WorldWideScience

Sample records for high oil prices

  1. Are high oil prices a threat for the price stability?

    International Nuclear Information System (INIS)

    Mollerus, A.

    2000-01-01

    The high price for oil and the decreased value of the Euro increase the risks for the stability of prices. Still, the prospects for inflation are favorable for the Euro zone. Less favorable are the consequences for the Netherlands, while the inflation difference with the Euro zone appears to become bigger, in particular as a result of the new Tax regulations in the Netherlands

  2. Logistics: Price Rises Incurred by High Oil Price

    Institute of Scientific and Technical Information of China (English)

    Lai Zhihui

    2011-01-01

    @@ "When the oil price grows by 100%, the logistic indus-try will see a price growth of 40%, while the logistics in-dustry a price rise of 35%, which means every price increase of 5% in the oil price will bring along that of 2% in this industry." said Liu Zongsheng, General Manager of Itochu Logistics Co., Ltd., on the seminar "Focusing on the eco-nomic consequences of raising oil price, interest rate and deposit reserve ratio", which was held recently.

  3. High oil prices are here to stay

    International Nuclear Information System (INIS)

    Toennesen, Bjoern Inge

    2004-01-01

    The presentation discusses the development in the OPEC countries with emphasis on oil price fluctuation, spare production capacity and OPEC control. The capacity expansion in non-OPEC countries and the global demand development are also surveyed. (tk)

  4. Viewpoint On the Climate Change Effects of High Oil Prices

    International Nuclear Information System (INIS)

    Vielle, M.; Viguier, L.

    2005-11-01

    Some commentators claim that the oil market has achieved within a few months what international bureaucrats have struggled to obtain in a decade of international climate negotiations. The fallacy of the oil price argument is that substitutions and income effects that would result from higher oil prices are not considered. Using a computable general equilibrium model, we show that high oil prices cannot serve as substitutes for effective climate policies.

  5. The impact of high oil prices on natural gas

    International Nuclear Information System (INIS)

    Koevoet, H.

    2003-01-01

    The principle of gas-to-oil (oil prices determine the price of natural gas) in the Netherlands and several other developments elsewhere (war in Iraq and a cold winter in the USA) has caused high natural gas prices. The question is whether the liberalization of the energy market can change this principle [nl

  6. The oil market towards 2030 - can OPEC combine high oil price with high market share

    International Nuclear Information System (INIS)

    Aune, Finn Roar; Glomsroed, Solveig; Lindholt, Lars; Rosendahl, Knut Einar

    2005-01-01

    In this paper we examine within a partial equilibrium model for the oil market whether OPEC can combine high oil prices with a high market share. The oil market model explicitly accounts for reserves, development and production in 4 field categories across 13 regions. Oil companies may invest in new field development or alternatively on improved oil recovery in the decline phase of fields in production. Non-OPEC production is profit-driven, whereas OPEC meets the residual call for OPEC oil at a pre-specified oil price, while maintaining a surplus capacity. The model is run over a range of exogenous oil prices from 15 to 60 $ per barrel. Sustained high oil prices stimulate Non-OPEC production, but its remaining reserves gradually diminish despite new discoveries. Oil demand is only slightly affected by higher prices. Thus, OPEC is able to keep and eventually increase its current market share beyond 2010 even with oil prices around $30 per barrel. In fact, the model simulations indicate that an oil price around $40 is profitable for OPEC, even in the long term. Sensitivity analyses show that the most profitable price level for OPEC is generally above $35 per barrel. Even with several factors working jointly in OPEC's disfavour, the oil price seems to stick to the 30 $ level. Thus, for OPEC there is a trade-off between high prices and high market share in the short to medium term, but not in the long term. For OECD countries, on the other hand, there is a clear trade-off between low oil prices and low import dependence. (Author)

  7. High oil prices: A non-OPEC capacity game

    International Nuclear Information System (INIS)

    Osmundsen, Petter; Asche, Frank; Misund, Baard; Mohn, Klaus

    2005-08-01

    The current high oil price is partly due to low investments in the oil industry the last decade. According to economic theory, exploration and development of new oil and gas fields should respond positively to increasing petroleum prices. But since the late 1990s, financial analysts have focused strongly on short-term accounting return measures, like RoACE, for benchmarking and valuation of international oil and gas companies. Consequently, the demand for strict capital discipline among oil and gas companies may have reduced their willingness to invest for future reserves and production growth. Thus, we have experienced an unusual combination of high oil prices and low investment levels in exploration and development. In many ways, the oil companies' focus on RoACE, at the expense of reserve replacement, resembles an implicit co-ordination on low capacity among non-OPEC petroleum producers. This is a partial explanation of the current high oil prices. By examining actual parameters used by the financial markets in pricing of oil companies, we address the issue of whether the low investment outcome could represent a long-term equilibrium. This is hardly likely, as oil companies are made aware that stronger emphasis is put on reserve replacement. (Author)

  8. Crude oil prices : how high, how much harm?

    International Nuclear Information System (INIS)

    Levesque, M.; Alexander, C.

    2002-01-01

    This paper discussed the issue of crude oil prices and the economy. Crude oil prices are on the rise due to the recent events in the Middle East. In early April, West Texas Intermediate crude oil climbed to nearly US$28 a barrel. Most of the increase reflects the expectation of stronger world oil demand combined with supply constraints on the part of OPEC. Although there has been some concern expressed that rising oil prices may hinder economic recovery, the authors of this report do not see evidence that rising oil prices would throw economic recovery off course, arguing that the current spike will be short-lived. They stated that even under a worse-case scenario where prices remain inflated, there is little reason to fear for the health of the Canadian economy. OPEC is expected to increase its low production quotas in June. In addition, non-OPEC nations (Russia in particular) are expected to increase oil production in the coming months. The authors also indicated that it is unlikely that conflict in the West Bank will disrupt oil supply because Israel is not an oil-exporting nation. However, oil supply could be affected if other Arab nations were drawn into the issue. It was also noted that military action against Iraq would increase oil prices, possibly as high as US$40 a barrel, but the full extent of this hike in price will probably be unsustainable. In addition, the authors emphasized that the increase in energy costs would not be enough to seriously jeopardize the economic recovery in the United States. As for Canada, it is estimated that a US$10 per barrel increase in crude oil prices would have a small, but positive impact on Canadian GDP because in contrast to the United States, Canada produces much more energy than it consumers. In 2001, Canada ran a trade surplus of $2.8 billion. The report ended by stating that although higher oil prices could add a full percentage point to headline inflation by the end of the year, core inflation is likely to remain

  9. The Effects of High and Volatile Oil Prices

    International Nuclear Information System (INIS)

    Artus, Patrick; Autume, Antoine d'; Chalmin, Philippe; Chevalier, Jean-Marie; Coeure, Benoit; Kalantizs, Yannick; Klein, Caroline; Guesnerie, Roger; Callonnec, Gael; Gaudin, Thomas; Moisan, Francois; Lescaroux, Francois; Clerc, Marie; Marcus, Vincent; Lalanne, Guy; Pouliquen, Erwan; Simon, Olivier; Mignon, Valerie

    2010-01-01

    demand into play (this is estimated at around 0.2 in the short term and around 0.4 over the longer term for fuel demand) and possibly caused behavioural changes such as those seen in France and described in the report. The other explanation is related to energy and environmental policies, which have helped reduce oil demand. However, the strong growth expected in emerging markets is likely to increase global demand for oil by several million barrels per day by 2014. This reflects the expectation that the number of cars on the road worldwide will double by 2030, and it seems unlikely that tougher environmental constraints will contain these trends. Half of this growth will come from Asia. Such an increase in global oil demand will only be sustainable if it is accompanied by higher prices that will enable the exploitation of new unconventional oil fields or fields with high production costs. As regards volatility, the authors first repeat that there are real determinants at play: the level of oil prices encourages or discourages investment in production capacity. Low oil prices slow capacity investments and therefore limit future supply, which then causes prices to rise, thereby providing an incentive to invest and develop supply. However, neither these (endogenous) irregularities in the investment programs of oil companies and exporting countries nor changing demand trends alone can account for the sharp rise in prices between 2002 and 2008 and the very sudden drop that followed in July-August 2008. A number of observers believe that the explanation lies in speculation on the oil market. The report's authors sift through all the arguments for and against this theory. While it is undeniable that speculation has developed on the oil futures market, the authors question two key points: was this speculation really focused on an oil price rally, and could it have such a significant retroactive effect on spot prices? Their conclusions recognise that speculation was indeed

  10. The pass through of oil prices into euro area consumer liquid fuel prices in an environment of high and volatile oil prices

    Energy Technology Data Exchange (ETDEWEB)

    Meyler, Aidan [European Central Bank, Frankfurt am Main (Germany)

    2009-11-15

    Crude and refined oil prices have been relatively high and volatile on a sustained basis since 1999. This paper considers the pass through of oil prices into consumer liquid (i.e. petrol, diesel and heating) fuel prices in such an environment. The pass through of oil prices into consumer liquid fuel prices has already been addressed extensively in the literature. Nonetheless much of this literature has either focused on the United States or on a time period when oil prices were relatively stable, or has used monthly data. The main contribution of this paper is a comprehensive combination of many features that have been considered before but rarely jointly. These features include: (1) the analysis of the euro area as an aggregate and a large number of countries (the initial 12 member states); (2) the consideration of different time periods; (3) the modelling of the data in raw levels rather than in log levels. This turns out to have important implications for our findings; (4) the use of high frequency (weekly) data, which, as results will suggest, are the lowest frequency one should consider; (5) the investigation of the different stages of the production chain from crude oil prices to retail distribution - refining costs and margins, distribution and retailing costs and margins; (6) the examination of prices including and excluding taxes - excise and value-added; (7) the modelling of prices for three fuel types - passenger car petrol and diesel separately and home heating fuel oil; (8) lastly we also address the issue of possible asymmetries, allowing for the pass through to vary according to (a) whether price are increasing or decreasing and (b) whether price levels are above or below their equilibrium level. The main findings are as follows: First, as distribution and retailing costs and margins have been broadly stable on average, the modelling of the relationship between consumer prices excluding taxes and upstream prices in raw levels rather than in

  11. The pass through of oil prices into euro area consumer liquid fuel prices in an environment of high and volatile oil prices

    International Nuclear Information System (INIS)

    Meyler, Aidan

    2009-01-01

    Crude and refined oil prices have been relatively high and volatile on a sustained basis since 1999. This paper considers the pass through of oil prices into consumer liquid (i.e. petrol, diesel and heating) fuel prices in such an environment. The pass through of oil prices into consumer liquid fuel prices has already been addressed extensively in the literature. Nonetheless much of this literature has either focused on the United States or on a time period when oil prices were relatively stable, or has used monthly data. The main contribution of this paper is a comprehensive combination of many features that have been considered before but rarely jointly. These features include: (1) the analysis of the euro area as an aggregate and a large number of countries (the initial 12 member states); (2) the consideration of different time periods; (3) the modelling of the data in raw levels rather than in log levels. This turns out to have important implications for our findings; (4) the use of high frequency (weekly) data, which, as results will suggest, are the lowest frequency one should consider; (5) the investigation of the different stages of the production chain from crude oil prices to retail distribution - refining costs and margins, distribution and retailing costs and margins; (6) the examination of prices including and excluding taxes - excise and value-added; (7) the modelling of prices for three fuel types - passenger car petrol and diesel separately and home heating fuel oil; (8) lastly we also address the issue of possible asymmetries, allowing for the pass through to vary according to (a) whether price are increasing or decreasing and (b) whether price levels are above or below their equilibrium level. The main findings are as follows: First, as distribution and retailing costs and margins have been broadly stable on average, the modelling of the relationship between consumer prices excluding taxes and upstream prices in raw levels rather than in

  12. Towards sustained high oil prices and increasingly volatile

    International Nuclear Information System (INIS)

    Auverlot, Dominique; Teillant, Aude; Rech, Olivier

    2012-09-01

    It is particularly difficult to predict the evolution of global oil production and its ability to meet the demand: the main uncertainties are related to the magnitude of the growth of emerging countries, more or less rapid decline in the production of major oil fields current events as well as natural or accidental, but especially geopolitics, which may affect, at any time, production. In a tight market today, the rapid growth of emerging economies, disruption of the oil supply chain world, even its mere mention, could cause short-term loss of excess production capacity - largely concentrated in Saudi Arabia - an increase substantial progress and, as contemplated by the International Atomic Energy imbalances between global oil supply and demand. If, after 2020, production of conventional oil begins to decline and the demand from emerging markets continues to grow, more massive imbalances may arise, leading to potential geopolitical tensions. Control would then demand the best answer. Otherwise, the resources of unconventional hydrocarbons, considerable expected to meet the demand, provided that their development is fast enough and their operating conditions are environmentally friendly. A consensus is emerging today on keeping oil prices high (above $ 100 / barrel) and volatile in the coming years, allowing some producing countries to pursue their development, but for France amplifying the negative effects on the economic growth oil bill (more than 49 billion euros in 2011) weighs more heavily in our trade deficit. In all cases, climate issues, the weight of the oil bill on our economy, securing our energy supply and technical uncertainties or geopolitical oil production call for reducing our oil consumption, accelerated motion the transition to a low carbon economy and development of our own energy resources. Contents: - Current analysis of oil reserves; - Uncertainties about the evolution of world oil production; - What is the potential long-term oil production

  13. Fortum Oil and Gas 2000: Exceptionally high price of crude oil and strong refining margins

    International Nuclear Information System (INIS)

    Ropponen, V.-M.

    2001-01-01

    Fortum intends to be an active player in the structural reorganization of the oil business by utilizing its niche position in oil refining. Fortum produces sophisticated motor fuel components, which it uses in its reformulated gasolines and sells and exports to other oil companies, even to highly demanding markets in California. The increase in the price of crude oil considerably improved the results of Oil and Gas Upstream. Similarly, an improvement in the refining margin, as well as profitable shipping operations and a strong demand for gasoline components, boosted the results of Oil Refining and Marketing. (orig.)

  14. Electric Cars and Oil Prices

    OpenAIRE

    Azar, Jose

    2009-01-01

    This paper studies the joint dynamics of oil prices and interest in electric cars, measured as the volume of Google searches for related phrases. Not surprisingly, I find that oil price shocks predict increases in Google searches for electric cars. Much more surprisingly, I also find that an increase in Google searches predicts declines in oil prices. The high level of public interest in electric cars between April and August of 2008 can explain approximately half of the decline in oil prices...

  15. Dynamic impacts of high oil prices on the bioethanol and feedstock markets

    International Nuclear Information System (INIS)

    Cha, Kyung Soo; Bae, Jeong Hwan

    2011-01-01

    This study investigates the impacts of high international oil prices on the bioethanol and corn markets in the US. Between 2007 and 2008, the prices of major grain crops had increased sharply, reflecting the rise in international oil prices. These dual price shocks had caused substantial harm to the global economy. Employing a structural vector auto-regression model (SVAR), we analyze how increases in international oil prices could impact the prices of and demand for corn, which is used as a major bioethanol feedstock in the US. The results indicate that an increase in the oil price would increase bioethanol demand for corn and corn prices in the short run and that corn prices would stabilize in the long run as corn exports and feedstock demand for corn decline. Consequently, policies supporting biofuels should encourage the use of bioethanol co-products for feed and the development of marginal land to mitigate increases in the feedstock price. - Research highlights: → World economy experienced 'dual shocks', which were caused by skyrocketed oil prices and grain prices between 2007 and 2008. → Sharp increases in ethanol production in response to high oil prices were considered as a major driving force to 'ag-flation' in the United States. → Applying a time series econometric tool, called the 'structural vector auto-regression model', we evaluated relationship between ethanol production and corn prices. → The result shows that ethanol production affects corn prices in the short run, while corn prices are lowered as other corn demands (feed for livestock or export demand) decline in the long run.

  16. Poverty and growth impacts of high oil prices: Evidence from Sri Lanka

    International Nuclear Information System (INIS)

    Naranpanawa, Athula; Bandara, Jayatilleke S.

    2012-01-01

    The sharp rise in oil and food prices in 2007 and 2008 caused negative impacts on poverty and economic growth in many oil and food importing developing countries. Some analysts believe that these countries are under stress again due to a rise in crude oil prices, to a two-and-a-half year high in March 2011, which has also been partly responsible for higher food prices in recent months. However, there is a limited body of empirical evidence available from developing countries on the impact of high oil prices on growth in general and household poverty in particular. In this study, Sri Lanka is used as a case study and a computable general equilibrium (CGE) approach is adopted as an analytical framework to explore the growth and poverty impacts of high oil prices. The results suggest that urban low income households are the group most adversely affected by high global oil prices, followed by low income rural households. In contrast, estate low income households are the least affected out of all low income households. The energy intensive manufacturing sector and services sector are affected most compared to the agricultural sector. - Highlights: ► Using a general equilibrium model we find poverty and oil price link for Sri Lanka. ► Urban low income households are the group most adversely affected. ► Energy intensive manufacturing and services sectors are affected most.

  17. After the oil price collapse

    International Nuclear Information System (INIS)

    Kohl, W.L.

    1991-01-01

    In this book, the authors focus on issues that include the extremely high prices following the second oil shock, the resulting decline in oil demand and the increase in non-OPEC production, reduced industry concentration, OPEC's subsequent attempt to regain market share; and the resulting free-for-all of competitive pricing

  18. Prospects for oil prices

    International Nuclear Information System (INIS)

    Caddy, P.

    1992-01-01

    It is argued that the wave in oil prices which occurred in 1991, although appearing to suggest price instability, in fact shows the opposite. Steady oscillation between a low price level that leads to new customers and a high price that encourages customers to switch to alternatives is a sign of a stable market. This relative stability was achieved against the background of the political upheaval in the USSR and Eastern Europe and its unpredictable consequences. Such political uncertainties to one side, the difficulties of assessing demand trends in the light of the imponderables of the state of the world economy and the weather are stressed. Despite these problems, the view is expressed that correct reading of signals up the supply chain by producers should ensure continued relative price stability. This is not to say that prices will stay exactly the same, just that they will be bound within a trading range set by anticipated consumer and producer responses to the fluctuating prices. (UK)

  19. Record prices [crude oil

    International Nuclear Information System (INIS)

    Anon

    2006-01-01

    Crude oil prices climbed to new record levels on fears of a future loss of supplies from Iran as Washington stepped up its efforts to persuade Tehran to abandon its programme to produce nuclear fuel. IPE's December Brent contract set a new record for the exchange by trading at $75.80/bbl on 21st April. On the same day October WTI reached an all-time high of $77.30/bbl on Nymex. US product prices gained as refiners struggled to produce sufficient middle distillate. Alarmed by the rising retail price of gasoline, the US Senate debated a reduction in the already low US tax rate on motor spirit. The House of Representatives passed a measure to prohibit overcharging for petrol, diesel and heating oil, but Democrats rejected a Republican proposal to speed-up the process for approving new refineries. President George W Bush announced a temporary easing of new gasoline and diesel specifications (see 'Focus', March 2006) to allow more fuel to be produced. He also agreed to delay the repayment of some 2.1 mn bbl of crude oil lent to companies after last year's hurricanes from the Strategic Petroleum Reserve. California announced an inquiry into alleged overcharging for fuel by oil companies operating in the state. (author)

  20. OPEC's optimal crude oil price

    International Nuclear Information System (INIS)

    Horn, Manfred

    2004-01-01

    OPEC decided to stabilise oil prices within a range of 22-28 US Dollar/barrel of crude oil. Such an oil-price-level is far beyond the short and long run marginal costs of oil production, beyond even that in regions with particularly high costs. Nevertheless, OPEC may achieve its goal if world demand for oil increases substantially in the future and oil resources outside the OPEC are not big enough to accordingly increase production. In this case OPEC, which controls about 78% of world oil reserves, has to supply a large share of that demand increase. If we assume OPEC will behave as a partial monopolist on the oil market, which takes into consideration the reaction of the other producers to its own sales strategy, it can reach its price target. Lower prices before 2020 are probable only if the OPEC cartel breaks up. Higher prices are possible if production outside OPEC is inelastic as assumed by some geologists, but they would probably stimulate the production of unconventional oil based on oil sand or coal. Crude oil prices above 30 US Dollar/barrel are therefore probably not sustainable for a long period. (Author)

  1. Forecasting short-run crude oil price using high- and low-inventory variables

    International Nuclear Information System (INIS)

    Ye, Michael; Zyren, John; Shore, Joanne

    2006-01-01

    Since inventories have a lower bound or a minimum operating level, economic literature suggests a nonlinear relationship between inventory level and commodity prices. This was found to be the case in the short-run crude oil market. In order to explore this inventory-price relationship, two nonlinear inventory variables are defined and derived from the monthly normal level and relative level of OECD crude oil inventories from post 1991 Gulf War to October 2003: one for the low inventory state and another for the high inventory state of the crude oil market. Incorporation of low- and high-inventory variables in a single equation model to forecast short-run WTI crude oil prices enhances the model fit and forecast ability

  2. An empirical model of daily highs and lows of West Texas Intermediate crude oil prices

    International Nuclear Information System (INIS)

    He, Angela W.W.; Wan, Alan T.K.; Kwok, Jerry T.K.

    2010-01-01

    There is a large collection of literature on energy price forecasting, but most studies typically use monthly average or close-to-close daily price data. In practice, the daily price range constructed from the daily high and low also contains useful information on price volatility and is used frequently in technical analysis. The interaction between the daily high and low and the associated daily range has been examined in several recent studies on stock price and exchange rate forecasts. The present paper adopts a similar approach to analyze the behaviour of the West Texas Intermediate (WTI) crude oil price over a ten-year period. We find that daily highs and lows of the WTI oil price are cointegrated, with the error correction term being closely approximated by the daily price range. Two forecasting models, one based on a vector error correction mechanism and the other based on a transfer function framework with the range taken as a driver variable, are presented for forecasting the daily highs and lows. The results show that both of these models offer significant advantages over the naive random walk and univariate ARIMA models in terms of out-of-sample forecast accuracy. A trading strategy that makes use of the daily high and low forecasts is further developed. It is found that this strategy generally yields very reasonable trading returns over an evaluation period of about two years. (author)

  3. The oil price

    International Nuclear Information System (INIS)

    Alba, P.

    2000-01-01

    Statistical analysis cannot, alone, provide an oil price forecast. So, one needs to understand the fundamental phenomena which control the past trends since the end of world war II After a first period during which oil, thanks to its abundance, was able to increase its market share at the expense of other energies, the first oil shock reflects the rarefaction of oil resource with the tilting of the US production curve from growth to decline. Since then, the new situation is that of a ''cohabitation'' between oil and the other energies with the oil price, extremely volatile, reflecting the trial and error adjustment of the market share left to the other energies. Such a context may explain the recent oil price surge but the analogy between the US oil situation at the time of the first shock and that existing today for the world outside Middle East suggest another possibility, that of a structural change with higher future oil prices. The authors examine these two possibilities, think that the oil price will reflect both as long as one or the other will not become proven, and conclude with a series of political recommendations. (authors)

  4. Oil turbulence in the next decade. An essay on high oil prices in a supply-constrained world

    International Nuclear Information System (INIS)

    Jesse, J.H.; Van der Linde, C.

    2008-06-01

    A CIEP analysis of the recent development of demand and supply for crude oil indicates that the mismatch in supply and demand growth could cause tighter oil markets than we already experience today. In the World Energy Outlook 2007, the International Energy Agency (IEA) warned of a possible 'energy crunch'. But what was anticipated to happen in the first part of the next decade has been fast-forwarded to today, more than 5 years earlier, and could shake the very foundation of our energy systems if no action is undertaken. Without exaggeration, the recent developments in the international oil market are ground-breaking: a little over a year ago, in January 2007, the West Texas Intermediate crude oil price (WTI) traded for USD50 dollar a barrel. Within a year, the price doubled to USD100 per barrel in January 2008 and pushed through to over USD135 in June 2008, against the backdrop of the fresh market supposition about reaching a whopping USD200 per barrel in 2009. If this proves to be true, the world will not only have moved from an 'Oil Demand-led World' to an 'Oil Supply-constrained World' (since 2004) but, more importantly, will then also experience a radical change in the oil price formation. Until recently, the oil price was largely underpinned by the marginal cost of the last barrel needed to match demand, with some political and economic conjuncture mark-ups or -downs. As will be presented in this paper, the current high oil prices are still primarily driven by structural factors that can be well explained without resorting to blaming speculative investors playing the futures market or the low dollar. But if prices are heading towards USD200 a barrel in 12 months' time, or for that matter even to USD150 a barrel, other drivers will gain prominence over marginal costs as the main driver. In that case, OPEC will have accomplished a long-held wish: oil will then be priced at its real value in the Western world (for instance the economic value of mobility for

  5. Oil prices and long-run risk

    Science.gov (United States)

    Ready, Robert Clayton

    I show that relative levels of aggregate consumption and personal oil consumption provide an excellent proxy for oil prices, and that high oil prices predict low future aggregate consumption growth. Motivated by these facts, I add an oil consumption good to the long-run risk model of Bansal and Yaron [2004] to study the asset pricing implications of observed changes in the dynamic interaction of consumption and oil prices. Empirically I observe that, compared to the first half of my 1987--2010 sample, oil consumption growth in the last 10 years is unresponsive to levels of oil prices, creating an decrease in the mean-reversion of oil prices, and an increase in the persistence of oil price shocks. The model implies that the change in the dynamics of oil consumption generates increased systematic risk from oil price shocks due to their increased persistence. However, persistent oil prices also act as a counterweight for shocks to expected consumption growth, with high expected growth creating high expectations of future oil prices which in turn slow down growth. The combined effect is to reduce overall consumption risk and lower the equity premium. The model also predicts that these changes affect the riskiness of of oil futures contracts, and combine to create a hump shaped term structure of oil futures, consistent with recent data.

