L’objectif de la thèse est d’étudier le lien entre le prix du pétrole et les performances macroéconomiques dans les pays exportateurs de pétrole. En adoptant une perspective d’économétrie appliquée, nous recourons à plusieurs techniques récentes de l’économétrie des données de panel. Pour cela trois thèmes sont envisagés. Nous identifions d’abord les fondamentaux de la croissance économique dans ces pays exportateurs de pétrole. En tenant compte du caractère dynamique de la croissance, nos résultats mettent en avant le rôle clé de la rente pétrolière dans l’explication de la croissance économique de ces pays. L’étude des interactions met en évidence qu’à court terme, un choc pétrolier positif améliore le compte courant et bénéficie à la croissance économique mais entraîne aussi une appréciation du taux de change dans les pays exportateurs de pétrole. Pour ce qui concerne les interactions hors prix du pétrole, celles-ci sont limitées. Nous montrons ensuite que les fondamentaux du taux de change effectif réel des pays exportateurs de pétrole reposent principalement sur les termes de l’échange, la productivité relative et les dépenses publiques. L’examen des mésalignements de change montre l’existence d’une forte hétérogénéité entre les pays étudiés. Nous montrons que le régime de change fixe est plus approprié pour diminuer l’ampleur des mésalignements dans les pays exportateurs de pétrole. / The aim of the thesis is to study the link between oil prices and macroeconomic performances in oil exporting countries. Adopting an applied econometrics approach, we use recent techniques of panel data econometrics. For this, three themes are envisaged. We identify first the main determinants of economic growth of these countries. Considering the dynamic nature of growth, our results highlight the key role of the oil rent in explaining economic growth in these countries. The study of macroeconomic interactions highlights that, in the short term, a positive oil price shock improves the current account and boosts economic growth but also leads to an appreciation of the exchange rate in oil exporting countries. Regarding the interaction between macroeconomic variables excluding oil prices, we find that they are relatively weak. We then show that the fundamentals of the real effective exchange rates in oil exporting countries are mainly the terms of trade, the relative productivity and government expenditures. The study of exchange rate misalignments shows the existence of a strong heterogeneity among the countries studied. However, our investigations highlight the key role of exchange rate regimes in explaining the magnitude of these exchange rates misalignments. In particular, we show that the fixed exchange rate regime is more appropriate to reduce the magnitude of the exchange rate misalignments in oil-exporting countries.

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Allocating production volumes across a portfolio of producing assets is a complex optimization problem. Each producing asset possesses different technical attributes (e.g. crude type), facility constraints, and costs. In addition, there are corporate objectives and constraints (e.g. contract delivery requirements). While complex, such a problem can be specified and solved using conventional deterministic optimization methods. However, there is often uncertainty in many of the inputs, and in these cases the appropriate approach is neither obvious nor straightforward. One of the major uncertainties in the oil and gas industry is the commodity price assumption(s). This paper investigates this problem in three major sections: (1) We specify an integrated stochastic optimization model that solves for the optimal production allocation for a portfolio of producing assets when there is uncertainty in commodity prices, (2) We then compare the solutions that result when different price models are used, and (3) We perform a value of information analysis to estimate the value of more accurate price models. The results show that the optimum production allocation is a function of the price model assumptions. However, the differences between models are minor, and thus the value of choosing the “correct” price model, or similarly of estimating a more accurate model, is small. This work falls in the emerging research area of decision-oriented assessments of information value. / text