribution.

OverallresultssuggestthatOPEC,inaverage,hasaffectedtheoilmarket.Evenbeforetheconclusionofthemeetings,oilpricesfluctuatemorethantypical—probablyduetoleaksandrumorsthatleadtospeculativetrading.Thedayaftertheconcludingmeetingalsoshowsahighervolatilitythan