  6. Prospects for oil prices

    International Nuclear Information System (INIS)

    Stevens, P.

    1992-01-01

    The basic argument presented is that the oil price is set in an administrated market. The administration is undertaken by the controllers of excess capacity to produce crude oil. The extent to which the administrated price matches the market price is a function, first, of the strength and effectiveness of the market controller and, secondly, of the state of supply and demand and expectations in the market. Currently, the market is operating close to capacity, what limited excess capacity exists is located mainly in Saudi Arabia and the Saudi Arabians appear to be following a low price objective. While the Saudi Arabians pursue volume, the short term project, in the balance of a political upheaval, is that oil prices will remain below the $21 per barrel agreed in July 1990. There is a view that Saudi Arabia would take quick action to reverse a price collapse, but attention is drawn to previous miscalculations with respect to price collapse. Should political circumstances allow the return of Iraq to the oil market, then excess capacity within the Gulf members of OPEC will return and control will be much more difficult. (UK)

  7. Nuclear energy consumption, oil prices, and economic growth: Evidence from highly industrialized countries

    International Nuclear Information System (INIS)

    Lee, Chien-Chiang; Chiu, Yi-Bin

    2011-01-01

    This study utilizes the Johansen cointegration technique, the Granger non-causality test of Toda and Yamamoto (1995), the generalized impulse response function, and the generalized forecast error variance decomposition to examine the dynamic interrelationship among nuclear energy consumption, real oil price, oil consumption, and real income in six highly industrialized countries for the period 1965-2008. Our empirical results indicate that the relationships between nuclear energy consumption and oil are as substitutes in the U.S. and Canada, while they are complementary in France, Japan, and the U.K. Second, the long-run income elasticity of nuclear energy is larger than one, indicating that nuclear energy is a luxury good. Third, the results of the Granger causality test find evidence of unidirectional causality running from real income to nuclear energy consumption in Japan. A bidirectional relationship appears in Canada, Germany and the U.K., while no causality exists in France and the U.S. We also find evidence of causality running from real oil price to nuclear energy consumption, except for the U.S., and causality running from oil consumption to nuclear energy consumption in Canada, Japan, and the U.K., suggesting that changes in price and consumption of oil influence nuclear energy consumption. Finally, the results observe transitory initial impacts of innovations in real income and oil consumption on nuclear energy consumption. In the long run the impact of real oil price is relatively larger compared with that of real income on nuclear energy consumption in Canada, Germany, Japan, and the U.S.

  8. Nuclear energy consumption, oil prices, and economic growth: Evidence from highly industrialized countries

    Energy Technology Data Exchange (ETDEWEB)

    Lee, Chien-Chiang, E-mail: cclee@cm.nsysu.edu.tw; Chiu, Yi-Bin

    2011-03-15

    This study utilizes the Johansen cointegration technique, the Granger non-causality test of Toda and Yamamoto (1995), the generalized impulse response function, and the generalized forecast error variance decomposition to examine the dynamic interrelationship among nuclear energy consumption, real oil price, oil consumption, and real income in six highly industrialized countries for the period 1965-2008. Our empirical results indicate that the relationships between nuclear energy consumption and oil are as substitutes in the U.S. and Canada, while they are complementary in France, Japan, and the U.K. Second, the long-run income elasticity of nuclear energy is larger than one, indicating that nuclear energy is a luxury good. Third, the results of the Granger causality test find evidence of unidirectional causality running from real income to nuclear energy consumption in Japan. A bidirectional relationship appears in Canada, Germany and the U.K., while no causality exists in France and the U.S. We also find evidence of causality running from real oil price to nuclear energy consumption, except for the U.S., and causality running from oil consumption to nuclear energy consumption in Canada, Japan, and the U.K., suggesting that changes in price and consumption of oil influence nuclear energy consumption. Finally, the results observe transitory initial impacts of innovations in real income and oil consumption on nuclear energy consumption. In the long run the impact of real oil price is relatively larger compared with that of real income on nuclear energy consumption in Canada, Germany, Japan, and the U.S.

  9. Oil transformation sector modelling: price interactions

    International Nuclear Information System (INIS)

    Maurer, A.

    1992-01-01

    A global oil and oil product prices evolution model is proposed that covers the transformation sector incidence and the final user price establishment together with price interactions between gaseous and liquid hydrocarbons. High disparities among oil product prices in the various consumer zones (North America, Western Europe, Japan) are well described and compared with the low differences between oil supply prices in these zones. Final user price fluctuations are shown to be induced by transformation differences and competition; natural gas market is also modelled

  10. The oil barrel price

    International Nuclear Information System (INIS)

    Blondy, J.; Papon, P.

    2009-01-01

    This paper proposes an overview and a prospective glance on the oil barrel price. It indicates the relevant indicators: Brent quotation, euro/dollar parity, economic activity indicators, world oil consumption distribution, crude oil production, refining capacity. It briefly presents the involved stake holders: crude oil producers, oil refiners, refined product dealers, and the OPEC. It discusses the major retrospective trends: evolution in relationship with geopolitical events and energy policies, strong correlation between oil demand and economic growth, prevalence of OPEC, growing importance of national oil companies. An emerging trend is noticed: growing role of emerging countries on the crude market. Some prospective issues are discussed: duration and intensity of economic recession, separation between economic growth and energy consumption, pace and ambition level of policies of struggle against climate change, exploitable resources, and geopolitical hazards. Four evolution hypotheses are discussed

  11. Oil price prospects

    International Nuclear Information System (INIS)

    Toalster, J.

    1992-01-01

    In this paper, four different, popular approaches to the analysis of oil price movements will be considered and an alternative method will be proposed. Whilst we await the development of a rigorous theoretical framework within which to evaluate the phenomenon of oil price movements some progress may be effected by an amalgam of approaches, with the traditional supply and demand model being supplemented by observations regarding political and social developments in particular countries or regions, together with an assessment of emerging and prospective technological achievements. In this way it should be possible to identify the critical influences at work, from which it should also be possible to select either the single most important variable or combination of variables, affecting the oil price. Moreover, it is my belief that the crucial variables influencing the oil price almost certainly, are more likely to be political and social, rather than economic. In this context and notwithstanding the fact that there is only a minimal level of surplus productive capacity in the world oil industry at present (perhaps 1-2 million b/d albeit rising rapidly), it is reasonable to conclude that oil prices will average around $18-19 a barrel for North Sea Brent in 1992 and 1993, with oscillations of $2-4 a barrel either side, rising slightly in 1994 to $19-20 a barrel and to $20-21 a barrel in 1995. Thereafter, the most likely outcome is for a rise in line with inflation (say $ a barrel/annum) with no prospect of an upward spike, because demand will be weaker than most commentators expect up to the year 2000, whilst OPEC oil supplies will be substantially higher than the consensus forecast. (author)

  12. Chaotic structure of oil prices

    Science.gov (United States)

    Bildirici, Melike; Sonustun, Fulya Ozaksoy

    2018-01-01

    The fluctuations in oil prices are very complicated and therefore, it is unable to predict its effects on economies. For modelling complex system of oil prices, linear economic models are not sufficient and efficient tools. Thus, in recent years, economists attached great attention to non-linear structure of oil prices. For analyzing this relationship, GARCH types of models were used in some papers. Distinctively from the other papers, in this study, we aimed to analyze chaotic pattern of oil prices. Thus, it was used the Lyapunov Exponents and Hennon Map to determine chaotic behavior of oil prices for the selected time period.

  13. Vital signs: oil supplies improving but natural gas tight enough to keep prices high

    International Nuclear Information System (INIS)

    Lunan, D.

    2000-01-01

    Canada's 1999 year-end oil reserves were boosted by 2.1 million barrels by the launch of new oil sands mining projects near Fort McMurray and revisions in two existing operations, offsetting a decline of 3.7 per cent in remaining conventional reserves. Total oil reserves at year end stood at some 11.9 billion barrels, up from 9.8 billion barrels a year earlier. Conventional crude reserves dropped to 4.37 billion barrels. Despite the decline, the Canadian Association of Petroleum Producers (CAPP) were encouraged by a 70 per cent replacement rate, on production of 441 million barrels of oil, despite low activity resulting from soft prices in early part of 1999. Production from offshore Newfoundland sites amounted to 38.6 million barrels; remaining reserves in the Hibernia and Terra Nova field are estimated at 868 million barrels. Meanwhile, natural gas reserves slipped by about a trillion cubic feet to about 61 trillion cubic feet, reflecting an 83 per cent replacement rate which, however, represented an improvement from 76 per cent in 1998. Reserves replacement in 2000 is expected to improve over 1999 due to improved prices resulting in increased activity in 2000 which is expected to continue into 2001. Despite improvements in replacement, consumers have much to worry about as far as further consumer price increases are concerned. The situation can be traced back to the summer 2000 storage injection period when supplies normally stored for use in the winter were sold instead, to take advantage of high prices. The injection for storage was reduced due largely to continued strong demand from the US electric power generating sector. This situation will continue, barring a dramatic softening of the US economy

  14. Oil price uncertainty in Canada

    Energy Technology Data Exchange (ETDEWEB)

    Elder, John [Department of Finance and Real Estate, 1272 Campus Delivery, Colorado State University, Fort Collins, CO 80523 (United States); Serletis, Apostolos [Department of Economics, University of Calgary, Calgary, Alberta (Canada)

    2009-11-15

    Bernanke [Bernanke, Ben S. Irreversibility, uncertainty, and cyclical investment. Quarterly Journal of Economics 98 (1983), 85-106.] shows how uncertainty about energy prices may induce optimizing firms to postpone investment decisions, thereby leading to a decline in aggregate output. Elder and Serletis [Elder, John and Serletis, Apostolos. Oil price uncertainty.] find empirical evidence that uncertainty about oil prices has tended to depress investment in the United States. In this paper we assess the robustness of these results by investigating the effects of oil price uncertainty in Canada. Our results are remarkably similar to existing results for the United States, providing additional evidence that uncertainty about oil prices may provide another explanation for why the sharp oil price declines of 1985 failed to produce rapid output growth. Impulse-response analysis suggests that uncertainty about oil prices may tend to reinforce the negative response of output to positive oil shocks. (author)

  15. The determinants of oil prices

    International Nuclear Information System (INIS)

    Angelier, J-P.

    1991-01-01

    In recent years, swings in oil prices have been of unprecendented severity and frequency. Three factors work together to determine the price of oil: in the short term, the balance between supply and demand; in the medium term, the structure of the oil industry; and in the long term, the marginal production cost consistent with world oil demand. An oil price forecast is presented based on these considerations, and it is predicted that in the year 2000, oil prices will not be significantly different from those of today. 28 refs

  16. The arch oil price manipulators

    International Nuclear Information System (INIS)

    Anon.

    1998-01-01

    First set up in 1960, OPEC has become a highly successful cartel and a key player on the world geopolitical scene. Through quotas and dragooning its members, it has maintained the world price of oil at a level much higher than the marginal cost of new oil from the largest producers by holding off new supplies which might otherwise have flooded the market. The two main factors which have made this persistent success possible are examined. They are OPEC's very low production costs vis-a-vis its competitors and the extent of the organisation's shut-in, low-cost reserves. (UK)

  17. Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases

    International Nuclear Information System (INIS)

    Radchenko, S.

    2005-01-01

    This paper analyzes the effect of volatility in oil prices on the degree of asymmetry in the response of gasoline prices to oil price increases and decreases. Several time series measures of the asymmetry between the responses of gasoline prices to oil price increases and decreases and several measures of the oil price volatility are constructed. In all models, the degree of asymmetry in gasoline prices declines with an increase in oil price volatility. The results support the oligopolistic coordination theory as a likely explanation of the observed asymmetry and are not consistent with the standard search theory and the search theory with Bayesian updating. (author)

  18. OPEC wants to keep the oil price at a high level

    International Nuclear Information System (INIS)

    Krajka, D.

    2005-01-01

    Because the rest of the world has learnt to deal with expensive petroleum, the OPEC has decided to change its range of prices. The price of the oil barrel has only a weak impact on the world economy: in 2004 the world economy shows a 5% growth while the barrel price has increased of 30% and has exceeded the 50$ limit. In order to continue to control the prices, the OPEC has announced its intention of doubling its potential production capacities by the end of 2005 in order to fulfill the demand variations. (J.S.)

  19. Another look on the relationships between oil prices and energy prices

    International Nuclear Information System (INIS)

    Lahiani, Amine; Miloudi, Anthony; Benkraiem, Ramzi; Shahbaz, Muhammad

    2017-01-01

    This paper employs the Quantile Autoregressive Distributed Lags (QARDL) model developed recently by Cho et al. (2015) to investigate the pass-through of oil prices to a set of energy prices. This approach allows analyzing simultaneously short-term connections and long-run cointegrating relationships across a range of quantiles. It also provides insights on the short-run predictive power of oil prices in predicting energy prices while accounting for the cointegration between oil prices and each of the considered energy prices in low, medium and high quantiles. Two key findings emerge from this paper. First, all considered energy prices are shown to be cointegrated with oil price across quantiles meaning that a stationaryequilibriumrelationship exists between single energy price and oil price. Second, we find evidence that oil price is a significant predictor of individual petroleum products prices and natural gas in the short run. This paper has important policy implications for forecasters, energy policy-makers and portfolio managers. - Highlights: • The pass-through of oil prices to a set of energy prices is investigated for US economy. • All considered energy prices are shown to be cointegrated with oil price across quantiles. • Oil price is a significant predictor of individual petroleum products prices in the short run. • Oil price also predicts natural gas prices in the short run.

  20. Oil price and the dollar

    International Nuclear Information System (INIS)

    Coudert, V.; Mignon, V.; Penot, A.

    2007-01-01

    Oil prices and the United States (US) dollar exchange rate are driving the evolution of the world economy. This paper investigated long-term relationships between oil prices and the US effective exchange rate. An empirical study was performed on oil prices and the dollar real effective exchange rate between 1974 to 2004. The impact of the dollar exchange rate was also explored, and the effects of oil prices on supply and demand were considered. A dynamic partial equilibrium framework study was evaluated in order to compare how other countries used revenues from oil exports in dollars. The study showed that both variables had similar evolutions when price fluctuations were low. Strong increases in the dollar were associated with lower oil prices. However, adjustment speeds of the dollar real effective exchange rate was slow. Co-integration and causality tests showed that oil prices influenced the exchange rate, and that the link between the 2 variables was transmitted through the country's net foreign asset position. It was concluded that higher oil prices improved US net foreign asset position in relation to other countries, and had a positive impact on dollar appreciation. 24 refs., 6 tabs., 1 fig

  1. The price of crude oil

    International Nuclear Information System (INIS)

    Bakhtiari, A.M.S.

    1999-01-01

    The price of crude oil is among the most important prices quoted daily across the world - which is not surprising, since crude oil is the most widely used source of energy worldwide, as well as being a unique commodity. When petroleum burst onto the world stage in 1859, its price first went through some initial gyrations (1860-70), before settling in the $1.00 - 2.00 per barrel range (barring a few exceptions) for a full century. Then, the price underwent two 'shocks' (1973 and 1980), followed by the 'counter-shock' of 1986. Thereafter, the price entered the relative stability of the $15 - 20 /b consensus, where it lingered until recently. Some day, there is bound to be a fresh paradigm of 'insufficient oil reserves', thus ushering in a new era for oil prices. Taking into consideration available data on reserves and expert analysis, it would seem that that day may be years rather than decades away

  2. Near-term oil prices

    International Nuclear Information System (INIS)

    Lynch, M.C.

    2001-01-01

    This PowerPoint presentation included 36 slides that described the state of oil prices and how to predict them. Prices are random, stochastic, chaotic, mean-reverting and driven by speculators, oil companies and OPEC. The many factors that enable price forecasting are economic growth, weather, industry behaviour, speculators, OPEC policy choices, Mexico/Russia production policy, non-OPEC supply and the interpretation of the above factors by OPEC, speculators, traders and the petroleum industry. Several graphs were included depicting such things as WTI price forecasts, differentials, oil market change in 2001, inventory levels, and WTI backwardation. The presentation provided some explanations for price uncertainties, price surges and collapses. U.S. GDP growth and the volatility of Iraq's production was also depicted. The author predicted that economic growth will occur and that oil demand will go up. Oil prices will fluctuate as the Middle East will be politically unstable and weather will be a major factor that will influence oil prices. The prices are likely to be more volatile than in the 1986 to 1995 period. 2 tabs., 22 figs

  3. Oil market prices 1989/1990

    International Nuclear Information System (INIS)

    Jenkins, G.

    1991-01-01

    There are many oil markets. Oil Market Prices lists the markets, provides statistics on prices and the volumes of trade, analyses the price structures in the markets and provides supplementary information on ocean freight rates and oil refining margins. Oil Market Prices will serve as a permanent record of crude oil prices including those quoted on the futures and forward markets, the many wholesale prices for refined oil products, prices consumers pay and the average prices received by the oil companies. In all instances the sources of the statistics are given together with comprehensive listing of alternative sources. (Author)

  4. Oil prices and the stock prices of alternative energy companies

    International Nuclear Information System (INIS)

    Henriques, Irene; Sadorsky, Perry

    2008-01-01

    Energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements. While it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies, there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices. In this paper, a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices, technology stock prices, oil prices, and interest rates. Our results show technology stock prices and oil prices each individually Granger cause the stock prices of alternative energy companies. Simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices. These results should be of use to investors, managers and policy makers. (author)

  5. Do OPEC announcements influence oil prices?

    International Nuclear Information System (INIS)

    Loutia, Amine; Mellios, Constantin; Andriosopoulos, Kostas

    2016-01-01

    This paper investigates the effect of OPEC production decisions (increase, cut, maintain) on both WTI and Brent crude oil prices between Q1 1991 and Q1 2015 by employing the event study methodology and by using two indices as benchmarks (BCI and S&P GSCI). We employ an EGARCH model to take into account the high volatility of oil prices and some stylized facts characterizing this volatility. We find that the impact of OPEC’s announcements on oil prices (i)evolves over time and among decisions, (ii) is more significant for production cut and maintain, (iii) is different for WTI and Brent prices, and (iv) is sensitive to the benchmark index. Moreover, OPEC’s decisions depend on the exploration and extraction cost of more expensive/unconventional oil resources. - Highlights: • The impact of OPEC's production decisions on both BRENT and WTI is examined. • We adopt the event study methodology. • An EGARCH model is used to capture some features characterizing oil prices volatility. • OPEC decisions effect changes over time and depends on production decisions and oil prices. • OPEC is less influential when prices are high and unconventional resources are viable.

  6. World oil prices flat to declining

    International Nuclear Information System (INIS)

    Adelman, M.A.

    1993-01-01

    A forecast is presented of the likely trends in world oil prices over the short to medium term. A historical background is presented of the OPEC cartel and its role in influencing oil prices. The incentives and disincentives for OPEC to raise prices, and the tensions within the cartel are explored. Slower demand growth and the expansion of natural gas are expected to put downward pressure on oil prices, which are currently artificially high. The impacts of high taxes on development and exploration are examined, and it is shown that state ownership poses an obstacle to improved performance. Threats of price decline are expected to continue to lead to threats of hasty, or even violent action on the part of OPEC members, as happened in 1990. Privatization and tax codes designed to skim rent are positive trends

  7. Economics Aspects of Increasing the Oil Price

    Directory of Open Access Journals (Sweden)

    Grendel Peter

    2004-09-01

    Full Text Available In paper I describe mainly high price of oil, which has influence on many circumstances. The important effect on growing up the price of oil has situation in Mid-east, and everyday rising consumption of oil in China. Meaningful position have USA, which using 45% of word energy. The problem is particularly in daily mining of lode. In next part i describing aspect of this situation on stock-exchange, mainly behaviour of speculators, and OPEC, and also presure on inflation in Euro-zone. In the last chapter I discuss about reaction of the big world oil concern like CONOCO, SHELL, BP, OMV and MOL.

  8. The world energy demand in 2007: How high oil prices impact the global energy demand? June 9, 2008

    International Nuclear Information System (INIS)

    2008-01-01

    How high oil prices impact the global energy demand? The growth of energy demand continued to accelerate in 2007 despite soaring prices, to reach 2,8 % (+ 0,3 point compared to 2006). This evolution results from two diverging trends: a shrink in energy consumption in most of OECD countries, except North America, and a strong increase in emerging countries. Within the OECD, two contrasting trends can be reported, that compensate each other partially: the reduction of energy consumption in Japan (-0.8%) and in Europe (-1.2%), particularly significant in the EU-15 (-1.9%); the increase of energy consumption in North America (+2%). Globally, the OECD overall consumption continued to increase slightly (+0.5%), while electricity increased faster (2,1%) and fuels remained stable. Elsewhere, the strong energy demand growth remained very dynamic (+5% for the total demand, 8% for electricity only), driven by China (+7.3%). The world oil demand increased by 1% only, but the demand has focused even more on captive end usages, transports and petrochemistry. The world gasoline and diesel demand increased by around 5,7% in 2007, and represents 53% of the total oil products demand in 2007 (51% in 2006). If gasoline and diesel consumption remained quasi-stable within OECD countries, the growth has been extremely strong in the emerging countries, despite booming oil prices. There are mainly two factors explaining this evolution where both oil demand and oil prices increased: Weak elasticity-prices to the demand in transport and petrochemistry sectors Disconnection of domestic fuel prices in major emerging countries (China, India, Latin America) compared to world oil market prices Another striking point is that world crude oil and condensate production remained almost stable in 2007, hence the entire demand growth was supported by destocking. During the same period, the OPEC production decreased by 1%, mainly due to the production decrease in Saudi Arabia, that is probably more

  9. Oil Prices and Venezuela's Economy

    OpenAIRE

    Mark Weisbrot; Rebecca Ray

    2008-01-01

    This paper looks at Venezuela’s export revenue, imports, and trade and current account balances under a range of oil price outcomes for the next two years. It finds that Venezuela would run large current account surpluses for prices between $60-90 per barrel, and would even run a small surplus with prices at $50 per barrel. (Most oil industry estimates for the next two years are in the range of $80-90 per barrel). The authors conclude that Venezuela is unlikely to run into foreign exchange co...

  10. Business trends report 2006. High oil prices ensure high activity level; What are the challenges?

    International Nuclear Information System (INIS)

    2006-01-01

    The first in a series of annual business trends reports which The Norwegian Oil Industry Association (OLF) has decided to publish. The report highlights features in the development of the global economy and the energy markets, and presents an analysis of the level of activity on the Norwegian Shelf through to 2010. It also gives a status report and outlines the challenges that lie within three important areas for the oil industry: the relationship with the external environment, health, safety and working environment, and personnel and competence requirements within the industry. The main message contained in the report is summarised as follows: 'While prospects for the immediate future look good, we foresee a lack of new, important and technically challenging projects in the longer term. Discoveries made on the Norwegian Shelf during recent years have been small. Exploration activity must be intensified and its results must be improved. The most important and effective stimulus in this connection is new prospective exploration acreage. The Comprehensive Management Plan for Lofoten and the Barents Sea will be revised in 2010. By that time the knowledge gaps in the plan have to be filled so that the decision-making basis is as good as possible. Even though the level of activity looks as if it will continue to be high in the medium term, we have no time to lose.' Environmental status and challenges are briefly reviewed, as well as the industry's future recruitment challenges (author) (ml)

  11. The third oil price surge. What's different this time?

    International Nuclear Information System (INIS)

    Kesicki, Fabian

    2010-01-01

    The period from 2003 to 2008 was marked by an oil price increase comparable to the two oil price crises in the 1970s. This paper looks in detail at the situation of the oil price crises 30 years ago and compares them along various aspects on the demand and supply side with the recent price increase to identify similarities and differences. While both oil price crises in 1973 and 1979/1980 were ultimately caused by supply actions of members of the Organisation of Petroleum Exporting Countries (OPEC), all three oil price crises were preceded by high demand growth. Other aspects that favoured a high oil price in all three cases were low investments in new oil fields, as a consequence low spare capacity, and a weak US dollar. In addition, the recent oil price surge has been characterised by a high global refinery utilisation and refineries that did not adapt fast enough to the rising demand for lighter oil products. Moreover, broader geopolitical uncertainties, combined with risks associated with the oil trade helped push the oil price into a triple-digit zone. Speculation played only a limited and temporary role in accelerating price movements during the recent price increase. (author)

  12. Oil price induced gas acquisition contracts. Immune to price changes; Oelpreisindizierte Gasbezugsvertraege. Immun gegen Preisaenderungen

    Energy Technology Data Exchange (ETDEWEB)

    Verhoeven, Meike [Soptim AG, Aachen (Germany)

    2012-10-15

    The gas price continues to be linked to the oil price. Gas utilities that must buy gas in these conditions and sell it at a fixed price incur considerable financial risk. Especially with long-term buying contracts, and especially for gas from Russia, producers insist on linking to the oil price. Gas utilities, on the other hand, had to stop to sell gas at a price linked to the oil price two years ago. Utilities attempt to protect themselves, e.g. via oil swaps. Professional portfolio management is necessary to cope with the risks and the highly complex processes involved.

  13. Oil prices and economic growth

    International Nuclear Information System (INIS)

    Babusiaux, D.; Lescaroux, F.

