3. Data and IEA s Reports

Transcription

1 3. Data and IEA s Reports This section consists of a presentation of the history in International Energy Agency and a description of the data we use in this research. 3.1 Description of IEA s report After the oil crisis of 1973, the Organization of Economic Cooperation and Development (OECD) Council established the International Energy Agency (IEA) in IEA includes member from 26 industrialized member nations and its aim was to set up a system to share available oil resources in times of oil crises. To help Member governments respond promptly and effectively to changes in market conditions, IEA prepares oil market assessments from information submitted by IEA Member governments, international oil companies and others. The Oil Market Report in IEA is divided into five sections including demand, supply, OECD stocks, oil prices, and refining activity. The objective of the report is to show historical statistics for the preceding 5 years and up to 12 months of projections. IEA s oil market projections are prepared every summer and revised monthly. A typical report of historical and projected information on Oil Market Report and the summary of world oil supply and demand are seen in Table 3-1 and Table 3-2. IEA prepares its historical and projected oil market statistics using a bottom-up approach that relies on statistics for each country. These statistics are developed through questionnaires and other information sources, depending on the country. For example, IEA relies on its access to data through questionnaires from all OECD countries and augments this information with data from oil companies, consulting groups, and other sources. Because IEA does not have the same access to data through questionnaires from non-oecd countries, it relies on a wide variety of sources for information, as illustrated in Figure 3-1. In this paper, initially, we obtained publishing schedules from IEA s official Oil Market Report on website for the years from October 1990 to December However, the Oil Market Report has some missing data. For example, it does not have publishing schedules for March, June, November and December in 1991 and from January to August 10

2 Table 3-1 The Typical Content of the Release on the Oil Market Report in IEA HIGHLIGHTS DEMAND OECD North America Europe Pacific Non-OECD China Other Non-OECD SUPPLY OPEC Non-OPEC OECD North America Europe Pacific Non-OECD Former Soviet Union (FSU) Other Non-OECD OECD STOCKS OECD Industry Stock Changes OECD North America OECD Europe OECD Pacific OECD Inventory Position and Revision to Preliminary Data PRICES Oil Futures Prices Crude Futures Product Futures Spot Crude Oil Prices Delivered Crude Prices Spot Product Prices End-User Product Prices REFINERT ACTIVITY Refining Margins OECD North America OECD Europe Asia OECD Refinery Yields Refinery Throughput OECD North America OECD Europe OECD Pacific Non-OECD Throughputs TABLES Source: Oil Market Report in IEA 11

3 Table 3-2 The of World Oil Supply and Demand in Oil Market Report Source: Oil Market Report in IEA 12

4 Figure 3-1 IEA s Framework for Developing its Historical World Oil Market Statistics Source: Information from IEA in Therefore, we check missing publishing schedules with Bloomberg News. There are totally 179 numbers of announcements. Monthly announcement in IEA is associated with supply and demand forecast. Consequently, we classify the sample as three categories: (a) those involving decreased versus increased supply in non-opec countries; (b) those coinciding with decreased versus increased demand in North America; and (c) those coinciding with decreased versus increased demand in China. These three classifications are given in Table 3-3. Although we wholly get 179 announcements from October 1990 to December 2005, it lack for precise values for the monthly changes of predictions before 1997 so as that we can not judge whether supply (demand) decreases or increases relative to last report. Therefore, we get the samples about changes of oil supply in non-opec countries from January 1997 and changes of oil demand in North America and China from October Furthermore, we exclude the samples of no changes of predictions between two consecutive months to avoid confounding our empirical results and analysis. Finally, there are 107, 90, and 77 samples about changes of oil supply in non-opec countries, oil demand in North America, and in China. Non-OPEC countries include large producers such as Russia, China, the United States, 13

5 Table 3-3 Analysis of IEA s Announcement Sample by Category Panel A :Change of Oil Supply in Non-OPEC Number in Sample Decreased Supply 64 Increased Supply 43 Total 107 Panel B :Change of Oil Demand in North America Decreased Demand 39 Increased Demand 51 Total 90 Panel C :Change of Oil Demand in China Decreased Demand 28 Increased Demand 49 Total 77 The sample of oil supply in non-opec countries is from January 1997 to December 2005 and the samples of oil demand in North America and China are from October 1997 to December Table 3-4 Data Description for Japan, Canada, France, the United States, the United Kingdom and Norway Country Number of Companies Japan 21 Canada 40 France 9 United States 107 United Kingdom 9 Norway 16 Total

6 Mexico, Kazakhstan, Azerbaijan, and Norway. North America includes Canada, the United States and Mexico. A priori we expect that oil-related markets should have a positive impact on forecasted supply (demand) decreases (increases) relative to the report of last month or otherwise. 3.2 Oil price data To test whether the monthly announcements in IEA s Oil Market Report cause oil-related market have abnormal returns, we initially use the heavily-traded Brent Crude futures in the International Petroleum Exchange (IPE). We will use these data downloaded from Datastream to investigate whether Brent Crude futures prices are affected by these reports. We assume that these reports may have a direct impact on the world s international traded IPE Brent Crude oil prices. The monthly IEA s Oil Market Report are released at regularly scheduled times at 9:00 am in local London time. It is released before the opening trading (at 10:00 am local time) of the Brent Crude futures markets. Hence, we collected opening prices of Brent Crude oil around the day the report is released. Additionally, we study the oil industry indices in six countries including Japan, Canada, France, the United States, the United Kingdom and Norway, and 202 oil-related companies in these six countries to gauge the effects of IEA s announcements on different economies. All oil industry indices belong to oil and gas price indices. We get closing prices in this part to make empirical analysis because it only has closing prices for oil industry indices and oil stock prices of individual company in Datastream. Table 3-4 lists the number of companies in each country in our sample. The number of individual companies for France, United Kingdom and Norway is limited because of data availability. The daily price changes are calculated as R [ P ] ln[ P ] t = ln t t 1 where R is the return, t is the day, and P is the price (opening or closing price). 15