    2006-01-01

    There is no limit to the sources of hydrocarbons (whether pumped out of the earth or produced in factories) for the next few decades, but there is and will be a need for increasingly complex and costly techniques as the usual sources of petroleum run out. Does this mean that prices will keep on rising? Probably, since environmental costs must be added onto direct costs. The mining of oil out of 'tar sands', for example, or the production of hydrocarbons by the chemical industry will have a significant impact owing to the emission of greenhouse gases. If prices do rise in the short or middle term, the cause will have to do more with the calendar of investments than with the availability of energy and its costs. In the long run however, price hikes are not all that certain. A few points for analyzing and predicting the macro-and micro-economic effects of fluctuating oil prices are discussed. (author)

  14. Have oil and gas prices got separated?

    International Nuclear Information System (INIS)

    Erdős, Péter

    2012-01-01

    This paper applies vector error correction models that show that oil and natural gas prices decoupled around 2009. Before 2009, US and UK gas prices had a long-term equilibrium with crude prices to which gas prices always reverted after exogenous shocks. Both US and UK gas prices adjusted to the crude oil price individually, and departure from the equilibrium gas price on one continent resulted in a similar departure on the other. After an exogenous shock, the adjustment between US and UK gas prices took approximately 20 weeks on average, and the convergence was mediated mainly by crude oil with a necessary condition that arbitrage across the Atlantic was possible. After 2009, however, the UK gas price has remained integrated with oil price, but the US gas price decoupled from crude oil price and the European gas price, as the Atlantic arbitrage has halted. The oversupply from shale gas production has not been mitigated by North American export, as there has been no liquefying and export capacity. - Highlights: ► VEC models are applied to investigate the relationship between oil and natural gas prices. ► While natural gas prices in Europe and Asia react to oil price, US gas price decoupled from oil in 2009. ► Since 2009, the US gas price has decoupled from the European and Asian gas prices.

  15. Oil price stability and free markets

    International Nuclear Information System (INIS)

    Yamani, A.Z.

    1992-01-01

    The oil industry, like any capital-intensive industry with long supply lead times, is prone to price instability. Free markets in oil reflect this inherent instability, for prices are efficient signallers of imbalances between supply and demand. Free markets are desirable in principle, but entirely free oil markets are unstable. Volatile oil prices are undesirable. This article advocates trading some market freedom for more price stability, since such a trade off will be beneficial to the world as a whole. (author)

  16. Oil prices: Breaks and trends

    International Nuclear Information System (INIS)

    Noguera, José

    2013-01-01

    This paper contributes to the literature of the stationarity of financial time series and the literature on oil and macroeconomics in several ways. First, it uses Kejriwal and Perron (2010) sequential procedure to endogenously determine multiple structural changes in real oil prices without facing the circular testing problem between structural changes and stationary assumptions of previous tests. Second, it performs a diagnostic check to detect the significance and magnitude of the potential breaks. Third, it uses the above information to test for the existence of stochastic trends in real oil prices, and fourth, it speculates about possible explanations for the break dates found in order to encourage further work and discussions. The exercise uses monthly data from January 1861 to August 2011. - Highlights: ► The model endogenously determine multiple structural changes in real oil prices. ► The methods used does not face the circular testing problem. ► It also detect the significance and magnitude of the breaks detected. ► It tests for the existence of stochastic trends. ► It explains the reasons for the break dates found

  17. Oil company profitability: observations on the use of oil product price assessments and associated errors

    International Nuclear Information System (INIS)

    Jenkins, Gilbert

    2000-01-01

    Oil companies often report the exact price obtained for crude oil sales. Furthermore, crude oil prices may be linked to the price of Brent crude oil which is actively and very transparently traded on the International Petroleum Exchange. Brent crude oil prices are reported worldwide electronically and in many newspapers on a daily basis. Gas oil (No. 2 Fuel oil in the USA) is actively traded on the IPE and on NYMEX and the prices are also reported worldwide almost instantaneously. One grade of unleaded gasoline is traded on NYMEX but all other oil products do not have regulated and transparent markets. The prices of these products are assessed by price reporters following daily discussions with active oil traders. Two prices are assessed and reported, the bid (low) and offer (high) even if no trade has taken place. The oil industry itself and oil products consumers make much use of these assessed prices. The object of this paper is to provide some statistical detail on the differences between various product price assessments made through 2000. From these differences, it is possible to provide an indication of the precision of oil product price assessments However, it is doubtful if precision data based on a simple determination of the standard deviation of the differences between the assessment made by the various price reporting services would be of practical use. (Author)

  18. Why do oil prices jump (or fall)?

    International Nuclear Information System (INIS)

    Wirl, Franz

    2008-01-01

    This paper discusses theories that can explain the zig-zags of oil prices in general and in particular the recent jump. More precisely, the following explanations are discussed: Homo oeconomicus (pure profit maximization if demand is dynamic and convex), price reaction function (price increases and respectively declines depend on capacity utilization), cartelization contingent on output or revenues of which the latter can lead to backward bending supply segments and multiple equilibria, statistical descriptions (mean reversion), homo politicus, i.e., arguments for price hikes that are rational (Public Choice) despite the (long-run) economic loss. Finally two approaches are presented that emphasize demand uncertainty: one extending the above-mentioned dynamic demand framework and the other considers a dynamic game of non-competitive suppliers with lumpy investments. Summing up, a demand shock seems to be the most suitable explanation of today's high prices (indeed a shock given that International Energy Agency (IEA) and Department of Energy (DoE) were promising just a couple of years ago that we are going to have lots of oil at low prices), while others and in particular politics have surprisingly little or no explanatory power. (author)

  19. Oil price, capital mobility and oil importers

    International Nuclear Information System (INIS)

    Gonzalez-Romero, A.

    1992-01-01

    A three-region, three-commodity general equilibrium model is constructed to explore the impact of OPEC's pricing policies on major macro variables of importer economies. The aim of this paper is to explore general macro characteristics of the trading economies to aid understanding of the world economy response after OPEC I and OPEC II in terms of the evolution of North - South terms of trade, rates of profit and output levels. We support the view of a world economy in a three regions setting, North - South - OPEC. The analysis increases our understanding of why regions respond differently to the same external shock and how from different regimes of capital mobility we should derive alternative policy implications. With the current rise in oil prices, the topic promises to be relevant for some time, although the direction of the shocks has been reserved. (Author)

  20. The estimation of risk-premium implicit in oil prices

    International Nuclear Information System (INIS)

    Luis, J.B.

    2001-01-01

    The futures price can be seen as the sum of the expected value of the underlying asset price and a risk-premium. In order to disentangle these two components of the futures price, one can try to model the relationship between spot and futures prices, in order to obtain a closed expression for the risk-premium, or to use information from spot and option prices to estimate risk-aversion functions. Given the high volatility of the ratios between futures and spot prices, we opted for the latter, estimating risk-neutral and subjective probability density functions, respectively, from observed option and spot prices. looking at the prices of Brent and West Texas Intermediate light/sweet crude oil options, the obtained evidence suggests that risk-aversion is typically very low for levels near the futures prices. However, due to price volatility and, consequently, to the tails of distribution, the risk-aversion functions are badly behaved in extreme prices and futures prices do not anticipate sharp movements in oil spot prices. Therefore, futures oil prices seem to be useful in forecasting spot prices only when moderate price changes occur. (author)

  1. Oil price fluctuations and the Nigerian economy

    International Nuclear Information System (INIS)

    Ayadi, O.F.

    2005-01-01

    The single most important issue confronting a growing number of world economies today is the price of oil and its attendant consequences on economic output. Several studies have taken the approach of Hamilton (1983) in investigating the effect of oil price shocks on levels of gross domestic product. The focus of this paper is primarily on the relationship between oil price changes and economic development via industrial production. A vector auto regression model is employed on some macroeconomic variables from 1980 through 2004. The results indicate that oil price changes affect real exchange rates, which, in turn, affect industrial production. However, this indirect effect of oil prices on industrial production is not statistically significant. Therefore, the implication of the results presented in this paper is that an increase in oil prices does not lead to an increase in industrial production in Nigeria. (author)

  2. Crude oil pricing in Asia and future problems; Asia no gen`yu pricing to kongo no kadai

    Energy Technology Data Exchange (ETDEWEB)

    Kato, T. [The Institute of Energy Economics, Tokyo (Japan)

    1997-01-30

    This paper describes pricing factors of crude oil for Asia and future problems. Price of the Middle East crude oil for Asia is determined by linking the spot price of Dubayy crude oil using as a marker. Factors affecting the pricing of marker crude oil include the information dispatching functions for prices of spot market and paper market of marker crude oil, the presence of competitive crude oil, and the correlation between market of oil products and price of crude oil. The paper market of Dubayy crude oil with a small scale of trading provides poor impact and transparency. In Asia, there is no strong competitive crude oil except the Middle East crude oil. There is only a weak price linking between crude oil and products. These are the background that the price of Middle East crude oil stays at the high level and the price adjusting functions are hard to work. The marker crude oil should be changed to another except Dubayy crude oil, and information should be dispatched from purchasers based on the stable standard crude oil. The real paper market should be created, and the force of speaking to oil producing countries should be enhanced by concentrating forces of major oil consuming countries in Asia. It is necessary to find out competitive crude oils. 5 figs., 6 tabs.

  3. Oil intensities and oil prices : evidence for Latin America

    OpenAIRE

    Alaimo, Veronica; Lopez, Humberto

    2008-01-01

    Crude oil prices have dramatically increased over the past years and are now at a historical maximum in nominal terms and very close to it in real terms. It is difficult to argue, at least for net oil importers, that higher oil prices have a positive impact on welfare. In fact, the negative relationship between oil prices and economic activity has been well documented in the literature. Ye...

  4. What is behind the increase in oil prices? Analyzing oil consumption and supply relationship with oil price

    International Nuclear Information System (INIS)

    Gallo, Andres; Mason, Paul; Shapiro, Steve; Fabritius, Michael

    2010-01-01

    The continuing increases in oil prices have renewed the argument over the real culprits behind these movements. The growth in demand for oil in international markets, especially from the United States and China, is often identified as the main source of consumption pressure on prices, and thus the upward trend in oil prices. This paper uses unit root tests with two endogenous breaks to analyze the characteristics of oil prices, production, and consumption for several countries. By taking into account structural breaks, we find that many countries' oil consumption and oil prices are stationary, while other countries' are not. We also perform causality tests to determine the direction of any possible relationship between oil price and oil consumption and production. Our statistical analysis reveals that production variables cause oil prices, while oil prices tend to cause consumption. As a result, we claim that the blame for the recent fluctuations in oil prices is more appropriately associated with supply factors, not consumption influences. (author)

  5. Modelling the impact of oil prices on Vietnam's stock prices

    International Nuclear Information System (INIS)

    Narayan, Paresh Kumar; Narayan, Seema

    2010-01-01

    The goal of this paper is to model the impact of oil prices on Vietnam's stock prices. We use daily data for the period 2000-2008 and include the nominal exchange rate as an additional determinant of stock prices. We find that stock prices, oil prices and nominal exchange rates are cointegrated, and oil prices have a positive and statistically significant impact on stock prices. This result is inconsistent with theoretical expectations. The growth of the Vietnamese stock market was accompanied by rising oil prices. However, the boom of the stock market was marked by increasing foreign portfolio investment inflows which are estimated to have doubled from US$0.9 billion in 2005 to US$1.9 billion in 2006. There was also a change in preferences from holding foreign currencies and domestic bank deposits to stocks local market participants, and there was a rise in leveraged investment in stock as well as investments on behalf of relatives living abroad. It seems that the impact of these internal and domestic factors were more dominant than the oil price rise on the Vietnamese stock market. (author)

  6. World oil prices, precious metal prices and macroeconomy in Turkey

    International Nuclear Information System (INIS)

    Soytas, Ugur; Sari, Ramazan; Hammoudeh, Shawkat; Hacihasanoglu, Erk

    2009-01-01

    We examine the long- and short-run transmissions of information between the world oil price, Turkish interest rate, Turkish lira-US dollar exchange rate, and domestic spot gold and silver price. We find that the world oil price has no predictive power of the precious metal prices, the interest rate or the exchange rate market in Turkey. The results also show that the Turkish spot precious metals, exchange rate and bond markets do not also provide information that would help improve the forecasts of world oil prices in the long run. The findings suggest that domestic gold is also considered a safe haven in Turkey during devaluation of the Turkish lira, as it is globally. It is interesting to note that there does not seem to be any significant influence of developments in the world oil markets on Turkish markets in the short run either. However, transitory positive initial impacts of innovations in oil prices on gold and silver markets are observed. The short-run price transmissions between the world oil market and the Turkish precious metal markets have implications for policy makers in emerging markets and both local and global investors in the precious metals market and the oil market.

  7. Oil prices in a new light

    International Nuclear Information System (INIS)

    Fesharaki, F.

    1994-01-01

    For a clear picture of how oil prices develop, the author steps away from the price levels to which the world is accustomed, and evaluates scientifically. What makes prices jump from one notch to another? The move results from a political or economic shock or the perception of a particular position by the futures market and the media. The shock could range from a war or an assassination to a promise of cooperation among OPEC members (when believed by the market) or to speculation about another failure at an OPEC meeting. In the oil market, only a couple of factual figures can provide a floor to the price of oil. The cost of production of oil in the Gulf is around $2 to $3/bbl, and the cost of production of oil (capital and operating costs) in key non-OPEC areas is well under $10/bbl. With some adjustments for transport and quality, a price range of $13/bbl to $16/bbl would correspond to a reasonable sustainable floor price. The reason for prices above the floor price has been a continuous fear of oil supply interruptions. That fear kept prices above the floor price for many years. The fear factor has now almost fully disappeared. The market has gone through the drama of the Iranian Revolution, the Iran-Iraq war, the tanker war, the invasion of Kuwait, and the expulsions of the Iraqis. And still the oil flowed -- all the time. It has become abundantly clear that fears above the oil market were unjustified. Everyone needs to export oil, and oil will flow under the worst circumstances. The demise of the fear factor means that oil prices tend toward the floor price for a prolonged period

  8. Oil Market and Prices Prospects for 2014

    Directory of Open Access Journals (Sweden)

    Mariana Papatulica

    2013-10-01

    Full Text Available The international crude oil prices started the year 2014 within parameters comparable to those of the precedent year: WTI (USA recorded 92 $/barrel, on the American spot market, considered a minimum value for the last 5 weeks, while Brent (Great Britain had a more stable evolution, on the spot Rotterdam market, staying around a value of 107,50 $/barrel. Despite analysts’ forecasts, which during the last 3 years staked on a lower oil price, as a consequence of the spectacular increase in non-OPEC oil production, namely of shale oil, the international oil price, namely that of Brent, closed each of the last 3 years around the same level, of 108 $/barrel. As for 2014, the great majority of oil analysts estimates again a decline of oil prices, as a result of a significant rise of oil offer globally, which will greatly surpass the demand rise.

  9. Oil price fluctuations and Its effect on GDP growth

    OpenAIRE

    Gonzalez , Aaron; Nabiyev, Sherzod

    2009-01-01

    During the year of 2008, the world has experienced historically high oil prices reaching an all time high of 147 USD per barrel in midsummer. The extreme volatility of what is consider the number one source of energy reopened discussions about energy sustainability and the plausible effects of an oil shock in the global economy.   How reliable oil price is as an economic variable predicting fluctuations in GDP growth remains controversial. Several models have been developed by scholars target...

  10. A Study on the efficient alleviation of domestic oil price at international oil crisis

    Energy Technology Data Exchange (ETDEWEB)

    Lee, Young Ku [Korea Energy Economics Institute, Euiwang (Korea)

    1999-01-01

    For alleviating domestic oil price when the international oil crisis happens, the government has been reacted directly such as using stored oil or alleviation fund. Although the release of stored oil works for short-term depending on the type of crisis, concerning that most of oil crisis had been resulted in temporary supply reduction rather than long-term supply suspension, utilizing the domestic alleviation fund is regarded more economical than storing oil. However, it has been suggested to compare efficiencies of alleviation fund and a futures market regarding the perspectives that using alleviation fund is more inefficient than utilizing a futures market. Moreover, the direct management by government is less efficient than indirect management. As an efficient way to alleviate domestic oil price at international oil crisis, this study presents an effective utilization of trading in futures of crude oil. There is a high probability of occurrence of this kind of oil crisis by judging from the world political situation and the trend of oil market. In such a case, the government as a crude oil importer should minimize the stored oil and utilize a futures market effectively. The subject of alleviating oil price by trading in futures is an oil supplier, such as oil refining companies or oil importers not the government as a prerequisite. Furthermore, the government should approve to include appropriate cost for preparing oil price alleviation in the oil price and it is required that such a government policy should be consistent. (author). 41 refs., 3 figs., 15 Tabs.

  11. Oil price, biofuels and food supply

    International Nuclear Information System (INIS)

    Timilsina, Govinda R.; Mevel, Simon; Shrestha, Ashish

    2011-01-01

    The price of oil could play a significant role in influencing the expansion of biofuels, but this issue has yet to be fully investigated in the literature. Using a global computable general equilibrium (CGE) model, this study analyzes the impact of oil price on biofuel expansion, and subsequently, on food supply. The study shows that a 65% increase in oil price in 2020 from the 2009 level would increase the global biofuel penetration to 5.4% in 2020 from 2.4% in 2009. If oil prices rise 150% from their 2009 levels by 2020, the resulting penetration of biofuels would be 9%, which is higher than that would be caused by current mandates and targets introduced in more than forty countries around the world. The study also shows that aggregate agricultural output drops due to an oil price increase, but the drop is small in major biofuel producing countries as the expansion of biofuels would partially offset the negative impacts of the oil price increase on agricultural outputs. An increase in oil price would reduce global food supply through direct impacts as well as through the diversion of food commodities and cropland towards the production of biofuels. - Highlights: ► A global CGE model to analyze impacts of oil price on biofuels and food supply. ► Global biofuel penetration increases from 2.4% (2009) to 5.4% (2020) in baseline. ► A 150% rise of oil price boosts biofuels more than current mandates and targets do. ► Biofuels partially offset drops in agricultural outputs caused by oil price rise. ► Biofuels as well as oil price rise negatively affect global food supply.

  12. The third oil shock: The effects of lower oil prices

    Energy Technology Data Exchange (ETDEWEB)

    Pearce, J

    1983-01-01

    This book assesses how oil prices have affected other elements of the economy and assesses the costs and benefits that could result from lower oil prices for different groups of countries. The book also analyses the extent of OPEC's influence, the consumers countries' needs for energy security and the altered role of the oil industry.

  13. Inflation and the price of oil in Canada

    Energy Technology Data Exchange (ETDEWEB)

    Globerman, S A [York Univ., Toronto; Bruce, H A

    1976-09-01

    A current policy concern in North America is how rapidly (if at all) domestic oil prices should be allowed to rise to world levels. An argument frequently used by those advocating control of domestic prices is that further increases in oil prices would impose undue burdens in the form of greater inflation and unemployment. While long-run costs associated with allocative inefficiencies are recognized, critics of policies calling for decontrolling domestic oil prices argue that the short-run costs associated with greater inflation and higher unemployment outweigh the long-run inefficiencies associated with price controls. Estimates of the impacts of increased oil costs are not easy. Three studies by Ontario on the consumer price index are described, and the authors conclude that the figures from these studies are too high. Some results of U.S. studies are cited. (MCW)

  14. Iranian-Oil-Free Zone and international oil prices

    International Nuclear Information System (INIS)

    Farzanegan, Mohammad Reza; Raeisian Parvari, Mozhgan

    2014-01-01

    One of the main elements of economic sanctions against Iran due to its nuclear and military programs is crude oil exportation restrictions in addition to investment in Iranian energy related projects. Senders of such sanction are interested in understanding the impacts of such embargos on international oil prices. We apply unrestricted vector autoregressive (VAR) model, using impulse response functions (IRF) and variance decomposition analysis (VDA) tools with annual data from 1965 to 2012 to analyze the dynamic response of international oil prices to Iranian oil export sanction. Controlling for the supply of non-Iranian oil, the world GDP per capita, and post-Islamic revolution exogenous dummy variables, we show that international oil prices respond negatively and statistically significant to increasing shock in absolute negative changes of the Iranian oil exports – our proxy of Iran oil sanctions – following the first 2 years after shock. The main reason is the positive response of the non-Iranian oil supply to negative shocks in Iranian oil exports, filling the missing supply of Iranian oil in international markets. - Highlights: • We analyze the interconnections between Iranian oil supply and global oil prices. • We use VAR modeling and annual data from 1965 to 2012 for the case of Iran. • There are no inflationary effects of Iranian oil sanction on world oil prices. • Non-Iranian oil supply offsets the missing Iranian oil in the market

  15. The economic consequences of oil price rise

    International Nuclear Information System (INIS)

    Lescaroux, Francois

    2006-05-01

    The author discusses the possible consequences of oil barrel price rise. First, he discusses the main results of analysis's which have been performed for thirty years regarding the impact of oil price on economical activity. He proposes interpretations of these studies and of their conclusions, and tries to draw lessons regarding effects which can be expected from the recent evolutions of energy markets

  16. Modeling the Effect of Oil Price on Global Fertilizer Prices

    NARCIS (Netherlands)

    P-Y. Chen (Ping-Yu); C-L. Chang (Chia-Lin); C-C. Chen (Chi-Chung); M.J. McAleer (Michael)

    2010-01-01

    textabstractThe main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the

  17. Drawing a Roadmap for Oil Pricing Reform

    OpenAIRE

    Kojima, Masami

    2013-01-01

    In 2011, the median oil imports rose to 5 percent of gross domestic product for net importers. In the past several years, many governments have not passed through the world oil price increases to consumers fully. As a sign of divergent pricing policies, the retail prices of gasoline, diesel, and cooking gas in January 2013 varied by a factor of 190, 250, and 70, respectively, across develo...

  18. Modelling oil price volatility with structural breaks

    International Nuclear Information System (INIS)

    Salisu, Afees A.; Fasanya, Ismail O.

    2013-01-01

    In this paper, we provide two main innovations: (i) we analyze oil prices of two prominent markets namely West Texas Intermediate (WTI) and Brent using the two recently developed tests by Narayan and Popp (2010) and Liu and Narayan, 2010 both of which allow for two structural breaks in the data series; and (ii) the latter method is modified to include both symmetric and asymmetric volatility models. We identify two structural breaks that occur in 1990 and 2008 which coincidentally correspond to the Iraqi/Kuwait conflict and the global financial crisis, respectively. We find evidence of persistence and leverage effects in the oil price volatility. While further extensions can be pursued, the consideration of asymmetric effects as well as structural breaks should not be jettisoned when modelling oil price volatility. - Highlights: ► We analyze oil price volatility using NP (2010) and LN (2010) tests. ► We modify the LN (2010) to account for leverage effects in oil price. ► We find two structural breaks that reflect major global crisis in the oil market. ► We find evidence of persistence and leverage effects in oil price volatility. ► Leverage effects and structural breaks are fundamental in oil price modelling.

  19. Oil price pass-through into inflation

    International Nuclear Information System (INIS)

    Chen, Shiu-Sheng

    2009-01-01

    This paper uses data from 19 industrialized countries to investigate oil price pass-through into inflation across countries and over time. A time-varying pass-through coefficient is estimated and the determinants of the recent declining effects of oil shocks on inflation are investigated. The appreciation of the domestic currency, a more active monetary policy in response to inflation, and a higher degree of trade openness are found to explain the decline in oil price pass-through. (author)

  20. Speculative phenomena impact on oil prices formation

    International Nuclear Information System (INIS)

    Thomas, Matthieu

    2009-01-01

    Crude oil prices evolution between 2007 and 2009 has been the centre of a major controversy. This paper aims to understand the structural changes which happened on the oil market during the past decade. Analysis is focused on the consequences on oil prices of growing financial investments in commodities. More specifically, emphasis is set on little commented facts that comfort the hypothesis of a speculative bubble between 2007 and 2009

  1. The dynamics of crude oil price differentials

    International Nuclear Information System (INIS)

    Fattouh, Bassam

    2010-01-01

    Crude oil price differentials are modelled as a two-regime threshold autoregressive (TAR) process using the method proposed by Caner and Hansen [Caner, M., Hansen, B.E. Threshold autoregression with a unit root. Econometrica 2001; 69; 1555-1596.]. While standard unit root tests suggest that the prices of crude oil of different varieties move closely together such that their price differential is stationary, the TAR results indicate strong evidence of threshold effects in the adjustment process to the long-run equilibrium. These findings suggest that crude oil prices are linked and thus at the very general level, the oil market is 'one great pool' (Adelman, M.A. International oil agreements. The Energy Journal 1984; 5; 1-9.). However, differences in the dynamics of adjustment suggest that within this one pool, oil markets are not necessarily integrated in every time period and hence the dynamics of crude oil price differentials may not follow a stationary process at all times. Although the development of a liquid futures market around the crude oil benchmarks has helped make some distant markets more unified, arbitrage is not costless or risk-free and temporary breakdowns in the benchmarks can lead to decoupling of crude oil prices. (author)

  2. China on the move: Oil price explosion?

    International Nuclear Information System (INIS)

    Skeer, Jeffrey; Wang Yanjia

    2007-01-01

    Rapid expansion of highway and jet traffic in China has created a surge of demand for oil products, putting pressure on world energy markets and petroleum product prices. This paper examines trends in freight and passenger traffic to assess how growth in China's transport demand relates to growth in China's economy, as well as the energy intensity of transport. Based on assumptions about demand elasticity and energy intensity, a range of scenarios is developed for China's oil demand through 2020. Incremental oil demand from China's transport sector is then compared with world oil demand projections to assess the likely impact on world oil prices. The finding is that new demand from China's transport sector would likely raise world oil prices in 2020 by 1-3% in reference scenarios or by 3-10% if oil supply investment is constrained

  3. Oil price fluctuations and Singapore economy

    International Nuclear Information System (INIS)

    Youngho Chang; Joonfong Wong

    2003-01-01

    This study finds that the impact of an oil price shock on the Singapore economy is marginal. Both impulse response and variance decomposition analysis provide reasonable grounds to believe that the impact only had an insignificant adverse effect on Singapore's gross domestic product (GDP), inflation and unemployment rates. Further analysis on two oil vulnerability measures supports the finding: the declining trend of oil intensity in Singapore since 1989 and the declining shares of the Singapore's expenditure on oil consumption as a percentage of its nominal GDP. This study identifies, however, that the impact of an oil price shock on the Singapore economy should not be considered negligible even though it is small. (Author)

  4. Oil price fluctuations and Singapore economy

    International Nuclear Information System (INIS)

    Chang Youngho; Wong, Joon Fong

    2003-01-01

    This study finds that the impact of an oil price shock on the Singapore economy is marginal. Both impulse response and variance decomposition analysis provide reasonable grounds to believe that the impact only had an insignificant adverse effect on Singapore's gross domestic product (GDP), inflation and unemployment rates. Further analysis on two oil vulnerability measures supports the finding: the declining trend of oil intensity in Singapore since 1989 and the declining shares of the Singapore's expenditure on oil consumption as a percentage of its nominal GDP. This study identifies, however, that the impact of an oil price shock on the Singapore economy should not be considered negligible even though it is small

  5. Oil prices, SUVs, and Iraq. An investigation of automobile manufacturer oil price sensitivity

    Energy Technology Data Exchange (ETDEWEB)

    Cameron, Ken [United States Navy (United States); Schnusenberg, Oliver [Department of Accounting and Finance, Coggin College of Business, The University of North Florida, 1 UNF Drive, Jacksonville, FL 32224 (United States)

    2009-05-15

    There has been much speculation about the recent upsurge in crude oil prices and the effect it will have on the economy and business. The objective of this paper is to investigate the relationship between oil prices and stock prices of automobile manufacturers. We add an oil price factor, measured alternatively by the excess change in WTI crude oil prices or the excess return on an energy ETF, to the Fama-French three-factor model over the period March 20, 2001 to September 30, 2008. Our dependent variable is the excess return on a price-weighted index of automobile manufacturers. Results indicate that oil prices add value to the pricing model, particularly for manufacturers specializing in SUVs and for a subperiod following the Iraq invasion on March 19, 2003. (author)

  6. The oil price; Le prix du petrole

    Energy Technology Data Exchange (ETDEWEB)

    Alba, P. [Institut Francais du Petrole (IFP), 92 - Rueil-Malmaison (France)

    2000-05-01

    Statistical analysis cannot, alone, provide an oil price forecast. So, one needs to understand the fundamental phenomena which control the past trends since the end of world war II After a first period during which oil, thanks to its abundance, was able to increase its market share at the expense of other energies, the first oil shock reflects the rarefaction of oil resource with the tilting of the US production curve from growth to decline. Since then, the new situation is that of a ''cohabitation'' between oil and the other energies with the oil price, extremely volatile, reflecting the trial and error adjustment of the market share left to the other energies. Such a context may explain the recent oil price surge but the analogy between the US oil situation at the time of the first shock and that existing today for the world outside Middle East suggest another possibility, that of a structural change with higher future oil prices. The authors examine these two possibilities, think that the oil price will reflect both as long as one or the other will not become proven, and conclude with a series of political recommendations. (authors)

  7. Oil price and financial markets: Multivariate dynamic frequency analysis

    International Nuclear Information System (INIS)

    Creti, Anna; Ftiti, Zied; Guesmi, Khaled

    2014-01-01

    The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importers and oil-exporters. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and medium-run dependence. In order to complete our study by analysing long-run dependence, we use the cointegration procedure developed by Engle and Granger (1987). We find that interdependence between the oil price and the stock market is stronger in exporters' markets than in the importers' ones. - Highlights: • A new time-varying measure for the stock markets and oil price relationship in different horizons. • We propose a new empirical methodology: multivariate frequency approach. • We propose a comparison between oil importing and exporting countries. • We show that oil is not always countercyclical with respect to stock markets. • When high oil prices originate from supply shocks, oil is countercyclical with stock markets

  8. Recent oil price shock and Tunisian economy

    International Nuclear Information System (INIS)

    Jbir, Rafik; Zouari-Ghorbel, Sonia

    2009-01-01

    The objective of this paper is to study the oil prices-macroeconomy relationship by the analysis of the role of subsidy policy. The vector autoregression (VAR) method was employed to analyze the data over the period 1993 Q1 - 2007 Q3. The results of the model using both linear and non-linear specifications indicate that there is no direct impact of oil price shock on the economic activity. The shock of oil prices affects economic activity indirectly. The most significant channel by which the effects of the shock are transmitted is the government's spending. (author)

  9. Modeling the relationship between the oil price and global food prices

    International Nuclear Information System (INIS)

    Chen, Sheng-Tung; Kuo, Hsiao-I; Chen, Chi-Chung

    2010-01-01

    The growth of corn-based ethanol production and soybean-based bio-diesel production following the increase in the oil prices have significantly affect the world agricultural grain productions and its prices. The main purpose of this paper is to investigate the relationships between the crude oil price and the global grain prices for corn, soybean, and wheat. The empirical results show that the change in each grain price is significantly influenced by the changes in the crude oil price and other grain prices during the period extending from the 3rd week in 2005 to the 20th week in 2008 which implies that grain commodities are competing with the derived demand for bio-fuels by using soybean or corn to produce ethanol or bio-diesel during the period of higher crude oil prices in these recent years. The subsidy policies in relation to the bio-fuel industries in some nations engaging in bio-fuel production should be considered to avoid the consequences resulting from high oil prices. (author)

  10. Explaining crude oil prices using fundamental measures

    International Nuclear Information System (INIS)

    Coleman, Les

    2012-01-01

    Oil is the world's most important commodity, and improving the understanding of drivers of its price is a longstanding research objective. This article analyses real oil prices during 1984–2007 using a monthly dataset of fundamental and market parameters that cover financial markets, global economic growth, demand and supply of oil, and geopolitical measures. The innovation is to incorporate proxies for speculative and terrorist activity and dummies for major industry events, and quantify price impacts of each. New findings are positive links between oil prices and speculative activity, bond yields, an interaction term incorporating OPEC market share and OECD import dependence, and the number of US troops and frequency of terrorist attacks in the Middle East. Shocks also prove significant with a $6–18 per barrel impact on price for several months. - Highlights: ► Article introduces new variables to the study of oil prices. ► New variables are terrorist incidents and military activity, and oil futures market size. ► Shocks prove important affecting prices by $6–18 per barrel for several months. ► OPEC market influence rises with OECD import dependence.

  11. Crude oil prices: Speculation versus fundamentals

    Science.gov (United States)

    Kolodziej, Marek Krzysztof

    Beginning in 2004, the price of crude oil fluctuates rapidly over a wide range. Large and rapid price increases have recessionary consequences and dampen long-term infrastructural investment. I investigate whether price changes are driven by market fundamentals or speculation. With regard to market fundamentals, I revisit econometric evidence for the importance of demand shocks, as proxied by dry maritime cargo rates, on oil prices. When I eliminate transportation costs from both sides of the equation, disaggregate OPEC and non-OPEC production, and allow for more than one cointegrating relation, I find that previous specifications are inconsistent with arguments that demand shocks play an important role. Instead, results confirm the importance of OPEC supply shocks. I investigate two channels by which speculation may affect oil prices; the direct effect of trader behavior and changes in oil from a commodity to a financial asset. With regard to trader behavior, I find evidence that trader positions are required to explain the spread between spot and futures prices of crude oil on the New York Mercantile Exchange. The inclusion of trader positions clarifies the process of equilibrium error correction, such that there is bidirectional causality between prices and trader positions. This creates the possibility of speculative bubbles. With regard to oil as a commodity and/or financial asset, I use a Kalman Filter model to estimate the time-varying partial correlation between returns to investments in equity and oil markets. This correlation changes from negative to positive at the onset of the 2008 financial crisis. The low interest rates used to rescue the economy depress convenience yields, which reduces the benefits of holding oil as a commodity. Instead, oil becomes a financial asset (on net) as the oil market changed from contango to backwardation. Contradicting simple political narratives, my research suggests that both market fundamentals and speculation drive

  12. Dynamics of oil price, precious metal prices, and exchange rate

    International Nuclear Information System (INIS)

    Sari, Ramazan; Soytas, Ugur; Hammoudeh, Shawkat

    2010-01-01

    This study examines the co-movements and information transmission among the spot prices of four precious metals (gold, silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate. We find evidence of a weak long-run equilibrium relationship but strong feedbacks in the short run. The spot precious metal markets respond significantly (but temporarily) to a shock in any of the prices of the other metal prices and the exchange rate. Furthermore, we discover some evidence of market overreactions in the palladium and platinum cases as well as in the exchange rate market. In conclusion, whether there are overreactions and re-adjustments or not, investors may diversify at least a portion of the risk away by investing in precious metals, oil, and the euro. Policy implications are provided. (author)

  13. Do high oil prices justify an increase in taxation in a mature oil province? The case of the UK continental shelf

    International Nuclear Information System (INIS)

    Nakhle, Carole

    2007-01-01

    In response to the structural shift in oil price coupled with greater import dependency, concerns about security of supply have once again emerged as a major policy issue. The UK, the largest producer of oil and natural gas in the European Union, became a net importer of natural gas in 2004, and according to Government estimates will become a net importer of oil by the end of the decade. A weakened North Sea performance means extra reliance, both for the UK and Europe as a whole, on global oil and gas network and imports. In 2002, the UK Government introduced a 10% supplementary charge and in 2005, doubled the charge to 20% in an attempt to capture more revenues from the oil industry as a result of the increase in the price of crude oil. However, higher tax rates do not necessarily generate higher fiscal revenue and in the long term may result in materially lower revenues if investment is discouraged as indeed occurred when the 2007 UK Annual Budget statement showed a shortfall in North Sea oil revenues below forecasts of Pounds 4 billion. It is therefore argued that the increase in the fiscal take came at the wrong time for the UK Continental Shelf and that the UK Government's concern should have been to encourage more oil production from its declining province, especially in the light of the rising concern surrounding the security of supply

  14. The oil market. Call on OPEC determines the oil price

    International Nuclear Information System (INIS)

    Kingma, D.; Mulder, M.

    2001-01-01

    Several scenarios are applied to determine the oil price for the medium-long term, based on the so-called 'call on OPEC'. The 'call on OPEC' is part of the demand for oil which has to supplied by OPEC. It is expected that the nominal oil price will be circa $24 per barrel in 2004, based on a global growth of 4%. 2 refs

  15. World oil prices: Up or down in 1995? and beyond?

    International Nuclear Information System (INIS)

    Browning, R.E.

    1994-01-01

    After a brief review of historical oil prices up to 1993-94, the factors influencing future prices are discussed. A survey of oil supply and demand over 1986-1993 shows oil demand has risen in Asia and fallen in the former Soviet Union and central/eastern Europe (FSU/CEE). Non-OPEC oil supply fell from 42.1 million bbl/d (MMBD) in 1986 to 40.6 MMBD in 1993, reflecting declines in Russian and U.S. production. Total OPEC production rose in the same period from 18.3 MMBD to 24.7 MMBD. OPEC production will continue to be dominant in determining prices, and demand in growing Asian economies and the FSU/CEE countries will be the most important and uncertain demand-side factor. If 7.5 MMBD of new OPEC capacity comes on stream by 2000 and OPEC production averages 31 MMBD in 2000, the utilization rate for OPEC oil at that time would be about the same as in 1973-79 and 1994. World oil production costs vary considerably by region, with the USA, North Sea, and Canada having relatively high costs; yet even in those regions, costs have been declining. A global weighted average cost based on 1993 production is $8-9/bbl. Fiscal and financial factors affecting oil prices include the need for oil revenue among oil producers. This need will put pressure on FSU economies to continue exports, although increases in such exports will require new infrastructure. In any case, the world oil market is likely to see a continuing trend to regarding oil as a commodity, which tends to reduce the control that physical participants exert on price-setting. Long-term real prices are not expected to rise but will likely remain volatile, cycling around $13/bbl. Spot prices in 1995 for West Texas Intermediate are forecast to be in the $16-20/bbl range. 4 figs., 4 tabs

  16. Politics, economics and the price of oil

    International Nuclear Information System (INIS)

    Zaki Yamani, S.A.

    1992-01-01

    This paper describes petroleum price instability in connection with politics intrusion into the oil business. The author shows the dominant position of OPEC on petroleum market during the 70s and the 80s, the influence of Iranian revolution, Iran / Iraq war and Kuwait invasion by Iraq on petroleum price evolution. 5 figs

  17. An Empirical Analysis of the Price Discovery Function of Shanghai Fuel Oil Futures Market

    Institute of Scientific and Technical Information of China (English)

    Wang Zhen; Liu Zhenhai; Chen Chao

    2007-01-01

    This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response function and variance decomposition. The results showed that there exists a strong relationship between the spot price of Huangpu fuel oil spot market and the futures price of Shanghai fuel oil futures market. In addition, the Shanghai fuel oil futures market exhibits a highly effective price discovery function.

  18. The impact of oil price on Malaysian sector indices

    Science.gov (United States)

    Ismail, Mohd Tahir; Luan, Yeap Pei; Ee, Ong Joo

    2015-12-01

    In this paper, vector error correction model (VECM) has been utilized to model the dynamic relationships between world crude oil price and the sector indices of Malaysia. The sector indices have been collected are covering the period Jan 1998 to Dec 2013. Surprisingly, our investigations show that oil price changes do not Granger-cause any of the sectors in all of Malaysia. However, sector indices of Food Producer and Utilities are found to be the cause of the changes in world crude oil prices. Furthermore, from the results of variance decomposition, very high percentage of shocks is explained by world crude oil price itself over the 12 months and small impact from other sector indices.

  19. Rockets and Feathers: The Asymmetric Effect between China’s Refined Oil Prices and International Crude Oil Prices

    Directory of Open Access Journals (Sweden)

    Yufeng Chen

    2017-03-01

    Full Text Available This paper employs an asymmetric error-correction model (AECM, and uses monthly data on wholesale prices of gasoline and diesel products in China and international crude oil prices from February 2006 to October 2013 to examine whether China’s gasoline and diesel prices adjust asymmetrically to international crude oil price changes. Our empirical results suggest that increases and decreases in international oil prices have asymmetric effects on both wholesale prices of gasoline and diesel fuel in China, and that both increases and decreases in international oil prices have a greater effect on diesel prices than on gasoline prices in China. If there is no change in the maximum retail price, the asymmetry results from the transmission of wholesale prices in China with international oil prices. However, if there is a change in maximum retail prices, both international oil prices and maximum retail prices cause the asymmetry.

  20. What about oil reserve depletion and crude oil price evolution?

    International Nuclear Information System (INIS)

    2007-01-01

    The objective of this report is to give a synthesis of different points of view with respect to the 'Peak Oil' perspective and to the crude oil price evolution. In the first part, the authors examine the evolutions and assessments of oil reserves and productions, by discussing the different types of reserve, the optimistic and pessimistic points of views. Then, in the second part, they analyse the long term price formation, the various production technical costs (conventional oils, heavy oils and asphaltic sands, coal- and gas-based synthetic hydrocarbons, bio-fuels), the external costs (notably in relationship with greenhouse emissions), the relationship between geopolitical issues and short and middle term price formation. In the third and last part, they discuss the possible evolutions and scenarios in terms of demand, production, and prices

  1. Oil prices and OPEC strategies

    International Nuclear Information System (INIS)

    Boussena, S.

    1994-01-01

    One of the main characteristics of the new world petroleum market is the high level of uncertainty in future crude price trends. Although its influence has declined, OPEC is still a decisive player now. How can its present conduct be explained. A retrospective analysis of the organization's actions in the course of these last twenty years brings out a certain number of explicit and implicit lessons it seems to have drawn from its own experience. On the basis of this analysis, and in light of the new balance of forces, OPEC is now faced with two possible strategic options. Its current practice seems rather to indicate a drift away from its plan to become the exclusive regulator of the international market. (author). 2 tabs., 3 figs

  2. Oil price shocks and economy: an open question

    International Nuclear Information System (INIS)

    Di Marzio, G.

    2006-01-01

    During the 1970s and 1980s advanced oil importing economies faced the adverse effects of oil supply disruptions with abrupt energy price rise, followed by sensible business cycle inversions and stagflation. The negative effects of the sharp energy price increase were amplified by factors such the induced costly resources reallocation between labour and capital, and between sectors of activity; rising uncertainty discouraging investments, and income redistribution consequences on aggregate demands After a shock the economic system generally adjusts in favour of less energy intensive industries; this leads pauses in production as part of the existing capital stock become obsolete, and causes resources under utilization. Since the 1970s a number of economists have been sceptical about why even large price shocks in a resource that accounts for less than 3-4 pct. of global GDP could cause losses of magnitude as those experienced in most advanced economies. They believe that monetary policy has played a role in generating the observed negative correlation between oil prices and economic activity, and question whether the post-oil-shock recessions were attributable to the oil price shocks themselves or to the monetary policy responding to these shocks. Empirical research largely shows a primary responsibility of large price shocks and major oil-supply disruptions on recessionary movements of GDP. Energy prices have risen sharply since 2003, driven by strengthening global demand; market fundamentals suggest that a considerable fraction of recent hikes will be permanent and current price levels remain credible. With limited spare capacity, the medium term oil supply-demand balance is expected to remain tight, and the price probably near current levels. Today' s high oil prices reflect the effects of sustained energy demand trends and, jointly, oil industry under investment during and after the low price era of the 1990s. The apparent moderate macro economic effects of the

  3. The term structure of oil futures prices

    International Nuclear Information System (INIS)

    Gabillon, J.

    1991-01-01

    In recent years, there has been a massive development of derivative financial products in oil markets. The main interest came from large energy end-users who found in them a welcome opportunity to lock in fixed or maximum prices for their supplies over a period of time. Oil companies and oil traders were able to provide tailor-made swaps or options for the specific needs of the end-users. In this paper, we present a two-variable model of the term structures of futures prices and volatilities assuming that the spot and long-term prices of oil are stochastic, and are the main determinants of the convenience yield function. Although the resulting convenience yield is stochastic, the model admits an analytic formulation under some restrictions. (author)

  4. Crude oil spot market pricing: Pearsonian analysis of crude oil spot market prices

    International Nuclear Information System (INIS)

    Akinnusi, Ayo

    1994-01-01

    This paper presents a brief overview of crude oil pricing before describing a study of sets of 1991 spot market prices, and examining Pearson's model. Empirical distribution characteristics for 14 crude oils are tabulated, and skewness-kurtosis relationship and implication are considered. (UK)

  5. Russian oil prices: courting the world market

    International Nuclear Information System (INIS)

    Khartukov, E.M.

    1995-01-01

    The export and oil pricing of Russian crude was discussed. Russian crude and oil product exports are not yet wholly competitive with world oil markets. It was suggested that to do so, would be neither desirable nor actually possible at present. The reason for this is related to Russia's export duties regime and Russia's trade with its neighbouring countries which include the former Soviet republics. In the first half of 1995, the average border price of crude destined for those countries was US$75.04/tonne as opposed to US$114.77/tonne for crude exported to 'far-abroad', hard-currency markets. A breakdown of Russia's export duties for liquid fuels and a typical breakdown of export and domestic prices for Russian oil was provided. Russian crude is considerably under-priced mainly because of the poor state of the national refining industry which is in need of radical modernization. It was suggested that instead of globalization, it would be more appropriate to redirect the priorities of Russian energy policy towards defining optimal use of Russia's available energy potential, and rationalizing its domestic price structure first, which is the root cause of the national price problem. 5 refs., 5 tabs., 2 figs

  6. Price models for oil derivates in Slovenia

    International Nuclear Information System (INIS)

    Nemac, F.; Saver, A.

    1995-01-01

    In Slovenia, a law is currently applied according to which any change in the price of oil derivatives is subject to the Governmental approval. Following the target of getting closer to the European Union, the necessity has arisen of finding ways for the introduction of liberalization or automated approach to price modifications depending on oscillations of oil derivative prices on the world market and the rate of exchange of the American dollar. It is for this reason that at the Agency for Energy Restructuring we made a study for the Ministry of Economic Affairs and Development regarding this issue. We analysed the possible models for the formation of oil derivative prices for Slovenia. Based on the assessment of experiences of primarily the west European countries, we proposed three models for the price formation for Slovenia. In future, it is expected that the Government of the Republic of Slovenia will make a selection of one of the proposed models to be followed by enforcement of price liberalization. The paper presents two representative models for price formation as used in Austria and Portugal. In the continuation the authors analyse the application of three models that they find suitable for the use in Slovenia. (author)

  7. Forecasting oil price movements with crack spread futures

    International Nuclear Information System (INIS)

    Murat, Atilim; Tokat, Ekin

    2009-01-01

    In oil markets, the crack spread refers to the crude-product price relationship. Refiners are major participants in oil markets and they are primarily exposed to the crack spread. In other words, refiner activity is substantially driven by the objective of protecting the crack spread. Moreover, oil consumers are active participants in the oil hedging market and they are frequently exposed to the crack spread. From another perspective, hedge funds are heavily using crack spread to speculate in oil markets. Based on the high volume of crack spread futures trading in oil markets, the question we want to raise is whether the crack spread futures can be a good predictor of oil price movements. We investigated first whether there is a causal relationship between the crack spread futures and the spot oil markets in a vector error correction framework. We found the causal impact of crack spread futures on spot oil market both in the long- and the short-run after April 2003 where we detected a structural break in the model. To examine the forecasting performance, we use the random walk model (RWM) as a benchmark, and we also evaluate the forecasting power of crack spread futures against the crude oil futures. The results showed that (a) both the crack spread futures and the crude oil futures outperformed the RWM; and (b) the crack spread futures are almost as good as the crude oil futures in predicting the movements in spot oil markets. (author)

  8. Separated influence of crude oil prices on regional natural gas import prices

    International Nuclear Information System (INIS)

    Ji, Qiang; Geng, Jiang-Bo; Fan, Ying

    2014-01-01

    This paper analyses the impact of global economic activity and international crude oil prices on natural gas import prices in three major natural gas markets using the panel cointegration model. It also investigates the shock impacts of the volatility and the increase and decrease of oil prices on regional natural gas import prices. The results show that both global economic activity and international crude oil prices have significant long-term positive effects on regional natural gas import prices. The volatility of international crude oil prices has a negative impact on regional natural gas import prices. The shock impact is weak in North America, lags in Europe and is most significant in Asia, which is mainly determined by different regional policies for price formation. In addition, the response of natural gas import prices to increases and decreases in international crude oil prices shows an asymmetrical mechanism, of which the decrease impact is relatively stronger. - Highlights: • Impacts of world economy and oil prices on regional natural gas prices are analysed • North American natural gas prices are mainly affected by world economy • Asian and European natural gas prices are mainly affected by oil prices • The volatility of oil prices has a negative impact on regional natural gas prices • The response of natural gas import prices to oil prices up and down shows asymmetry

  9. Oil price movements and production agreements

    International Nuclear Information System (INIS)

    Mazraati, M.

    2004-01-01

    The purpose of this technical exercise is to apply econometric modelling to study the relationship between movements in the oil price and compliance by the Organization of the Petroleum Exporting Countries (OPEC) with its self-assigned production agreements, whose purpose is to bring order and stability to the international oil market. After introducing various methods of measurement of compliance, the study applies these methods to monthly data for 1995-2002 for OPEC. It then identifies the method ''over-production as a percentage of ceiling'' as the best-fitting and most accurate criterion for measuring OPEC compliance. The paper then elaborates on intervention analysis, explains the various types of intervention in detail and introduces a number of econometric models to monitor oil price movements resulting from OPEC's intervention in the oil market, along with the extent of its compliance with its agreements. On applying the models to a set of historical monthly data, the study finds that higher oil prices have been achieved when the effective level of compliance lies in the range of 94-99 per cent, and that lower oil prices have been experienced when there is less compliance and more volatility. The paper notes that the achievement of order and stability is the responsibility of all parties in an international market that is inherently volatile. (author)

  10. The Impact of Oil Price Volatility on Statoil

    OpenAIRE

    Johannessen, Frida; Skjelvik, Karina

    2017-01-01

    Master's thesis in Finance PROBLEM STATEMENT How do oil price movements impact Statoil ASA? RESEARCH QUESTIONS Do oil price fluctuations have an explainable effect on Statoil’s capital expenditures and operating expenditures? Do oil price fluctuations have an explainable effect on Statoil’s share price? ANALYSIS To analyse the impact of oil price shocks, Ordinary Least Squares regression has been employed for two separate time periods. First, the period from Q4...

  11. Oil prices and stocks in the second quarter of 2004

    International Nuclear Information System (INIS)

    2004-01-01

    Notwithstanding forecasting difficulties, the oil supply and demand balance has proved to be a good indicator of the state of the market and stock levels, which, in turn, influence price behaviour. In periods where OECD commercial stock levels lie within a certain range, currently around 2,450-2,650 million barrels, the range of prices is larger than when stock levels are very high or very low. In both the latter extreme situations, prices are prone to rapid movements, undermining market stability. Other factors, of course, also influence price fluctuations. The general opinion among regularly published oil market reports points to the inevitability of a higher-than-normal build in stocks in the second quarter of 2004. If the resulting surplus is not handled in a timely and effective manner, there is likely to be excessive downward pressure on prices, which, if left unattended, would lead to a protracted spell of volatility. (Author)

  12. Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices

    International Nuclear Information System (INIS)

    Ewing, Bradley T.; Thompson, Mark A.

    2007-01-01

    This paper examines the empirical relationship between oil prices and several key macroeconomic variables. In particular, we investigate the cyclical comovements of crude oil prices with output, consumer prices, unemployment, and stock prices. The methodology involves the use of the Hodrick-Prescott [Hodrick, R.J., Prescott, E.C., 1980. Post-War US Business Cycles: An Empirical Investigation. Working Paper, Carnegie Mellon University] and Baxter-King [Baxter, M., King, R.G., 1999. Measuring business cycles: approximate band-pass filters for economic time series. Review of Economics and Statistics 81, 575-593] filters, as well as the recently developed full-sample asymmetric Christiano-Fitzgerald [Christiano, L.J., Fitzgerald, T.J., 2003. The band pass filter. International Economic Review 44, 435-465] band-pass filter. Contemporaneous and cross-correlation estimates are made using the stationary cyclical components of the time series to make inference about the degree to which oil prices move with the cycle. Besides documenting a number of important cyclical relationships using three different time series filtering methods, the results suggest that crude oil prices are procyclical and lag industrial production. Additionally, we find that oil prices lead consumer prices. (author)

  13. Oil Prices and the Renewable Energy Sector

    OpenAIRE

    Kyritsis, Evangelos; Serletis, Apostolos

    2017-01-01

    Energy security, climate change, and growing energy demand issues are moving up on the global political agenda, and contribute to the rapid growth of the renewable energy sector. In this paper we investigate the effects of oil price shocks, and also of uncertainty about oil prices, on the stock returns of clean energy and technology companies. In doing so, we use monthly data that span the period from May 1983 to December 2016, and a bivariate structural VAR model that is modified to accommod...

  14. An investment cycle in world oil prices

    International Nuclear Information System (INIS)

    Adelman, M.A.

    1992-01-01

    The price of Persian Gulf petroleum emerged after World War II as the world price. Adjusted to 1990 price levels, it went from $22 in 1947 to a low of $3 in 1970, then a high of $56 in 1981, and a low of $15 in the first half of 1990. A cyclical model is often suggested to explain these extreme swings generated by the relation between market price and investment. 9 refs., 2 figs

  15. Equivalent oil price, equivalent gas price and CO2 cost

    International Nuclear Information System (INIS)

    Bacher, P.

    2008-01-01

    This article assess the magnitudes of costs to replace oil (and natural gas) in their fixed (heat) or mobile (transport) uses with energy savings or non CO 2 emitting energies. The price of oil (or gas) at which such measures would be profitable at is inferred, without any tax or subsidy, as well as the resulting CO 2 costs avoided. It shows that several of the actions considered in France and Europe to protect the climate are far from being the most economically justified. (author)

  16. Putting oil prices in perspective

    International Nuclear Information System (INIS)

    Kauffmann, B.

    1995-01-01

    The author discusses the ''flawed'' energy policy of the US that seems to be: protect access to Persian Gulf oil with every means at its disposal. He discusses in general terms the real cost of oil which should include the military cost of the continuing conflicts in the Middle East. Full-cycle measurement (from the point of origin to the point of use) to determine energy costs would show natural gas and alternative fuels in their true cost

  17. The economic consequences of rising oil prices

    International Nuclear Information System (INIS)

    Lescaroux, F.

    2006-05-01

    In the context of rising crude oil prices observed in the last five years, this paper attempts to shed light on the possible consequences of a costlier barrel. We shall begin with a brief presentation of the main results of the analyses conducted in the last 30 years, concerning the impact of energy prices on economic activity. We shall then interpret these analyses and their conclusions, and try to draw a number of lessons about the anticipated effects of the recent trend in energy prices. (author)

  18. Oil prices remain firm, despite economic slump

    International Nuclear Information System (INIS)

    Brady, Aaron; Giesecke Linda

    2002-01-01

    Despite all the evidence of sluggish economic growth throughout the world this year, WTI crude oil prices have averaged about $24/bbl year-to-date. Although prices have been lower than year-ago levels, they're a far cry from the lows that occurred in 1998 and at the beginning of 1999. Mounting tensions in the Middle East have given crude prices support. While the market has taken these tensions into account since the beginning of the year, more recent concerns about a possible U.S military conflict with Iraq have added a larger war premium to crude prices. Note that the halt of Iraqi exports itself may not be as detrimental as perceived, since these exports could easily be replaced by OPEC's excess capacity. In part, we have already seen a reduction in Iraqi exports this year due to a pricing dispute

  19. Multivariate Time Series Forecasting of Crude Palm Oil Price Using Machine Learning Techniques

    Science.gov (United States)

    Kanchymalay, Kasturi; Salim, N.; Sukprasert, Anupong; Krishnan, Ramesh; Raba'ah Hashim, Ummi

    2017-08-01

    The aim of this paper was to study the correlation between crude palm oil (CPO) price, selected vegetable oil prices (such as soybean oil, coconut oil, and olive oil, rapeseed oil and sunflower oil), crude oil and the monthly exchange rate. Comparative analysis was then performed on CPO price forecasting results using the machine learning techniques. Monthly CPO prices, selected vegetable oil prices, crude oil prices and monthly exchange rate data from January 1987 to February 2017 were utilized. Preliminary analysis showed a positive and high correlation between the CPO price and soy bean oil price and also between CPO price and crude oil price. Experiments were conducted using multi-layer perception, support vector regression and Holt Winter exponential smoothing techniques. The results were assessed by using criteria of root mean square error (RMSE), means absolute error (MAE), means absolute percentage error (MAPE) and Direction of accuracy (DA). Among these three techniques, support vector regression(SVR) with Sequential minimal optimization (SMO) algorithm showed relatively better results compared to multi-layer perceptron and Holt Winters exponential smoothing method.

  20. Price implications for Russia's oil refining

    International Nuclear Information System (INIS)

    Khartukov, Eugene M.

    1998-01-01

    Over the past several years, Russia's oil industry has undergone its radical transformation from a wholly state-run and generously subsidized oil distribution system toward a substantially privatized, cash-strapped, and quasi-market ''petropreneurship''. This fully applies to the industry's downstream sector. Still unlike more dynamic E and C operations, the country's refining has turned out better fenced off competitive market forces and is less capable to respond to market imperatives. Consequently, jammed between depressed product prices and persistent feedstock costs, Russian refiners were badly hit by the world oil glut - which has made a radical modernization of the obsolete refining sector clearly a must. (author)

  1. Wavelet-based prediction of oil prices

    International Nuclear Information System (INIS)

    Yousefi, Shahriar; Weinreich, Ilona; Reinarz, Dominik

    2005-01-01

    This paper illustrates an application of wavelets as a possible vehicle for investigating the issue of market efficiency in futures markets for oil. The paper provides a short introduction to the wavelets and a few interesting wavelet-based contributions in economics and finance are briefly reviewed. A wavelet-based prediction procedure is introduced and market data on crude oil is used to provide forecasts over different forecasting horizons. The results are compared with data from futures markets for oil and the relative performance of this procedure is used to investigate whether futures markets are efficiently priced

  2. Application of Markov Model in Crude Oil Price Forecasting

    Directory of Open Access Journals (Sweden)

    Nuhu Isah

    2017-08-01

    Full Text Available Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the non-renewable natural resources to rise. In this study, daily crude oil prices data was obtained from WTI dated 2 January to 29 May 2015. We used Markov Model (MM approach in forecasting the crude oil prices. In this study, the analyses were done using EViews and Maple software where the potential of this software in forecasting daily crude oil prices time series data was explored. Based on the study, we concluded that MM model is able to produce accurate forecast based on a description of history patterns in crude oil prices.

  3. A framework for the assessment of the oil price

    International Nuclear Information System (INIS)

    Oliveira, A. de; Guimaraes Lodi, C.F.

    1994-01-01

    There is a wide diversity of interpretations in the literature about the mechanisms that govern oil prices. None of them has been able to produce reasonable price forecasts. Estimates of future oil prices, or at least of a range of prices, are essential for policy-making. A better understanding of the interplay of the forces that affect oil prices is absolutely necessary. This paper aims to offer a contribution to the improvement of this understanding. It suggests a rational analytical framework to estimate the future price of oil, based on the objectives and policies of the major players in the oil market. (author)

  4. The Impact of Oil Prices on Irish Inflation

    OpenAIRE

    O'Brien, Derry; Weymes, Laura

    2010-01-01

    Oil prices have been characterised by large fluctuations in recent years. Strong volatility in oil prices has important implications for the Irish economy as Ireland has a relatively poor fuel endowment and relies heavily on imported oil. Energy price increases have been one of the principal drivers behind HICP inflation rates in Ireland in recent years. This article highlights the distinctive features of the Irish energy market which render the impact of oil price changes on Irish inflation ...

  5. Health, Wealth and the Price of Oil.

    Science.gov (United States)

    Evans, Robert G

    2016-05-01

    The correlation between health and wealth is arguably a very solidly established relationship. Yet that relationship may be reversing. Falling oil prices have raised (average) per capita incomes, worldwide. But from a long-run perspective they are a public health disaster. The latter is easy to see: low oil reduces the incentive to develop alternative energy sources and "bend the curve" of global warming. Their principal impact on incomes has been redistributional - Alberta and Russia lose, Ontario and Germany gain, etc. Zero net gain. But the price has fallen because technical progress in extracting American shale oil has forced the Saudis' hand. These efficiencies have real benefits for (average) incomes, but costs for long-run health. A compensating carbon tax is an obvious response. Copyright © 2016 Longwoods Publishing.

  6. Crude oil prices: Are our oil markets too tight?

    International Nuclear Information System (INIS)

    Simmons, M.R.

    1997-01-01

    The answer to the question posed in the title is that tightness in the market will surely prevail through 1997. And as discussed herein, with worldwide demand expected to continue to grow, there will be a strong call on extra oil supply. Meeting those demands, however, will not be straightforward--as many observers wrongly believe--considering the industry's practice of maintaining crude stocks at ''Just in time'' inventory levels. Further, impact will be felt from the growing rig shortage, particularly for deepwater units, and down-stream capacity limits. While these factors indicate 1997 should be another good year for the service industry, it is difficult to get any kind of consensus view from the oil price market. With most observers' information dominated by the rarely optimistic futures price of crude, as reflected by the NYMEX, the important fact is that oil prices have remained stable for three years and increased steadily through 1996

  7. Derivative markets, speculation and oil prices

    International Nuclear Information System (INIS)

    Babusiaux, D.; Lasserre, F.; Pierru, A.

    2010-01-01

    Recent movements in oil prices have been ascribed by a number of analysts and political leaders not to market fundamentals but to the speculative positions taken by financial investors in derivatives markets. Various economists including Nobel Prize Paul Krugman believe however that the constitution of stocks is a necessary element for speculation, a feature that was not very evident during the sudden price increase in 2008; but these points of view are not entirely incompatible. Various explanations can be put forward, among which the most important is demand inertia. On the very short run, demand price elasticity is significantly lower than that usually calculated for the short term, which can significantly reduce the impact - on stocks - of a temporary price increase provoked by financial investors' behavior. (authors)

  8. Evaluating the US government's crude oil price projections

    International Nuclear Information System (INIS)

    Williams, M.D.

    1992-01-01

    The U.S. Department of Energy's (DOE) 1991 official long run crude oil price projections are evaluated by comparing parameter averages for the forecast period (1991-2010) to parameter averages from crude oil price history (1859-1990). The parameters used in the evaluation are average price, average annual price changes, and average cycle duration (in years). All prices used in the analysis are annual prices in constant 1990 dollars per barrel. 13 figs

  9. State heating oil and propane price survey: A review of Winter 1995/96

    International Nuclear Information System (INIS)

    1996-01-01

    Thirty heating oil dealers and fifteen propane dealers serving Massachusetts customers were surveyed on a bi-weekly basis to monitor heating oil and propane prices. Tables present high, low, and average price for heating oil and propane every two weeks from October 2nd to March 18th. The paper briefly discusses fuel shortages and weather

  10. Energy return on (energy) invested (EROI), oil prices, and energy transitions

    International Nuclear Information System (INIS)

    Heun, Matthew Kuperus; de Wit, Martin

    2012-01-01

    Very little work has been done so far to model, test, and understand the relationship between oil prices and EROI over time. This paper investigates whether a declining EROI is associated with an increasing oil price and speculates on the implications of these results on oil policy. A model of the relationship between EROI and oil market prices was developed using basic economic and physical assumptions and non-linear least-squares regression models to correlate oil production price with EROI using available data from 1954–1996. The model accurately reflects historical oil prices (1954–1996), and it correlates well with historical oil prices (1997–2010) if a linear extrapolation of EROI decline is assumed. As EROI declines below 10, highly non-linear oil price movements are observed. Increasing physical oil scarcity is already providing market signals that would stimulate a transition away from oil toward alternative energy sources. But, price signals of physical oil scarcity are not sufficient to guarantee smooth transitions to alternative fuel sources, especially when there is insufficient oil extraction technology development, a declining mark-up ratio, a non-linear EROI–cost of production relationship, and a non-linear EROI–price relationship. - Highlights: ► A model of the relationship between EROI and oil prices has been developed. ► As EROI declines below 10, highly non-linear oil price movements are expected. ► Physical oil scarcity provides market signals for a transition to alternatives. ► Scarcity price signals are insufficient for smooth transitions to alternatives.

  11. The economic impact of oil prices

    International Nuclear Information System (INIS)

    Krymm, R.

    1974-01-01

    During the last three months of 1973, the tax-paid costs of typical grades of crude petroleum in the main producing areas of the world, around the Persian Gulf, were roughly quadrupled, rising for typical Iranian and Arabian Ugh t crudes from about $1.85 per barrel in September 1973 to more than $7.00 by 1 January 1974, or from approximately $13.30 to more than $50.00 per ton. Since the cost of production represents an insignificantly small fraction of the new cost level (less than 2%) and subject to complex adjustments reflecting varying qualities of crude oils and advantages of geographical location, the producing countries may expect to receive a minimum average revenue of $50.00 per ton of crude oil produced on their territory instead of $12.50. If we ignore the purchases which carried the prices of relatively small amounts of oil to the $100-$150 range, this figure of $50.00 per ton with future adjustments for inflation represents a probable guide line for future cost estimates. The change affects exports of close to 1.4 billion tons of oil and consequently involves an immediate shift of financial resources of close to 60 billion dollars per year from the oil-consuming to the oil-producing countries. Tables 1, 2 and 3 give an idea of the distribution of this burden by main geographical regions and of its possible evolution over the next seven years. The figures involved are so large that comparisons have been made by some authors with the reparations proposals advanced by the Allies at the end of the First World War. It has been pointed out that the market price of a typical quality of crude such as Arabian light had in fact fallen from $1.93 per barrel in 1955 to $1.26 in 1970. When the intervening industrial price inflation is taken into account this means that the price of oil had in fact been divided by 3 during a period when oil consumption was growing at an annual rate of more than 7% and oil was displacing coal as the major fuel of the world. During the

  12. Oil price fluctuations and U.S. dollar exchange rates

    International Nuclear Information System (INIS)

    Lizardo, Radhames A.; Mollick, Andre V.

    2010-01-01

    Adding oil prices to the monetary model of exchange rates, we find that oil prices significantly explain movements in the value of the U.S. dollar (USD) against major currencies from the 1970s to 2008. Our long-run and forecasting results are remarkably consistent with an oil-exchange rate relationship. Increases in real oil prices lead to a significant depreciation of the USD against net oil exporter currencies, such as Canada, Mexico, and Russia. On the other hand, the currencies of oil importers, such as Japan, depreciate relative to the USD when the real oil price goes up. (author)

  13. Oil prices, fiscal policy, and economic growth in oil-exporting countries

    Science.gov (United States)

    El-Anshasy, Amany A.

    This dissertation argues that in oil-exporting countries fiscal policy could play an important role in transmitting the oil shocks to the economy and that the indirect effects of the changes in oil prices via the fiscal channel could be quite significant. The study comprises three distinct, yet related, essays. In the first essay, I try to study the fiscal policy response to the changes in oil prices and to their growing volatility. In a dynamic general equilibrium framework, a fiscal policy reaction function is derived and is empirically tested for a panel of 15 oil-exporters covering the period 1970--2000. After the link between oil price shocks and fiscal policy is established, the second essay tries to investigate the impact of the highly volatile oil prices on economic growth for the same sample, controlling for the fiscal channel. In both essays the study employs recent dynamic panel-data estimation techniques: System GMM. This approach has the potential advantages of minimizing the bias resulting from estimating dynamic panel models, exploiting the time series properties of the data, controlling for the unobserved country-specific effects, and correcting for any simultaneity bias. In the third essay, I focus on the case of Venezuela for the period 1950--2001. The recent developments in the cointegrating vector autoregression, CVAR technique is applied to provide a suitable framework for analyzing the short-run dynamics and the long-run relationships among oil prices, government revenues, government consumption, investment, and output.

  14. Oil price reduction impacts on the Iranian economy

    Directory of Open Access Journals (Sweden)

    Abdollah Mahmoodi

    2017-12-01

    Full Text Available economy. In order to simulate this shock, the global trade analysis project (GTAP model with its data done by using. In the new created data aggregation, oil exporting in Iran and the rest of the world countries as economic new regions, ten new economic sectors have been created, among which the oil is introduced as one sector as well as five endowments. The standard economic closure was changed, and decline in world oil price was simulated in model as a policy shock. The results show that oil export revenue and the mineral commodity export earnings will decrease, but other production sectors’ exports will increase. The trade balance of Iran will be affected negatively and strongly. Also, oil and other services production decreased. In the production sectors’ market, the demand for labor, natural resources, and investment decreased dramatically, and the demand for land increased. Using equivalent variation (EV, changes in Iran’s welfare is high negative. Finally, deflation, reduction in value and quantity of GDP and changes in consumption combination from public to private sector are the other economic impacts of reduction in oil price on Iran’s economic. It is suggested that future studies are done using dynamic models and up-to-date data. In addition, policy makers need to rebound internationally and within OPEC to raise oil prices.

  15. Estimation of mean-reverting oil prices: a laboratory approach

    International Nuclear Information System (INIS)

    Bjerksund, P.; Stensland, G.

    1993-12-01

    Many economic decision support tools developed for the oil industry are based on the future oil price dynamics being represented by some specified stochastic process. To meet the demand for necessary data, much effort is allocated to parameter estimation based on historical oil price time series. The approach in this paper is to implement a complex future oil market model, and to condense the information from the model to parameter estimates for the future oil price. In particular, we use the Lensberg and Rasmussen stochastic dynamic oil market model to generate a large set of possible future oil price paths. Given the hypothesis that the future oil price is generated by a mean-reverting Ornstein-Uhlenbeck process, we obtain parameter estimates by a maximum likelihood procedure. We find a substantial degree of mean-reversion in the future oil price, which in some of our decision examples leads to an almost negligible value of flexibility. 12 refs., 2 figs., 3 tabs

  16. Investigating price clustering in the oil futures market

    Energy Technology Data Exchange (ETDEWEB)

    Narayan, Paresh Kumar [School of Accounting, Economics and Finance, Deakin University (Australia); Narayan, Seema [School of Economics, Finance and Marketing, Royal Melbourne Institute of Technology, Melbourne (Australia); Popp, Stephan [Department of Economics, University of Duisburg-Essen (Germany)

    2011-01-15

    Price clustering can be a source of market inefficiency. It follows that searching for price clustering in markets have gone beyond share prices into real estate, interest rate, and exchange rate markets. In this paper, we extend this line of research to oil futures markets. In particular, we consider five different forms of oil futures contracts and test for evidence of price clustering. Our results reveal strong presence of price clustering in the oil futures market. This finding implies that price clustering can potentially be a source of oil market inefficiency, which can influence trading strategies. (author)

  17. Investigating price clustering in the oil futures market

    International Nuclear Information System (INIS)

    Narayan, Paresh Kumar; Narayan, Seema; Popp, Stephan

    2011-01-01

    Price clustering can be a source of market inefficiency. It follows that searching for price clustering in markets have gone beyond share prices into real estate, interest rate, and exchange rate markets. In this paper, we extend this line of research to oil futures markets. In particular, we consider five different forms of oil futures contracts and test for evidence of price clustering. Our results reveal strong presence of price clustering in the oil futures market. This finding implies that price clustering can potentially be a source of oil market inefficiency, which can influence trading strategies. (author)

  18. Drilling rates and expected oil prices: The own price elasticity of US oil supply

    International Nuclear Information System (INIS)

    Kaufmann, R.K.; Gruen, W.; Montesi, R.

    1994-01-01

    This paper evaluates the feasibility of policies to increase exploration and development by the oil industry. To do so, the authors estimate a new model for well completions in the United States that includes the effect of price expectations from survey data, that separates exploratory from development wells, and that uses a deflator based on the cost of drilling a well. The regression results indicate that the price elasticity of drilling is considerably smaller than previous estimates. When combined with recent analyses of drilling success, the results indicate that the own price elasticity of US oil supply is relatively small. The low price elasticity of supply indicates that efforts to increase domestic oil supplies by increasing well completions may be more expensive than believed previously

  19. The effect of uncertainty and aggregate investments on crude oil price dynamics

    International Nuclear Information System (INIS)

    Tvedt, Jostein

    2002-01-01

    This paper is a study of the dynamics of the oil industry and we derive a mean reverting process for the crude oil price. Oil is supplied by a market leader, OPEC, and by an aggregate that represents non-OPEC producers. The non-OPEC producers take the oil price as given. The cost of non-OPEC producers depends on past investments. Shifts in these investments are influenced by costs of structural change in the construction industry. A drop in the oil price to below a given level triggers lower investments, but if the oil price reverts back to a high level investments may not immediately expand. In an uncertain oil demand environment cost of structural change creates a value of waiting to invest. This investment behaviour influences the oil price process

  20. Trade linkages and macroeconomic effects of the price of oil

    International Nuclear Information System (INIS)

    Korhonen, Iikka; Ledyaeva, Svetlana

    2010-01-01

    In this paper we assess the impact of oil price shocks on oil-producer and oil-consuming economies. VAR models for different countries are linked together via a trade matrix, as in Abeysinghe (2001). As expected, we find that oil producers (here, Russia and Canada) benefit from oil price shocks. For example, a large oil shock leading to a price increase of 50% boosts Russian GDP by about 6%. However, oil producers are hurt by indirect effects of positive oil price shocks, as economic activity in their exporter countries suffers. For oil consumers, the effects are more diverse. In some countries, output falls in response to an oil price shock, while other countries seem to be relatively immune to oil price changes. Finally, indirect effects are also detected for oil-consumer countries. Those countries, which trade more with oil producers, gain indirect benefits via higher demand from oil-producing countries. In general, the largest negative total effects from positive oil price shocks are found for Japan, China, the USA, Finland and Switzerland, while other countries in our sample seem to have fared quite well during recent positive oil price shocks. The indirect effects are negative for Russia, Finland, Germany and Netherlands. (author)

  1. Forecasting oil price trends using wavelets and hidden Markov models

    International Nuclear Information System (INIS)

    Souza e Silva, Edmundo G. de; Souza e Silva, Edmundo A. de; Legey, Luiz F.L.

    2010-01-01

    The crude oil price is influenced by a great number of factors, most of which interact in very complex ways. For this reason, forecasting it through a fundamentalist approach is a difficult task. An alternative is to use time series methodologies, with which the price's past behavior is conveniently analyzed, and used to predict future movements. In this paper, we investigate the usefulness of a nonlinear time series model, known as hidden Markov model (HMM), to predict future crude oil price movements. Using an HMM, we develop a forecasting methodology that consists of, basically, three steps. First, we employ wavelet analysis to remove high frequency price movements, which can be assumed as noise. Then, the HMM is used to forecast the probability distribution of the price return accumulated over the next F days. Finally, from this distribution, we infer future price trends. Our results indicate that the proposed methodology might be a useful decision support tool for agents participating in the crude oil market. (author)

  2. Do food and oil prices co-move?

    International Nuclear Information System (INIS)

    Reboredo, Juan C.

    2012-01-01

    This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different conditional dependence structures and time-varying dependence parameters were considered. Empirical results for weekly data from January 1998 to April 2011 showed weak oil-food dependence and no extreme market dependence between oil and food prices. These results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non-contagion between the crude oil and agricultural markets. However, dependence increased significantly in the last three years of the sampling period, even though upper tail dependence remained insignificant, indicating that food price spikes are not caused by positive extreme oil price changes. These results have implications for policy design, risk management and hedging strategies. - Highlights: ► We study co-movement between food and oil markets through copulas. ► Food prices are neutral to the effects of changes in oil prices. ► Oil price spikes had no causal effect on agricultural price spikes. ► Oil–corn and oil–soybean dependence increased in recent years. ► Food subsidy policies and price controls are unnecessary to avoid extreme oil prices.

  3. Noteworthy: oil markets: Saudis abandon WTI price as benchmark

    OpenAIRE

    Jackson Thies

    2010-01-01

    Saudi Arabia's state-owned oil company no longer uses West Texas Intermediate (WTI) crude oil as its pricing benchmark. Saudi Aramco, the third largest U.S. oil supplier, switched to the Argus Sour Crude Index (ASCI) in January.

  4. Rise of oil prices and energy policy

    International Nuclear Information System (INIS)

    2005-01-01

    This document reprints the talk of the press conference given by D. de Villepin, French prime minister, on August 16, 2005 about the alarming rise of oil prices. In his talk, the prime minister explains the reasons of the crisis (increase of worldwide consumption, political tensions in the Middle East..) and presents the strategy and main trends of the French energy policy: re-launching of energy investments in petroleum refining capacities and in the nuclear domain (new generation of power plants), development of renewable energy sources and in particular biofuels, re-launching of the energy saving policy thanks to financial incentives and to the development of clean vehicles and mass transportation systems. In a second part, the prime minister presents his policy of retro-cession of petroleum tax profits to low income workers, and of charge abatement to professionals having an occupation strongly penalized by the rise of oil prices (truckers, farmers, fishermen, taxi drivers). (J.S.)

  5. The Cushing OK Crude Oil Futures Price Pass - Through to New York Harbor Reformulated RBOB Regular Gasoline Futures Price

    Directory of Open Access Journals (Sweden)

    Chu V. Nguyen

    2017-04-01

    Full Text Available This study utilizes an Autoregressive Distributed Lag model to investigate the nature of crude oil futures price pass-through since 2006. The empirical results reveal a very high but incomplete short-run pass-through rate from the crude oil futures price to the gasoline futures price of 0.849298 with a corresponding negative long-run pass-through rate of -0.2440894. These empirical findings suggest that traders in the U.S. oil and gasoline futures markets overreact to fluctuations in the crude oil futures price as evidenced by subsequent corrections made over the sample period. The result of the bounds test for a long-term relationship between these two futures prices is inconclusive. The empirical findings further suggest that U.S. futures market traders considered futures prices of gasoline three weeks earlier in determining the current trading price while taking only one week to respond completely to the shock in the crude oil futures price.  The empirical findings of this investigation may address the core elements of the price dynamics of the crude oil and gasoline futures markets and advance inquiry into assessment tools that could manage a very complex market challenge, especially for policy makers in countries with transitional economies in Eastern Europe, Caucasus and Central Asia.

  6. Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices

    International Nuclear Information System (INIS)

    He, Ling T.; Casey, K.M.

    2015-01-01

    Using a binomial probability distribution model this paper creates an endurance index of oil service investor sentiment. The index reflects the probability of the high or low stock price being the close price for the PHLX Oil Service Sector Index. Results of this study reveal the substantial forecasting ability of the sentiment endurance index. Monthly and quarterly rolling forecasts of returns of oil service stocks have an overall accuracy as high as 52% to 57%. In addition, the index shows decent forecasting ability on changes in crude oil prices, especially, WTI prices. The accuracy of 6-quarter rolling forecasts is 55%. The sentiment endurance index, along with the procedure of true forecasting and accuracy ratio, applied in this study provides investors and analysts of oil service sector stocks and crude oil prices as well as energy policy-makers with effective analytical tools

  7. Limits to oil pricing: scenario planning as a device to understand oil price developments

    International Nuclear Information System (INIS)

    Austvik, O.G.

    1992-01-01

    This paper underlines that the politicizing of the oil market makes economics, politics and even pure warfare important elements in the formation of the price of oil. The disagreement about which theory to use to analyze the market and the bad record of oil price forecasting indicates that conventional oil market models should be critically re-assessed. The scenario planning methodology presented in this paper may be one alternative approach. SP does not overthrow any other theories of the market. But it claims that no single discipline is able to tell the whole truth about the market. The SP approach stresses and clarifies the role of uncertainty in the development of oil prices and underlines the importance of the understanding of the functioning of the market. It argues that without a cross-disciplinary approach, with an adequate choice of parameters, at the right level of in-depth discussion, the analysis may lose essential input or drown in detail. As an example of the methodology, an analysis of development of oil prices in the nineties is presented. It is shown that lower (indicated as 15-20 S/bbl) and upper (indicated as 30-40 S/bbl) limits of the price in the long run can be constructed, based on economic, political and strategic reasoning. It is also argued that short run 'shocks' outside these limits may have become less likely, because: (1) the strategic petroleum reserves (SPR) will cut off the most extreme prices above the upper limit and (2) the existence of a supply side regulator, like OPEC, will prevent prices from dropping below the lower limit for any longer period of time. Sensitivity analysis tests the 'robustness' of the approach. 10 refs., 1 fig

  8. Oil markets and prices: the Brent market and the formation of world oil prices

    International Nuclear Information System (INIS)

    Horsnell, Paul; Mabro, Robert.

    1993-01-01

    The purpose of this book is to enhance our understanding of the complex working of the world petroleum market and of the formation of oil prices in international trade. It devotes particular attention to the Brent market which involves spot, physical forward and futures trading of a blend of North Sea crudes known as Brent which has become one of the most important markers for world oil prices. Because the Brent market is central the research presented here examines its relationship to the constellation of other oil markets: those which deal on a spot basis with the main export crude of Africa, the Gulf, the Far East and the North Sea, the market for Dubai, another marker crude, and that for West Texas Intermediate (WTI). Finally an analysis of pricing mechanisms used by OPEC and many non-OPEC exporting countries for their oil sales under term contracts and which use Brent prices as one of their references complete this study on oil markets and prices. (author)

  9. Effect of the 1973 oil price embargo

    International Nuclear Information System (INIS)

    Goel, R.K.; Morey, M.J.

    1993-01-01

    This paper focuses on the effect of the oil shock of 1973 on US gasoline demand by examining the price elasticities of demand before and after the 1973 embargo. Price elasticities provide useful input to the development of public policy dealing with taxation and pollution control. The extensive data used include state level observations for nearly three decades spanning 1952-80. We apply non-parametric regression methods that are more appropriate to our investigation than traditional parametric techniques. Unlike standard regression techniques, non-parametric methods neither assume a functional form for the demand relation nor restrict the distribution of the dependent variable. Our results show that the mean price elasticity of gasoline demand for the USA was - 0.243 for 1952-73 and the corresponding number for 1973-80 was - 0.576, statistically different at the 5% level of significance. The relatively higher price elasticity in the post-embargo period is consistent with the hypothesis that consumers sought substitutes and restricted their consumption in response to prices as well as social responsibility. The policy implications of these results are also discussed. (author)

  10. Oil price and food price volatility dynamics: The case of Nigeria

    Directory of Open Access Journals (Sweden)

    Ijeoma C. Nwoko

    2016-12-01

    Full Text Available This study examines the long and short run relationships between oil price and food price volatility as well as the causal link between them. The study used annual food price volatility index from FAO from 2000 to 2013 and crude oil price from U.S. Energy Information and Administration (EIA from 2000 to 2013. The Johansen and Jesulius co-integration test revealed that there is a long run relationship between oil price and domestic food price volatility. The vector error correction model indicated a positive and significant short run relationship between oil price and food price volatility. The Granger causality test revealed a unidirectional causality with causality running from oil price to food price volatility but not vice versa. It is recommended that policies and interventions that will help reduce uncertainty about food prices such as improved market information, trade policies and investment in research and development among others should be encouraged. Also to reduce the effect of oil price shock, it is recommended that government should subsidise pump price of refined oil, seek alternative sources of energy and there should be less dependence on oil for fertilizer production.

  11. Sensitivity of stock market indices to oil prices: Evidence from manufacturing sub-sectors in Turkey

    Directory of Open Access Journals (Sweden)

    Eksi Halil Ibrahim

    2012-01-01

    Full Text Available Crude oil price is a critical cost factor for manufacturing industries that are of vital importance for economic growth. This study examines the relationship between crude oil prices and the indices of seven Turkish manufacturing sub-sectors over the period 1997:01-2009:12. The error correction model results reveal the long term causality from crude oil prices to chemical petroleum-plastic and basic metal sub-sectors indicating that these sub-sectors are highly sensitive to crude oil prices. We find no causal relationship for other sector indices for short or long time periods.

  12. Effect of oil price on Nigeria’s food price volatility

    Directory of Open Access Journals (Sweden)

    Ijeoma C. Nwoko

    2016-12-01

    Full Text Available This study examines the effect of oil price on the volatility of food price in Nigeria. It specifically considers the long-run, short-run, and causal relationship between these variables. Annual data on oil price and individual prices of maize, rice, sorghum, soya beans, and wheat spanning from 2000 to 2013 were used. The price volatility for each crop was obtained using Generalized Autoregressive Conditional Heteroskedascity (GARCH (1, 1 model. Our measure of oil price is the Refiner acquisition cost of imported crude oil. The Augmented Dickey–Fuller and Phillip–Perron unit root tests show that all the variables are integrated of order one, I (1. Therefore, we use the Johansen co-integration test to examine the long-run relationship. Our results show that there is no long-run relationship between oil price and any of the individual food price volatility. Thus, we implement a VAR instead of a VECM to investigate the short-run relationship. The VAR model result revealed a positive and significant short-run relationship between oil price and each of the selected food price volatility with exception of that of rice and wheat price volatility. These results were further confirmed by the impulse response functions. The Granger causality test result indicates a unidirectional causality from oil price to maize, soya bean, and sorghum price volatilities but does not show such relationship for rice and wheat price volatilities. We draw some policy implications of these findings.

  13. The Cushing OK Crude Oil Futures Price Pass - Through to New York Harbor Reformulated RBOB Regular Gasoline Futures Price

    OpenAIRE

    Chu V. Nguyen

    2017-01-01

    This study utilizes an Autoregressive Distributed Lag model to investigate the nature of crude oil futures price pass-through since 2006. The empirical results reveal a very high but incomplete short-run pass-through rate from the crude oil futures price to the gasoline futures price of 0.849298 with a corresponding negative long-run pass-through rate of -0.2440894. These empirical findings suggest that traders in the U.S. oil and gasoline futures markets overreact to fluctuations in the crud...

  14. Crude oil prices: It's not like '86

    International Nuclear Information System (INIS)

    Simmons, M.R.

    1994-01-01

    In 1981, daily crude oil productive capacity exceeded demand by more than 25%, leading to a 4-yr price decline from near $40 per barrel levels, and a sharp drop in 1986 to near $12. But, in 1994, the fundamentals are reversed, worldwide demand is growing, conservation movements are not active, and certain geographic areas, like Asia, are set to tax the system as they modernize. Meanwhile, US and Former Soviet Union production is off, without prospects for near-term turnaround. And there is reason to believe OPEC leaders may not feel compelled to cut their output, when combined small cuts of the magnitude of 5% by the rest of the world's producers could accomplish the same objective of raising oil prices. As with any forecast, only time and hindsight will tell the real story, but 1994 could end up being one of the periodic turning points for what has always been a long-term cyclical industry. This paper summarizes the predictions and causes of predicted price changes

  15. Why is the oil price not about equilibrium?: An economic sociology account of petroleum markets

    International Nuclear Information System (INIS)

    Belyi, Andrei V.

    2016-01-01

    This opinion paper seeks to initiate discussion of the institutional and societal causes of oil price. On this basis, the social embeddedness concept is proposed instead of the frequently used producer-consumer juxtaposition. Observation shows no linearity between resource distribution imbalances and supply dynamics on the one hand and price on the other. As a socially endogenous factor, oil price generates practices and norms comprising benchmarks for resource valuation, stock market dynamics and risk aversion practices. A high oil price incentivises investments and inter-fuel competition, whereas a low oil price increases both political and market risks beyond the consumer-producer conceptualisation. Hence, it is argued that the notion of oil price affordability in energy security should be revised. - Highlights: •Oil price is not about affordability but about social embeddedness processes. •Producer-Consumer juxtaposition stems from resource-determinism concept. •Elevated oil price postpones peak oil and favors inter-fuel competition. •Important symbolisms surrounding the oil price exists in terms of business perspectives and political risk aversion.

  16. The equilibrium price range of oil: economics, politics and uncertainty in the formation of oil prices

    International Nuclear Information System (INIS)

    Giraud, P.-N.

    1995-01-01

    This paper attempts to clarify the articulation between economic and political factors in the formation of petroleum prices. The essential point is that when factors control significant low cost reserves and will not or cannot adopt behaviour of a 'substantial economic rationality' then the economic analysis does not allow a unique dynamic equilibrium price to be determined. However, it does permit definition of an equilibrium price range within which political preferences may be expressed. Finally, the paper draws some conclusions on what could be discussed within the scope of a new oil producer-consumer dialogue. (author)

  17. Assessing the effect of oil price on world food prices: Application of principal component analysis

    International Nuclear Information System (INIS)

    Esmaeili, Abdoulkarim; Shokoohi, Zainab

    2011-01-01

    The objective of this paper is to investigate the co-movement of food prices and the macroeconomic index, especially the oil price, by principal component analysis to further understand the influence of the macroeconomic index on food prices. We examined the food prices of seven major products: eggs, meat, milk, oilseeds, rice, sugar and wheat. The macroeconomic variables studied were crude oil prices, consumer price indexes, food production indexes and GDP around the world between 1961 and 2005. We use the Scree test and the proportion of variance method for determining the optimal number of common factors. The correlation coefficient between the extracted principal component and the macroeconomic index varies between 0.87 for the world GDP and 0.36 for the consumer price index. We find the food production index has the greatest influence on the macroeconomic index and that the oil price index has an influence on the food production index. Consequently, crude oil prices have an indirect effect on food prices. - Research Highlights: →We investigate the co-movement of food prices and the macroeconomic index. →The crude oil price has indirect effect on the world GDP via its impacts on food production index. →The food production index is the source of causation for CPI and GDP is affected by CPI. →The results confirm an indirect effect among oil price, food price principal component.

  18. Oil price scenarios and refining profitability

    International Nuclear Information System (INIS)

    Sweeney, B.

    1993-01-01

    Currently refining profitability is low because there has been an overbuilding of conversion capacity in Western Europe in the last round. Oil marketing, the chemicals business and the fundamental economy itself are at low points in their cycles which have not coincided, at least in the UK, since 1975. Against that gloomy background, it is predicted that downstream profitability will recover in the mid-1990s. Crude oil prices will remain low until the call on OPEC crude increases again and takes up the capacity which has been brought on stream in response to the Gulf War. When this happens, it is likely to trigger another price spike and another round of investment in production capacity. Environmentally driven investments in desulphurisation or emissions reduction will be poorly remunerated all the way through the value chain. Refining margins will recover when white oil demand growth tightens up the need for conversion capacity. Marketing will need to reduce the retail network overcapacity in the mature markets if it is to improve its profitability. In this period of low profitability, even with the light at the end of the tunnel for refiners in the middle of the decade, the industry structure is under threat. There is a strong argument for new modes of competitive behaviour which are backed by strong elements of cooperation. (author)

  19. The composite barrel of retail prices and its relationship to crude oil prices

    International Nuclear Information System (INIS)

    Balabanoff, S.

    1993-01-01

    This paper challenges assumptions about the relationship between refinery gate prices, retail prices paid by consumers and crude oil prices. The analysis presented here considers their relationship within the context of the Organization of Petroleum Exporting Countries' (OPEC's) composite barrel statistics, which includes taxes and other government policy effects on prices. Speed of adjustment and retail price response to taxes are analysed with respect to crude import prices. OPEC's composite barrel is explained and evaluated. Test results are summarized. (UK)

  20. Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices

    International Nuclear Information System (INIS)

    Atil, Ahmed; Lahiani, Amine; Nguyen, Duc Khuong

    2014-01-01

    In this article, we use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of crude oil prices into gasoline and natural gas prices. Our approach allows us to simultaneously test the short- and long-run nonlinearities through positive and negative partial sum decompositions of the predetermined explanatory variables. It also offers the possibility to quantify the respective responses of gasoline and natural gas prices to positive and negative oil price shocks from the asymmetric dynamic multipliers. The obtained results indicate that oil prices affect gasoline prices and natural gas prices in an asymmetric and nonlinear manner, but the price transmission mechanism is not the same. Important policy implications can be learned from the empirical findings. - Highlights: • The pass-through of crude oil prices into gasoline and natural gas prices is examined. • We use a NARDL model to test for the long-run and short-run asymmetric reactions. • Both gasoline and natural gas prices significantly adjust to changes in the price of oil. • Negative oil shocks have greater effects than positive oil shocks. • Policy implications are discussed

  1. World oil and agricultural commodity prices: Evidence from nonlinear causality

    International Nuclear Information System (INIS)

    Nazlioglu, Saban

    2011-01-01

    The increasing co-movements between the world oil and agricultural commodity prices have renewed interest in determining price transmission from oil prices to those of agricultural commodities. This study extends the literature on the oil-agricultural commodity prices nexus, which particularly concentrates on nonlinear causal relationships between the world oil and three key agricultural commodity prices (corn, soybeans, and wheat). To this end, the linear causality approach of Toda-Yamamoto and the nonparametric causality method of Diks-Panchenko are applied to the weekly data spanning from 1994 to 2010. The linear causality analysis indicates that the oil prices and the agricultural commodity prices do not influence each other, which supports evidence on the neutrality hypothesis. In contrast, the nonlinear causality analysis shows that: (i) there are nonlinear feedbacks between the oil and the agricultural prices, and (ii) there is a persistent unidirectional nonlinear causality running from the oil prices to the corn and to the soybeans prices. The findings from the nonlinear causality analysis therefore provide clues for better understanding the recent dynamics of the agricultural commodity prices and some policy implications for policy makers, farmers, and global investors. This study also suggests the directions for future studies. - Research highlights: → This study determines the price transmission mechanisms between the world oil and three key agricultural commodity prices (corn, soybeans, and wheat). → The linear and nonlinear cointegration and causality methods are carried out. → The linear causality analysis supports evidence on the neutrality hypothesis. → The nonlinear causality analysis shows that there is a persistent unidirectional causality from the oil prices to the corn and to the soybeans prices.

  2. World Oil Price and Biofuels : A General Equilibrium Analysis

    OpenAIRE

    Timilsina, Govinda R.; Mevel, Simon; Shrestha, Ashish

    2011-01-01

    The price of oil could play a significant role in influencing the expansion of biofuels. However, this issue has not been fully investigated yet in the literature. Using a global computable general equilibrium model, this study analyzes the impact of oil price on biofuel expansion, and subsequently, on food supply. The study shows that a 65 percent increase in oil price in 2020 from the 20...

  3. Does oil move equity prices? A global view

    International Nuclear Information System (INIS)

    Nandha, Mohan; Faff, Robert

    2008-01-01

    Many studies indicate that oil price shocks have an adverse effect on real output and, hence, an adverse effect on corporate profits where oil is used as a key input. The present study examines whether and to what extent the adverse effect of oil price shocks impacts stock market returns. To this end we, analyse 35 DataStream global industry indices for the period from April 1983 to September 2005. Our findings indicate that oil price rises have a negative impact on equity returns for all sectors except mining, and oil and gas industries. Generally, these results are consistent with economic theory and evidence provided by previous empirical studies. Little evidence of any asymmetry is detected in the oil price sensitivities. In light of our findings, we recommend that international portfolio investors consider hedging oil price risk. (author)

  4. Effects of long-term price increases for oil

    International Nuclear Information System (INIS)

    Voehringer, F.; Mueller, A.; Boehringer, C.

    2007-03-01

    This comprehensive report for the Swiss Federal Office of Energy (SFOE) takes a look at the effects of higher oil prices in the long-term. Scenarios examined include those with high oil prices of 80 to 140 dollars per barrel and those with drastic shortages resulting from peak extraction in the years 2010 and 2020. Long-term economic balances form the basis of the report, short-term influences and psychological effects are not addressed. The possible dangers for the earth's climate caused by the substitution of oil by coal-based products are discussed, as well as the sequestration of carbon dioxide. Ethanol and the associated conflicts of land use are examined and the decreasing cost-effectiveness of co-generation power generation is looked at. Alternatives such as atomic power, hydropower, solar energy, geothermal energy, biogas and wind power are discussed. The effect of the changing energy scene on economic growth and welfare aspects in Switzerland are examined. The authors conclude that high oil prices have considerable impacts on the economy and are not a substitute for an internationally co-ordinated climate policy

  5. Price dependence in the principal EU olive oil markets

    Energy Technology Data Exchange (ETDEWEB)

    Emmanouilides, C.; Fousekis, P.; Grigoriadis, V.

    2014-06-01

    The objective of this paper is to assess the degree and the structure of price dependence in the principal EU olive oil markets (Spain, Italy and Greece). To this end, it utilizes monthly olive oil price data and the statistical tool of copulas. The empirical results suggest that prices are likely to boom together but not to crash together; this is especially true for the prices of the two most important players, Italy (importer) and Spain (exporter). The finding of asymmetric price co-movements implies that the three principal spatial olive oil markets in the EU cannot be thought of as one great pool. (Author)

  6. Oil Price Shocks and Stock Markets in BRICs

    Directory of Open Access Journals (Sweden)

    Ono, Shigeki

    2011-06-01

    Full Text Available This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia.

  7. Do oil price shocks matter? Evidence for some European countries

    International Nuclear Information System (INIS)

    Cunado, Juncal; Gracia, Fernando Perez de

    2003-01-01

    This paper analyzes the oil price-macro economy relationship by means of analyzing the impact of oil prices on inflation and industrial production indexes for many European countries using quarterly data for the period 1960-1999. First, we test for cointegration allowing for structural breaks among the variables. Second, and in order to account for the possible non-linear relationships, we use different transformation of oil price data. The main results suggest that oil prices have permanent effects on inflation and short run but asymmetric effects on production growth rates. Furthermore, significant differences are found among the responses of the countries to these shocks. (Author)

  8. Pass-through of crude oil prices at different stages in Turkey

    Directory of Open Access Journals (Sweden)

    Fatih Akçelik

    2016-03-01

    Full Text Available This paper examines the degree of oil price pass-through to domestic prices at different stages of supply chain in Turkey. Our results, based on vector autoregressive models, point out that the pass-through to domestic motor fuel prices is considerably fast as expected and just one third of a change in crude oil prices is reflected to the motor fuel prices due to the high share of taxes on retail prices. On the other hand, it is shown that impact of oil prices on transport services takes a longer time compared to other domestic prices. Over the 2004–2014 period, estimates suggest that a 10% permanent change in the international crude oil prices is associated with a 0.42 percentage points change in consumer inflation at the end of one year. The final accumulated pass-through to consumer inflation reaches 0.50 percentage points. Moreover, the pass-through to producer prices is nearly twice as much as that to consumer prices. Findings also provide some evidence for a strengthening in oil price pass-through to consumer inflation over time, which might reflect the growing natural gas intensity of the economy.

  9. A new approach for crude oil price prediction based on stream learning

    Directory of Open Access Journals (Sweden)

    Shuang Gao

    2017-01-01

    Full Text Available Crude oil is the world's leading fuel, and its prices have a big impact on the global environment, economy as well as oil exploration and exploitation activities. Oil price forecasts are very useful to industries, governments and individuals. Although many methods have been developed for predicting oil prices, it remains one of the most challenging forecasting problems due to the high volatility of oil prices. In this paper, we propose a novel approach for crude oil price prediction based on a new machine learning paradigm called stream learning. The main advantage of our stream learning approach is that the prediction model can capture the changing pattern of oil prices since the model is continuously updated whenever new oil price data are available, with very small constant overhead. To evaluate the forecasting ability of our stream learning model, we compare it with three other popular oil price prediction models. The experiment results show that our stream learning model achieves the highest accuracy in terms of both mean squared prediction error and directional accuracy ratio over a variety of forecast time horizons.

  10. Price Relationships in the Petroleum Market: An Analysis of Crude Oil and Refined Product Prices

    International Nuclear Information System (INIS)

    Asche, Frank; Gjoelberg, Ole; Voelker, Teresa

    2001-08-01

    In this paper the relationships between crude oil and refined product prices are investigated in a multivariate framework. This allows us to test several (partly competing) assumptions of earlier studies. In particular, we find that the crude oil price is weakly exogenous and that the spread is constant in some but not all relationships. Moreover, the multivariate analysis shows that the link between crude oil prices and several refined product prices implies market integration for these refined products. This is an example of supply driven market integration and producers will change the output mix in response to price changes. (author)

  11. Price relationships in the petroleum market. An analysis of crude oil and refined product prices

    International Nuclear Information System (INIS)

    Asche, Frank; Gjoelberg, Ole; Volker, Teresa

    2003-01-01

    In this paper the relationships between crude oil and refined product prices are investigated in a multivariate framework. This allows us to test several (partly competing) assumptions of earlier studies. In particular, we find that the crude oil price is weakly exogenous and that the spread is constant in some but not all relationships. Moreover, the multivariate analysis shows that the link between crude oil prices and several refined product prices implies market integration for these refined products. This is an example of supply driven market integration and producers will change the output mix in response to price changes

  12. Price relationships in the petroleum market: an analysis of crude oil and refined product prices

    International Nuclear Information System (INIS)

    Asche, F.; Gjoelberg, O.; Voelker, T.

    2003-01-01

    In this paper the relationships between crude oil and refined product prices are investigated in a multivariate framework. This allows us to test several (partly competing) assumptions of earlier studies. In particular, we find that the crude oil price is weakly exogenous and that the spread is constant in some but not all relationships. Moreover, the multivariate analysis shows that the link between crude oil prices and several refined product prices implies market integration for these refined products. This is an example of supply driven market integration and producers will change the output mix in response to price changes. (author)

  13. The prospects for oil prices, supply and demand

    International Nuclear Information System (INIS)

    Al-Fathi, S.A.

    1991-01-01

    The major factors that have influenced price developments are briefly discussed. The future course of oil prices and the supply/demand fundamentals that are likely to influence them will be reviewed in the light of OPEC producers' quest for stability in the market and the maintenance of the role of oil in the energy spectrum. The environment and climate change debate is likely to influence development in the energy and oil markets for a long time to come. Its impact on oil demand is thus discussed, together with its implication for oil prices. (author)

  14. Oil Production, The Price Crash and Uncertainty in Climate Change

    Science.gov (United States)

    Murray, J. W.

    2015-12-01

    World oil production increased to about 74 million barrels per day by January 2005, and was fairly constant until 2011 when it started to increase to 77.8 mb/d in 2014. This spectacular increase of 4 mb/d was almost entirely due to a sharp increase in production in the US from shale formations, called light tight oil (LTO). World oil production minus this increase in US LTO Production has been flat since 2005 at about 74 mb/d. When US production starts to decline, world oil production likely will as well. That surge is forecast to end soon because LTO is expensive to produce, the first year decline rates are extremely high requiring many new wells each year to maintain or increase production and the most productive locations have already been drilled. It is unprofitable for the Exploration and Production (E&P) companies. Full-year free cash flow has been negative for most tight oil E&P companies since 2009. The total negative cash flow for the 19 largest E&P companies totaled 10.5B in 2014. The surge in US LTO production created an imbalance in global supply and demand and resulted in a 50% decrease in the price of oil. The tight-oil producers who were are financially marginal at an oil price greater than 90 per barrel are even more so at the lower price. As a result the surge in US production of LTO is declining, making it unlikely that world oil production will exceed the present value of about 28 Gb/yr (equivalent to 75 mb/d) (175 EJ/yr). Many of the SRES (IPCC Special Report on Emission Scenarios) and RCP (IPCC Representative Concentration Pathways) projections (especially RCP 8.5 and 6) require CO2 emissions due to oil consumption in the range of 32 Gb/yr to 57 Gb/yr (200 to 350 EJ/yr). The higher values would require a doubling of world oil production. It is highly uncertain whether the higher CO2 scenarios will be reached. This is an element of uncertainty missing from most considerations of future climate change.

  15. Dating breaks for global crude oil prices and their volatility : a possible price band for global crude prices

    International Nuclear Information System (INIS)

    Liao, H.C.; Suen, Y.B.

    2006-01-01

    Global oil prices are among the most visible of all historical commodity records. This paper presented and applied the multiple structural change method developed by Baie and Perron (BP) to investigate daily West Texas Intermediate (WTI) spot prices from January 2, 1986 to December 30, 2004 as collected by the United States Department of Energy. In particular, the BP statistical method was used to estimate the number and location of structural breaks in global oil price series and their volatility. The objective was to precisely determine the exact structural break in the global oil market. The breaks for both the price of oil and its volatility were successfully located and dated. It was shown that the break for the structural change in oil prices occurred on November 12, 1999, where the average oil price was U$19.02 per barrel previously, and U$30.90 afterwards. Two breaks for oil price volatility were also found, the first in March 1991 and the other in December 1995. The volatility was measured in 3 regimes by dividing these 2 breaks. It was suggested that since oil prices increased more rapidly during the second half of 2004 and 2005, it is possible that another structural break may be found during this period. However, it wa cautioned that it is difficult to find another significant break until more data becomes available, particularly for periods characterized by a rapid increase in price. 24 refs., 5 tabs., 2 figs

  16. Mideast crisis and pricing in the oil futures market

    International Nuclear Information System (INIS)

    Hamed, A.H.

    1992-01-01

    Futures prices and the corresponding expected future cash price on crude oil markets differ. The difference is hypothesized to be due to a time varying risk premium where risk is due to either cash price volatility, oil output volatility, or unanticipated oil price movement. And this risk is measured by the conditional variance of the forementioned sources of risk. Using the ARCH (Autoregressive Conditional Heterosckdasticity) model and its extensions this study addresses the determination of the time varying risk premium. Political unrest in the Mideast oil exporting countries is hypothesized to be a determinant of the time varying risk premium in the oil futures market. The empirical tests allow informative inferences to be drawn on the role of political unrest in pricing oil

  17. The asymmetric effects of oil price and monetary policy shocks. A nonlinear VAR approach

    International Nuclear Information System (INIS)

    Rahman, Sajjadur; Serletis, Apostolos

    2010-01-01

    In this paper we investigate the asymmetric effects of oil price shocks and monetary policy on macroeconomic activity, using monthly data for the United States, over the period from 1983:1 to 2008:12. In doing so, we use a logistic smooth transition vector autoregression (VAR), as detailed in Terasvirta and Anderson (1992) and Weise (1999), and make a distinction between two oil price volatility regimes (high and low), using the realized oil price volatility as a switching variable. We isolate the effects of oil price and monetary policy shocks and their asymmetry on output growth and, following Koop et al. (1996) and Weise (1999), we employ simulation methods to calculate Generalized Impulse Response Functions (GIRFs) to trace the effects of independent shocks on the conditional means of the variables. Our results suggest that in addition to the price of oil, oil price volatility has an impact on macroeconomic activity and that monetary policy is not only reinforcing the effects of oil price shocks on output, it is also contributing to the asymmetric response of output to oil price shocks. (author)

  18. The asymmetric effects of oil price and monetary policy shocks. A nonlinear VAR approach

    Energy Technology Data Exchange (ETDEWEB)

    Rahman, Sajjadur [Department of Economics, University of Saskatchewan, Saskatoon (Canada); Serletis, Apostolos [Department of Economics, University of Calgary, Calgary (Canada)

    2010-11-15

    In this paper we investigate the asymmetric effects of oil price shocks and monetary policy on macroeconomic activity, using monthly data for the United States, over the period from 1983:1 to 2008:12. In doing so, we use a logistic smooth transition vector autoregression (VAR), as detailed in Terasvirta and Anderson (1992) and Weise (1999), and make a distinction between two oil price volatility regimes (high and low), using the realized oil price volatility as a switching variable. We isolate the effects of oil price and monetary policy shocks and their asymmetry on output growth and, following Koop et al. (1996) and Weise (1999), we employ simulation methods to calculate Generalized Impulse Response Functions (GIRFs) to trace the effects of independent shocks on the conditional means of the variables. Our results suggest that in addition to the price of oil, oil price volatility has an impact on macroeconomic activity and that monetary policy is not only reinforcing the effects of oil price shocks on output, it is also contributing to the asymmetric response of output to oil price shocks. (author)

  19. Assessment of OPEC's oil pricing policy from 1970 to 2000

    International Nuclear Information System (INIS)

    Kazim, A.

    2007-01-01

    The Organization of the Petroleum Exporting Countries (OPEC) is an international organization, composed of eleven developing countries that rely on oil revenues as their main source of income. The member countries include: Algeria, Indonesia, Iran, Iraq, Kuwait, Libya, Nigeria, Qatar, United Arab Emirates, Saudi Arabia and Venezuela. These member countries collectively supply approximately 40 per cent of the world's oil output, and possess more than three-quarters of the world's total proven crude oil reserves. Currently, OPEC's approximate rate of oil production and export is 25 million barrels per day with Saudi Arabia alone contributing about one third of this rate. However, in the recent years the economy of major OPEC countries mainly Saudi Arabia, Venezuela, Algeria, Indonesia and Iran has been significantly hindered by the instability of oil price as a result of fluctuations in the American dollar. This paper presented a simple economical assessment of OPEC's oil pricing policy from 1970 to 2000. Fluctuations of the oil price in American dollars were analysed against other major currencies. Their influences on the generated revenues were determined. In order to explore the most advantageous scenario, the oil pricing policy during that period was compared with two baskets of currencies. It was concluded that results indicated that OPEC members could have achieved a total current savings of at least 170 billion dollars if the price of oil was linked to a basket of currencies from 1970 to 2000. These savings were approximately equivalent to the revenues generated in at least 1 year of OPEC's average rate of oil production and export. It was recommended that OPEC members should consider restructuring their oil pricing policy by taking effective measures such as linking the price of oil to a basket of currencies in order to stabilize the price of oil and secure stable revenue generated from their oil production and export. 17 refs., 1 tab., 4 figs

  20. Impact of the oil price and fiscal facilities on offshore mining at the Dutch Continental Shelf

    International Nuclear Information System (INIS)

    Cate, Arie ten; Mulder, Machiel

    2007-01-01

    The surge in the oil price has raised questions about the magnitude of global reserves of oil. According to some analysts, the current high oil prices indicate a looming decline in the global production of oil. Others believe, however, that the increased level of the oil price encourages exploration and production activities, bringing the oil price to a lower equilibrium level in the near future. In this paper, we assess the impact of the unit profit (depending on the oil price) as well as fiscal facilities on the level of exploration and development drillings in the Dutch Continental Shelf. We conducted an econometric analysis of exploration and development drillings in the Dutch Continental Shelf over the period 1981-2003. Except a few fiscal changes, the regulatory framework for offshore activities in the Netherlands, the so-called 'small fields policy' was unchanged in this period. We find that the expected unit profit based on a moving average of the oil price significantly explains the level of both exploration and development drillings. In addition, the analysis suggests that fiscal facilities have only a temporary effect on exploration activities but are more important for development activities. We conclude that the oil price is a major economic incentive for activities of the mining industry

  1. Oil prices and financial stress: A volatility spillover analysis

    International Nuclear Information System (INIS)

    Nazlioglu, Saban; Soytas, Ugur; Gupta, Rangan

    2015-01-01

    This paper examines whether there is a volatility transmission between oil prices and financial stress by means of the volatility spillover test. We employ WTI crude oil prices and Cleveland financial stress index for the period 1991–2014 and divide the sample into pre-crisis, in-crisis, and post-crisis periods due to the downward trend in oil price in 2008. The volatility model estimations indicate that oil prices and financial stress index are dominated by long-run volatility. The volatility spillover causality test supports evidence on risk transfer from oil prices to financial stress before the crisis and from financial stress to oil prices after the crisis. The impulse response analysis shows that the volatility transmission pattern has similar dynamics before and after the crisis and is characterized by higher and long-lived effects during the crisis. Our results have implications for both policy makers and investors, and for future work. -- Highlights: •Volatility spillover between oil prices and financial stress index is examined. •Analysis is conducted for sub-periods: pre-crisis, in-crisis, and post-crisis •Oil prices spill on financial stress before the crisis, but spillover reversed after the crisis. •Volatility transmission pattern has similar dynamics before and after the crisis. •Implications for investors and policy makers are discussed

  2. Predicting Malaysian palm oil price using Extreme Value Theory

    OpenAIRE

    Chuangchid, K; Sriboonchitta, S; Rahman, S; Wiboonpongse, A

    2013-01-01

    This paper uses the extreme value theory (EVT) to predict extreme price events of Malaysian palm oil in the future, based on monthly futures price data for a 25 year period (mid-1986 to mid-2011). Model diagnostic has confirmed non-normal distribution of palm oil price data, thereby justifying the use of EVT. Two principal approaches to model extreme values – the Block Maxima (BM) and Peak-Over- Threshold (POT) models – were used. Both models revealed that the palm oil price will peak at ...

  3. OIL PRICES AND THE KUWAITI AND THE SAUDI STOCK MARKETS

    Directory of Open Access Journals (Sweden)

    Samih Antoine Azar

    2013-01-01

    Full Text Available The purpose of this paper is to test the impact of oil price shocks on the stock markets of the two biggest and most liquid GCC equity markets, those of Kuwait and Saudi Arabia. It is expected that the two stock markets react similarly to oil price shocks. Actually the results show heterogeneity in responses. While there is prima facie evidence that both stock markets are influenced positively and linearly by oil price shocks, this evidence disappears when additional variables are added to the regressions. With the larger specification oil price shocks do not impact, neither linearly or non-linearly, Kuwaiti stock markets. By contrast Saudi markets react non-linearly to both oil price shocks and shocks in the US S&P 500. The only common feature for both equity markets is the positive relation with the shocks in the US S&P 500.

  4. Improving the Forecasting Accuracy of Crude Oil Prices

    Directory of Open Access Journals (Sweden)

    Xuluo Yin

    2018-02-01

    Full Text Available Currently, oil is the key element of energy sustainability, and its prices and economy have a strong mutual influence. Modeling a good method to accurately predict oil prices over long future horizons is challenging and of great interest to investors and policymakers. This paper forecasts oil prices using many predictor variables with a new time-varying weight combination approach. In doing so, we first use five single-variable time-varying parameter models to predict crude oil prices separately. Second, every special model is assigned a time-varying weight by the new combination approach. Finally, the forecasting results of oil prices are calculated. The results show that the paper’s method is robust and performs well compared to random walk.

  5. Time series ARIMA models for daily price of palm oil

    Science.gov (United States)

    Ariff, Noratiqah Mohd; Zamhawari, Nor Hashimah; Bakar, Mohd Aftar Abu

    2015-02-01

    Palm oil is deemed as one of the most important commodity that forms the economic backbone of Malaysia. Modeling and forecasting the daily price of palm oil is of great interest for Malaysia's economic growth. In this study, time series ARIMA models are used to fit the daily price of palm oil. The Akaike Infromation Criterion (AIC), Akaike Infromation Criterion with a correction for finite sample sizes (AICc) and Bayesian Information Criterion (BIC) are used to compare between different ARIMA models being considered. It is found that ARIMA(1,2,1) model is suitable for daily price of crude palm oil in Malaysia for the year 2010 to 2012.

  6. Crude oil pricing report, issue 89, December 1992

    International Nuclear Information System (INIS)

    1992-01-01

    This report is prepared by the Canadian Oil Markets and Emergency Planning Division (COMEP), Energy, Mines and Resources Canada. It provides a reference for domestic and imported crude oil prices in Canadian markets and illustrates the competitive position of Canadian crude in the U.S. market. The information in this report is in part based on the Crude Oil Pricing Survey (COPS), conducted by COMEP, of Canadian refiners' domestic crude oil purchases, refinery receipts, imports and data from trade publications as well as industry pricing bulletins. 8 tabs

  7. Terms of trade, countertrade and recycling under oil price shocks

    Energy Technology Data Exchange (ETDEWEB)

    Tolonen, Y. (Turku School of Economics (Finland))

    1989-01-01

    In this paper we first analyse the consequences of oil pricedisturbances in a model of two oil importing and one oil producingcountries. Attention is given both to the terms of trade between theoil importers and to the recycling of the oil revenues of the oilproducer to imports from these oil importing countries. Secondly,extending the model by another oil producer we discuss a situationwhere a part of the oil trade takes place on a countertrade basis. Thequestion is whether such countertrade deals are advantageous or notwhen oil price shocks occur. Various factors are presented upon whichthe outcome depends. 12 refs., 2 tabs., 1 app.

  8. The ties between natural gas and oil prices

    International Nuclear Information System (INIS)

    Maisonnier, G.

    2006-01-01

    On the European continent, the price of natural gas is still tied directly and to a great extent to the price of competing energies, especially heavy fuel oil and home heating oil. In other words, the gas market is linked to the oil market. Under the effect of deregulation, this model is likely to change in the future, making a shift like that which took place on the American market in the past. (author)

  9. The price of crude oil between 1973 et 2014: a cyclical trend over the long term

    International Nuclear Information System (INIS)

    Bui Xuan Hoi

    2015-01-01

    In 2014, given the geopolitical events occurring in regions that are highly sensitive for oil markets - Iraq, Iran, Syria, Russia, the Ukraine, etc. -, one could have expected a hike in the price of a barrel of crude oil. In fact, the opposite happened. Does this mean the end of a cycle characterised by high prices and the beginning of a new cycle epitomised by low prices on the international market place? What is really the mechanism behind long term price formation? Some of the answers emanate from the analysis of the 1973-2014 period. (author)

  10. Australian Coal Company Risk Factors: Coal and Oil Prices

    OpenAIRE

    M. Zahid Hasan; Ronald A. Ratti

    2014-01-01

    Examination of panel data on listed coal companies on the Australian exchange over January 1999 to February 2010 suggests that market return, interest rate premium, foreign exchange rate risk, and coal price returns are statistically significant in determining the excess return on coal companies’ stock. Coal price return and oil price return increases have statistically significant positive effects on coal company stock returns. A one per cent rise in coal price raises coal company returns ...

  11. Examining the impacts of oil price changes on economic indicators: A panel approach

    Science.gov (United States)

    Lim, Kah Boon; Sek, Siok Kun

    2017-04-01

    The impact of oil price on global economy is evident from many studies and research findings. In this study, we extend the research on examining the impact of oil price changes on economic indicators in terms of economic growth and inflation by comparing different groups of economies (high income versus low income countries and oil importing versus oil exporting countries). Our main objective is to reveal if such impact varies across country income level/ development and oil dependency. In addition, we also seek to compare the impacts of oil price relative to the other factors indicators (money supply, foreign direct investment, exchange rate, government expenditure, inflation and gross domestic product) on economy. For the purpose of this study, the co-integration regression (DOLS and FMOLS) techniques are applied to the panel dataset of four groups of economies which contain 10 countries in each panel dataset. The analysis results show that oil price is not the main determinant although it can have a significant impact on inflation and economic growth across all groups of economies. The three main determinants of economic growth are exchange rate, aggregate demand and government expenditure while the determinants of inflation are aggregate supply and exchange rate. Furthermore, our result also concludes that oil price has a positive impact in oil exporting economies but it shows a negative impact in oil importing economies due to the oil dependency factor.

  12. CONTAGIOUS EFFECTS OF OIL PRICES ON ASIAN STOCK MARKETS’ BEHAVIOUR

    Directory of Open Access Journals (Sweden)

    Jok-Tong Wan

    2016-05-01

    Full Text Available The main objective of this study is to examine the stock markets’ shock due to the effect of the price of oil in the East Asia Region. Particularly, this study examines if there is stock market interdependence during global oil price shocks (sudden changes for a sample of five total oil importers (the Philippines, Hong Kong SAR, Taiwan, South Korea, and Japan, four net oil importers (Indonesia, Singapore, Thailand, and China, and one net oil exporter (Malaysia between 1999 and 2014. From the result, an oil price change is collectively found to have a small but significant positive impact on the stock markets, in particular where a sudden decrease in oil prices tends to cause a stock market downturn and volatility. The world economy’s spending, financial investments in oil futures and foreign investment by oil rich nations are some underlying motives for inducing this oil-stock positive relation. The same direction of time-varying conditional correlations is found across East Asian stock markets during negative oil price shocks. The integration among East Asian stock markets is inducing the oil shock contagion to be transmitted from direct oil-affected countries (South Korea, Hong Kong, and Singapore to non-direct oil affected countries’ (Japan and Taiwan stock markets. In spite of a long practiced ASEAN+3 macroeconomics surveillance process and Early Warning System (EWS which can be customized for stock markets to prevent or detect the oil risk, hedging against initial oil-affected stock markets and a stronger influence by the East Asian countries in the global world of oil and capital investment are strongly suggested.

  13. The price of fuel oil for power generation

    International Nuclear Information System (INIS)

    Hsu, G.J.Y.; Liaw, Y.Y.C.

    1987-01-01

    This study establishes a break-even analysis model for fuel oil generation. The authors calculate the break-even points of the international fuel oil prices for the existing coal-fired power plants, the nuclear power plants and the newly-built coal/oil-fired power plants

  14. Oil Price and Economic Resilience. Romania’s Case

    Directory of Open Access Journals (Sweden)

    Monica Dudian

    2017-02-01

    Full Text Available The emerging economies that do not face fiscal, monetary and foreign debt pressures can use the savings generated by lower oil prices for investments in order to generate economic growth. Hence, there is no doubt that the oil price affects the economy’s resilience to shocks. The importance of this impact derives from the magnitude of the price change and its diffusion within the economy. Moreover, the sustainability of any company and of the economy as a whole is subject to the availability and the price of the energy resources. The cost of these resources is an important variable used in the majority of the models regarding the assessment of sustainable development. Therefore, this article examines the impact of the oil price changes on industrial production in Romania. We found that, similar to other countries, in Romania, the growth rate of industrial production responds more strongly to a rise in oil prices. Thus, the oil Brent price has an asymmetric effect on the production evolution. This finding suggests that macroeconomic stabilization is more difficult to achieve when the oil price rises.

  15. Evidence of efficiency in United States futures oil prices

    International Nuclear Information System (INIS)

    Duchock, C.J. Jr.

    1991-01-01

    The purpose of this study was to use the Perpetual Contract Data for West Texas Intermediate Crude Oil futures contracts in studies of the US crude oil futures market prices to determine whether the market was efficient. Analysis was done to determine whether the Perpetual Contract Data exhibited the characteristics of a random walk. Daily data on US crude oil perpetual futures contract prices were analyzed using standard statistical techniques and spectral analysis techniques. Spectral analysis was used on the first differences of daily data to determine whether the price change data contained cyclicality. Results showed no significant cycles or autocorrelation in the data, concluding there was evidence to indicate the Perpetual Contract Data for futures prices is a random walk. This is similar to the conclusion by Howard (1988) that spot West Texas Intermediate Crude prices follow a random walk. Thus, both the futures and spot markets efficiently capture current information in prices

  16. Oil prices, speculation, and fundamentals. Interpreting causal relations among spot and futures prices

    International Nuclear Information System (INIS)

    Kaufmann, Robert K.; Ullman, Ben

    2009-01-01

    A consensus that the world oil market is unified begs the question, where do innovations in oil prices enter the market? Here we investigate where changes in the price of crude oil originate and how they spread by examining causal relationships among prices for crude oils from North America, Europe, Africa, and the Middle East on both spot and futures markets. Results indicate that innovations first appear in spot prices for Dubai-Fateh and spread to other spot and futures prices while other innovations first appear in the far month contract for West Texas Intermediate and spread to other exchanges and contracts. Links between spot and futures markets are relatively weak and this may have allowed the long-run relationship between spot and future prices to change after September 2004. Together, these results suggest that market fundamentals initiated a long-term increase in oil prices that was exacerbated by speculators, who recognized an increase in the probability that oil prices would rise over time. (author)

  17. Oil price shocks and policy implications the emergence of U.S. tight oil production: a case study

    OpenAIRE

    Voth, Jeffrey Michael

    2015-01-01

    How have shocks to supply and demand affected global oil prices; and what are key policy implications following the resurgence of oil production in the United States? Highlights: − The recent collapse in global oil prices was dominated by oversupply. − The future of tight oil in the United States is vulnerable to obstacles beyond oil prices. − Opinions on tight oil from the Top 25 think tank organizations are considered. Global oil prices have fallen more than fifty percent since ...

  18. Modelling the impact of oil prices on Vietnam's stock prices

    Energy Technology Data Exchange (ETDEWEB)

    Narayan, Paresh Kumar [School of Accounting, Economics and Finance, Deakin University, Victoria 3125 (Australia); Narayan, Seema [School of Economics, Finance and Marketing, Royal Melbourne Institute of Technology University, Melbourne (Australia)

    2010-01-15

    The goal of this paper is to model the impact of oil prices on Vietnam's stock prices. We use daily data for the period 2000-2008 and include the nominal exchange rate as an additional determinant of stock prices. We find that stock prices, oil prices and nominal exchange rates are cointegrated, and oil prices have a positive and statistically significant impact on stock prices. This result is inconsistent with theoretical expectations. The growth of the Vietnamese stock market was accompanied by rising oil prices. However, the boom of the stock market was marked by increasing foreign portfolio investment inflows which are estimated to have doubled from US$0.9 billion in 2005 to US$1.9 billion in 2006. There was also a change in preferences from holding foreign currencies and domestic bank deposits to stocks local market participants, and there was a rise in leveraged investment in stock as well as investments on behalf of relatives living abroad. It seems that the impact of these internal and domestic factors were more dominant than the oil price rise on the Vietnamese stock market. (author)

  19. An analysis of price and volatility transmission in butter, palm oil and crude oil markets

    Directory of Open Access Journals (Sweden)

    Dennis Bergmann

    2016-11-01

    Full Text Available Abstract Recent changes to the common agricultural policy (CAP saw a shift to greater market orientation for the EU dairy industry. Given this reorientation, the volatility of EU dairy commodity prices has sharply increased, creating the need to develop proper risk management tools to protect farmers’ income and to ensure stable prices for processors and consumers. In addition, there is a perceived threat that these commodities may be replaced by cheaper substitutes, such as palm oil, as dairy commodity prices become more volatile. Global production of palm oil almost doubled over the last decade while butter production remained relatively flat. Palm oil also serves as a feedstock for biodiesel production, thus establishing a new link between agricultural commodities and crude oil. Price and volatility transmission effects between EU and World butter prices, as well as between butter, palm oil and crude oil prices, before and after the Luxembourg agreement, are analysed. Vector autoregression (VAR models are applied to capture price transmission effects between these markets. These are combined with a multivariate GARCH model to account for potential volatility transmission. Results indicate strong price and volatility transmission effects between EU and World butter prices. EU butter shocks further spillover to palm oil volatility. In addition, there is evidence that oil prices spillover to World butter prices and World butter volatility.

  20. The oil price and non-OPEC supplies

    International Nuclear Information System (INIS)

    Seymour, A.

    1991-01-01

    The design of any effective oil pricing policy by producers depends on a knowledge of the nature and complexity of supply responses. This book examines the development of non-OPEX oil reserves on a field-by-filed basis to determine how much of the increase in non-OPEC production could be attributable to the price shocks and how much was unambiguously due to decisions and developments that preceded the price shocks. Results are presented in eighteen case-studies of non-OPEC producers. This study will be of interest to economists and planners specializing in the upstream and to policy makers both in oil producing and consuming countries

  1. Jump spillover between oil prices and exchange rates

    Science.gov (United States)

    Li, Xiao-Ping; Zhou, Chun-Yang; Wu, Chong-Feng

    2017-11-01

    In this paper, we investigate the jump spillover effects between oil prices and exchange rates. To identify the latent historical jumps for exchange rates and oil prices, we use a Bayesian MCMC approach to estimate the stochastic volatility model with correlated jumps in both returns and volatilities for each. We examine the simultaneous jump intensities and the conditional jump spillover probabilities between oil prices and exchange rates, finding strong evidence of jump spillover effects. Further analysis shows that the jump spillovers are mainly due to exogenous events such as financial crises and geopolitical events. Thus, the findings have important implications for financial risk management.

  2. Explaining the so-called 'price premium' in oil markets

    International Nuclear Information System (INIS)

    Merino, A.; Ortiz, A.

    2005-01-01

    This paper explores the information content of several variables on the so-called ''oil price premium over fundamentals''. We define this premium as the difference between the market oil price and the estimated price consistent with the OECD's relative industry stock level. By using Granger causality tests and extended regressions we test the systematic ability of a broad set of variables to explain the premium. We find that speculation in the oil market - measured by non-commercial long positions - can improve the traditional model, reducing the premium significantly during some parts of the sample. (author)

  3. Alaska North Slope crude oil price and the behavior of diesel prices in California

    International Nuclear Information System (INIS)

    Adrangi, B.; Chatrath, A.; Raffiee, K.; Ripple, R.

    2001-01-01

    In this paper we analyze the price dynamics of Alaska North Slope crude oil and L.A. diesel fuel prices. We employ VAR methodology and bivariate GARCH model to show that there is a strong evidence of a uni-directional causal relationship between the two prices. The L.A. diesel market is found to bear the majority of the burden of convergence when there is a price spread. This finding may be seen as being consistent with the general consensus that price discovery emanates from the larger, more liquid market where trading volume is concentrated. The contestability of the West Coast crude oil market tends to cause it to react relatively competitively, while the lack of contestability for the West Coast diesel market tends to limit its competitiveness, causing price adjustment to be slow but to follow the price signals of crude oil. Our findings also suggest that the derived demand theory of input pricing may not hold in this case. The Alaska North Slope crude oil price is the driving force in changes of L.A. diesel price

  4. Explaining the price of oil 1971–2014 : The need to use reliable data on oil discovery and to account for ‘mid-point’ peak

    International Nuclear Information System (INIS)

    Bentley, Roger; Bentley, Yongmei

    2015-01-01

    This paper explains, in broad terms, the price of oil from 1971 to 2014 and focuses on the large price increases after 1973 and 2004. The explanation for these increases includes the quantity of conventional oil (i.e. oil in fields) discovered, combined with the decline in production of this oil that occurs typically once ‘mid-point’ is passed. Many past explanations of oil price have overlooked these two constraints, and hence provided insufficient explanations of oil price. Reliable data on conventional oil discovery cannot come from public-domain proved (‘1P’) oil reserves, as such data are very misleading. Instead oil industry backdated proved-plus-probable (‘2P’) data must be used. It is recognised that accessing 2P data can be expensive, or difficult. The ‘mid-point’ peak of conventional oil production results from a region's field-size distribution, its fall-off in oil discovery, and the physics of field decline. In terms of the future price of oil, estimates of the global recoverable resource of conventional oil show that the oil price will remain high on average, unless dramatic changes occur in the volume of production and cost of non-conventional oils, or if the overall demand for oil were to decline. The paper concludes with policy recommendations. - Highlights: • We show that understanding the oil price is assisted by reliable data on oil discovery. • These data need to be combined with the ‘peak at mid-point’ concept. • Results show that the world has probably entered an era of constrained oil supply. • Oil price stays high unless non-conventional supply, or demand, change significantly.

  5. The impact of oil prices on the banking system in the Gulf Cooperation Council

    Directory of Open Access Journals (Sweden)

    Padamja Khandelwal

    2017-06-01

    Full Text Available This paper examines the links between global oil price movements and macroeconomic and financial developments in the Gulf Cooperation Council (GCC. The GCC economies can be adversely affected by low oil prices due to their high dependence on oil and gas exports and macro-financial linkages which can amplify the effects of oil price movements over the financial cycle. Historically, systemic financial sector risks rose in the GCC countries with the oil price upswing in the years before the global financial crisis. Against this background, a range of multivariate panel approaches, including a panel vector autoregression approach, were applied to macroeconomic and bank-level data covering the six GCC economies and span 1999–2014. The paper finds strong empirical evidence of feedback loops between oil price movements, bank balance sheets, and asset prices. Empirical evidence also suggests that bank capital and provisioning have behaved countercyclically through the cycle. That is, these ratios increase during good times. This has helped strengthen the resilience of the financial system to the oil price decline since mid-2014.

  6. World market of crude oil - review of possible scenarios of forecasting for the crude oil price movement

    International Nuclear Information System (INIS)

    Janevski, Risto

    2003-01-01

    Throughout most of 2002, crude oil prices were solidly within the range preferred by producers in the Organization of Petroleum Exporting Countries (OPEC), $22 to $28 per barrel for the OPEC 'basket price' (Fig. 1). OPEC producers have been demonstrating disciplined adherence to announced cutbacks in production. Early in 2003, a dramatic upward turn in crude oil prices was brought about by a combination of two factors. First, a general strike against the Chavez regime resulted in a sudden drop in Venezuela's oil exports. Although other OPEC producers agreed to increase production to make up for the lost Venezuelan output, the obvious strain on worldwide spare capacity kept prices high. Second, price volatility was exacerbated by fears of war in Iraq. (Original)

  7. Report of the work-group on oil price volatility

    International Nuclear Information System (INIS)

    2010-01-01

    This report proposes a detailed analysis of the past and possible evolution of oil markets in terms of price volatility, financial strategies and pricing. It discusses current reflections and actions aiming at improving oil market operation: the Joint Oil Data Initiative or JODI for oil data transparency, the works of the International Energy Forum (IEF), and the conceivable reforms of the oil financial markets. Then, it proposes and discusses four main strategic orientations for a better knowledge of oil markets by France and the improvement of their operation and transparency: to support IEF initiatives, to apply to oil financial markets the global orientations defined by the G20, to set additional specific rules, and to propose a true oil strategy for the European Union. These orientations are then broken up in 22 propositions

  8. Relationship between Gold and Oil Prices and Stock Market Returns

    Directory of Open Access Journals (Sweden)

    Muhammad Mansoor Baig

    2013-10-01

    Full Text Available This study objective to examine the relationship between gold prices, oil prices and KSE100 return. This study important for the investor whose want to invest in real assets and financial assets. This study helps investor to achieve the portfolio diversification. This study uses the monthly data of gold prices, KSE100, and oil prices for the period of 2000 to 2010 (monthly. This study applied Descriptive statistics, Augmented Dickey Fuller test Phillip Perron test, Johansen and Jelseluis Co-integration test, Variance Decomposition test to find relationship. This study concludes that Gold prices growth, Oil prices growth and KSE100 return have no significant relationship in the long run. This study provides information to the investors who want to get the benefit of diversification by investing in Gold, Oil and stock market. In the current era Gold prices and oil prices are fluctuating day by day and investors think that stock returns may or may not affected by these fluctuations. This study is unique because it focuses on current issues and takes the current data in this research to help the investment institutions or portfolio managers.

  9. Economic Exposure to Oil Price Shocks and the Fragility of Oil-Exporting Countries

    Directory of Open Access Journals (Sweden)

    Toon Vandyck

    2018-04-01

    Full Text Available From a price range between 100 and 120 USD (U.S. dollars per barrel in 2011–2014, the crude oil price fell from mid-2014 onwards, reaching a level of 26 USD per barrel in January 2016. Here we assess the economic consequences of this strong decrease in the oil price. A retrospective analysis based on data of the past 25 years sheds light on the vulnerability of oil-producing regions to the oil price volatility. Gross domestic product (GDP and government revenues in many Gulf countries exhibit a strong dependence on oil, while more diversified economies improve resilience to oil price shocks. The lack of a sovereign wealth fund, in combination with limited oil reserves, makes parts of Sub-Saharan Africa particularly vulnerable to sustained periods of low oil prices. Next, we estimate the macroeconomic impacts of a 60% oil price drop for all regions in the world. A numerical simulation yields a global GDP increase of roughly 1% and illustrates how the regional impact on GDP relates to oil export dependence. Finally, we reflect on the broader implications (such as migration flows of macroeconomic responses to oil prices and look ahead to the challenge of structural change in a world committed to limiting global warming.

  10. Oil prices and the U.S. business cycle

    International Nuclear Information System (INIS)

    Lescaroux, F.

    2006-06-01

    The recent surge in oil prices rakes up old fears and the spectre of stagflation hangs over worldwide economic growth's forecasts. After 30 years of research however analysts still disagree about the influence of oil prices on macro-economic variations and the estimations of the consequences of a costlier barrel differ. As to the United States for example, elasticities between real GDP and oil price form a wide spectrum stretching from a value close to -1% to -11,6%. In this context, we try to identify the potential sources of instability in the oil price-macro-economy relationship in order to explain the width of this range. First we draw attention to the distinction between the effects of an upward disequilibrium and of an upturn in the equilibrium in the oil price series. This distinction lets us share the range of published results in two parts: the elasticities of real American GDP with respect to an upward imbalance and with respect to a rise in the equilibrium price would lie approximately in the ranges extending, respectively, from -1% to -5,5% and from -5% to -11,6%. We direct our work towards the analysis of the consequences of short-run variations in the oil prices on the U.S. business cycle. We identify a set of influences which condition the vulnerability of an economy and then construct an econometric sectoral and non-linear model inspired from Marshall's theory. The simulations conducted let us explain the long-run weakening in the oil price-macro-economy relationship and highlight the prominent part played by imported inflation and monetary policy in the crisis of the 70's and 80's. According to the values of the structural factors in the model and to the shape of the oil price short-run disequilibrium, the elasticities evaluated cover the whole range of published elasticities. (author)

  11. Statoil`s exposure to oil price fluctuations: An analysis on investment level and stock price

    OpenAIRE

    Nåmdal, Synne Meling; Meling, Kristine

    2015-01-01

    Master's thesis in Finance In this thesis an econometric analysis of Statoil’s investment level and stock return has been performed, with purpose of examine the affect that fluctuations in the price of crude oil has on these variables. The results revealed that crude oil prices have a significant impact on Statoil´s stock returns, due to the direct impact the crude oil price has on Statoil’s cash flows. The investment level does not seem to be affected by either of the variables in the ana...

  12. Statoil`s exposure to oil price fluctuations: An analysis on investment level and stock price

    OpenAIRE

    Nåmdal, Synne Meling; Meling, Kristine

    2015-01-01

    In this thesis an econometric analysis of Statoil’s investment level and stock return has been performed, with purpose of examine the affect that fluctuations in the price of crude oil has on these variables. The results revealed that crude oil prices have a significant impact on Statoil´s stock returns, due to the direct impact the crude oil price has on Statoil’s cash flows. The investment level does not seem to be affected by either of the variables in the analysis, and this could indicate...

  13. World oil prices and domestic implications : a Russian perspective

    International Nuclear Information System (INIS)

    Khartukov, E.M.

    2001-01-01

    This paper presented an analysis of the impact of world oil prices on the future developments of Russia's oil sector and provided an international comparison of projected crude oil prices. The main factors that influence the price dynamics of the contemporary world oil market were described with reference to how these dynamics affect Russia's internal markets. World oil prices are determined by a mixture of politics and economics. The author suggested that Russian crude will not reach the desired parity with world oil prices. It was predicted that at the very best, by 2030, domestic crude oil sales will be 80 per cent of world-market proceeds. Russian refineries will enjoy cheaper feedstock. Regardless of future world price levels, the standstill in modernizing Russia's refining sector will further narrow the profit base, causing a massive run of Russian crude to more lucrative, external markets. It was emphasized that the survival of Russia's refining sector can only be guaranteed by radical upgrading of their outdated refineries. 4 refs., 2 tabs., 4 figs

  14. Macroeconomic impacts of oil price shocks in Asian economies

    International Nuclear Information System (INIS)

    Cunado, Juncal; Jo, Soojin; Perez de Gracia, Fernando

    2015-01-01

    This paper analyzes the macroeconomic impact of structural oil shocks in four of the top oil-consuming Asian economies, using a VAR model. We identify three different structural oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock. The main results suggest that economic activity and prices respond very differently to oil price shocks depending on their types. In particular, an oil supply shock has a limited impact, while a demand shock driven by global economic activity has a significant positive effect in all four Asian countries examined. Our finding also includes that policy tools such as interest rates and exchange rates help mitigating the effects of supply shocks in Japan and Korea; however, they can be more actively used in response to demands shocks. - Highlights: • We analyze the effects of three structural oil price shocks on Asian economies. • Supply shocks have limited impact on the economic activity of Asian economies examined. • Demand shocks due to economic activity boosts GDP of all economies. • CPIs in India and Indonesia were only marginally affected by oil price shocks. • Monetary and exchange rate tools help mitigating supply shocks in Korea and Japan.

  15. Price dynamics of crude oil and the regional ethylene markets

    International Nuclear Information System (INIS)

    Masih, Mansur; Algahtani, Ibrahim; De Mello, Lurion

    2010-01-01

    This paper is the first attempt to investigate: (1) is the crude oil (WTI) price significantly related to the regional ethylene prices in the Naphtha intensive ethylene markets of the Far East, North West Europe, and the Mediterranean? (2) What drives the regional ethylene prices? The paper is motivated by the recent and growing debate on the lead-lag relationship between crude oil and ethylene prices. Our findings, based on the long-run structural modelling approach of Pesaran and Shin, and subject to the limitations of the study, tend to suggest: (1) crude oil (WTI) price is cointegrated with the regional ethylene prices (2) our within-sample error-correction model results tend to indicate that although the ethylene prices in North West Europe and the Mediterranean were weakly endogenous, the Far East ethylene price was weakly exogenous both in the short and long term. These results are consistent, during most of the period under review (2000.1-2006.4) with the surge in demand for ethylene throughout the Far East, particularly in China and South Korea. However, during the post-sample forecast period as evidenced in our variance decompositions analysis, the emergence of WTI as a leading player as well, is consistent with the recent surge in WTI price (fuelled mainly, among others, by the strong hedging activities in the WTI futures/options and refining tightness) reflecting the growing importance of input cost in determining the dynamic interactions of input and product prices. (author)

  16. Jumps and stochastic volatility in oil prices: Time series evidence

    International Nuclear Information System (INIS)

    Larsson, Karl; Nossman, Marcus

    2011-01-01

    In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time series study of crude oil prices. We compare four different models and estimate them using the Markov Chain Monte Carlo method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model clearly outperforms the others in terms of a superior fit to data. Our estimation method allows us to obtain a detailed study of oil prices during two periods of extreme market stress included in our sample; the Gulf war and the recent financial crisis. We also address the economic significance of model choice in two option pricing applications. The implied volatilities generated by the different estimated models are compared and we price a real option to develop an oil field. Our findings indicate that model choice can have a material effect on the option values.

  17. Dynamic Relationship between Crude Oil Price, Exchange Rate and ...

    African Journals Online (AJOL)

    DrNneka

    Second, since Hamilton (1983) documented the impact of crude oil price volatility .... Hariri,2013) sourced from the U.S. Energy Information Administration (EIA). .... is explained by identifying the relative importance of a variable in generating.

  18. The Fall of Oil Prices and the Effects on Biofuels.

    Science.gov (United States)

    Reboredo, Fernando H; Lidon, Fernando; Pessoa, Fernanda; Ramalho, José C

    2016-01-01

    This analysis is focused on the effect of the abrupt decline of oil prices on biofuels, particularly second-generation ethanol. The efforts to decrease the production costs of biofuels, especially cellulosic ethanol (CE), will be greatly threatened if current oil prices remain low, especially since production is not slowing. Only huge state subsidies could alleviate this threat, but the challenge is to persuade citizens that this sacrifice is worthwhile. Copyright © 2015 Elsevier Ltd. All rights reserved.

  19. Pricing and crude oil self-sufficiency. [Canada

    Energy Technology Data Exchange (ETDEWEB)

    1979-11-01

    How Canada should go about achieving crude oil self-sufficiency and who should develop Canada's petroleum resources are discussed. The degree of urgency and the level of commitment required by government, industry, and consumers are evaluated. What the price should be of Canadian crude oil and who should establish this price are also discussed. The economic aspects of investment, return, and taxation are also included. (DC)

  20. Global oil prices, macroeconomic fundamentals and China's commodity sector comovements

    International Nuclear Information System (INIS)

    Chen, Peng

    2015-01-01

    This paper investigates the common movements of commodity sectors in China as well as the economic underpinnings of the comovements. We employ a Bayesian dynamic latent factor model to disentangle the common and idiosyncratic sector-specific factors of the prices of a group of China's commodity sectors: petrochemicals, grains, energy, non-ferrous metals, oils & fats, and softs. The results indicate that the common factor accounts for a significant portion of the fluctuations of China's commodity sectors, providing evidence of the strong commodity sector comovements in China. We further use a VAR model to link the common movements across China's commodity sectors to the underlying determinants, including global oil price shocks and domestic macroeconomic fluctuations. We find that the global oil price shocks have strong effects on the common movements across commodity sectors in China in addition to its domestic macroeconomic fluctuations at long horizons. However, at short horizons, the common movements across commodity sectors in China respond more strongly to the global oil shocks than to its domestic macroeconomic fluctuations. - Highlights: • We examine the comovements of commodity prices at the industry level in China. • The common factor accounts for a significant portion of commodity sector fluctuations. • We investigate the joint impacts of global oil price shocks and domestic macro fluctuations on the comovements. • The global oil price shocks have persistent and strong effects on the comovements. • The impacts of domestic macro fluctuations on the comovements differ at short and long horizons.

  1. Do structural oil-market shocks affect stock prices?

    International Nuclear Information System (INIS)

    Apergis, Nicholas; Miller, Stephen M.

    2009-01-01

    This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample of eight countries - Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the analysis proceeds in two steps. First, modifying the procedure of Kilian [Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review.], we employ a vector error-correction or vector autoregressive model to decompose oil-price changes into three components: oil-supply shocks, global aggregate-demand shocks, and global oil-demand shocks. The last component relates to specific idiosyncratic features of the oil market, such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies. Second, recovering the oil-supply shocks, global aggregate-demand shocks, and global oil-demand shocks from the first analysis, we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries. We find that international stock market returns do not respond in a large way to oil market shocks. That is, the significant effects that exist prove small in magnitude. (author)

  2. Higher prices at Canadian gas pumps: international crude oil prices or local market concentration? An empirical investigation

    International Nuclear Information System (INIS)

    Anindya Sen

    2003-01-01

    There is little consensus on whether higher retail gasoline prices in Canada are the result of international crude oil price fluctuations or local market power exercised by large vertically-integrated firms. I find that although both increasing local market concentration and higher average monthly wholesale prices are positively and significantly associated with higher retail prices, wholesale prices are more important than local market concentration. Similarly, crude oil prices are more important than the number of local wholesalers in determining wholesale prices. These results suggest that movements in gasoline prices are largely the result of input price fluctuations rather than local market structure. (author)

  3. Oil price dynamics and speculation. A multivariate financial approach

    International Nuclear Information System (INIS)

    Cifarelli, Giulio; Paladino, Giovanna

    2010-01-01

    This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause considerable departures of prices from their fundamental values. We investigate this hypothesis using a modified CAPM following Shiller (1984) and Sentana and Wadhwani (1992). First, a univariate GARCH(1,1)-M is estimated assuming the risk premium to be a function of the conditional oil price volatility. The single factor model, however, is outperformed by the multifactor ICAPM (Merton, 1973), which takes into account a larger investment opportunity set. Analysis is then carried out using a trivariate CCC GARCH-M model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior. We find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time-varying first and second order conditional moment interactions affects both the CAPM and feedback trading components of the model. Despite the difficulties, we identify a significant role played by speculation in the oil market, which is consistent with the observed large daily upward and downward shifts in prices - a clear evidence that it is not a fundamental-driven market. Thus, from a policy point of view - given the impact of volatile oil prices on global inflation and growth - actions that monitor speculative activities on commodity markets more effectively are to be welcomed. (author)

  4. Oil price dynamics and speculation. A multivariate financial approach

    Energy Technology Data Exchange (ETDEWEB)

    Cifarelli, Giulio [University of Florence, Dipartimento di Scienze Economiche, via delle Pandette 9, 50127, Florence (Italy); Paladino, Giovanna [Economics Department, LUISS University (Italy); BIIS International Division (Italy)

    2010-03-15

    This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause considerable departures of prices from their fundamental values. We investigate this hypothesis using a modified CAPM following Shiller (1984) and Sentana and Wadhwani (1992). First, a univariate GARCH(1,1)-M is estimated assuming the risk premium to be a function of the conditional oil price volatility. The single factor model, however, is outperformed by the multifactor ICAPM (Merton, 1973), which takes into account a larger investment opportunity set. Analysis is then carried out using a trivariate CCC GARCH-M model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior. We find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time-varying first and second order conditional moment interactions affects both the CAPM and feedback trading components of the model. Despite the difficulties, we identify a significant role played by speculation in the oil market, which is consistent with the observed large daily upward and downward shifts in prices - a clear evidence that it is not a fundamental-driven market. Thus, from a policy point of view - given the impact of volatile oil prices on global inflation and growth - actions that monitor speculative activities on commodity markets more effectively are to be welcomed. (author)

  5. Relationships between oil price shocks and stock market: An empirical analysis from China

    International Nuclear Information System (INIS)

    Cong Ronggang; Wei Yiming; Jiao Jianlin; Fan Ying

    2008-01-01

    This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing index and some oil companies. Some 'important' oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain much more than interest rates for manufacturing index

  6. Relationships between oil price shocks and stock market: An empirical analysis from China

    DEFF Research Database (Denmark)

    Cong, Ronggang; Wei, Yi-Ming; Jiao, Jian-Ling

    2008-01-01

    This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing...... index and some oil companies. Some “important” oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain...

  7. Oil price fluctuations and employment in Kern County: A Vector Error Correction approach

    International Nuclear Information System (INIS)

    Michieka, Nyakundi M.; Gearhart, Richard

    2015-01-01

    Kern County is one of the country's largest oil producing regions, in which the oil industry employs a significant fraction of the labor force in the county. In this study, the short- and long-run effects of oil price fluctuations on employment in Kern County are investigated using a Vector Error Correction model (VECM). Empirical results over the period 1990:01 to 2015:03 suggest long-run causality running from both WTI and Brent oil prices to employment. No causality is detected in the short-run. Kern County should formulate appropriate policies, which take into account the fact that changes in oil prices have long-term effects on employment rather than short term. - Highlights: • Kern County is California's largest oil producing region. • Historical data has shown increased employment during periods of high oil prices. • We study the short- and long run effects of oil prices on employment in Kern County. • Results suggest long run causality running from WTI and Brent to employment. • No causality is detected in the short run.

  8. Price elasticity of demand for crude oil: estimates for 23 countries

    International Nuclear Information System (INIS)

    Cooper, J.C.B.

    2003-01-01

    This paper uses a multiple regression model derived from an adaptation of Nerlove's partial adjustment model to estimate both the short-run and long-run elasticities of demand for crude oil in 23 countries. The estimates so obtained confirm that the demand for crude oil internationally is highly insensitive to changes in price. (author)

  9. Evidence on the nature and extent of the relationship between oil prices and equity values in the UK

    International Nuclear Information System (INIS)

    El-Sharif, Idris; Brown, Dick; Burton, Bruce; Nixon, Bill; Russell, Alex

    2005-01-01

    A number of recent studies have found a link between movements in crude oil prices and equity values. However, the literature concentrates almost exclusively on North American and Australian data and is primarily conducted at a stock market-wide level. The present study therefore investigates the relationship between the price of crude oil and equity values in the oil and gas sector using data relating to the United Kingdom, the largest oil producer in the European Union. The evidence indicates that the relationship is always positive, often highly significant and reflects the direct impact of volatility in the price of crude oil on share values within the sector. (Author)

  10. Agricultural Commodities and Crude Oil Prices: An Empirical Investigation of Their Relationship

    Directory of Open Access Journals (Sweden)

    Eleni Zafeiriou

    2018-04-01

    Full Text Available Within the last few decades, the extended use of biodiesel and bioethanol has established interlinkages between energy markets and agricultural commodity markets. The present work examines the bivariate relationships of crude oil–corn and crude oil–soybean futures prices with the assistance of the ARDL cointegration approach. Our findings confirm that crude oil prices affect the prices of agricultural products used in the production of biodiesel, as well as of ethanol, validating the interaction of energy and agricultural commodity markets. The practical value of the present work is that the findings provide policy makers with insight into the interlinkages between agricultural and energy markets to promote biodiesel or bioethanol by affecting crude oil prices. The novelty of the present work stands on the use of futures prices that incorporate all available information and thus are more appropriate to identify supply and demand shocks and price spillovers than real prices. Finally, the period of study includes extremely low, as well as extremely high, crude oil prices and the results illustrate that biofuels cannot be substituted for crude oil and protect economies from energy volatility.

  11. Mercurious Oil Index (MOI) : A new indicator for the global oil price

    OpenAIRE

    Leeuw, de, J.; Dorsman, A.B.; Nelissen, R.

    2008-01-01

    “The” price of oil does not exist. This paper describes the development of a (new) oil index, the Mercurious Oil Index (MOI). This index can be seen as an indicator for the global price of oil. We will discuss why this index is a reliable global price reference, and why it is superior to and more useful than the existing indices and/or benchmarks. Indices are very helpful instruments for the tracking and prediction of markets, to measure performance or sentiment and to form a solid basis on w...

  12. Oil prices without OPEC: a walk on the supply-side

    Energy Technology Data Exchange (ETDEWEB)

    Roumasset, J.; Isaak, D.; Fesharaki, F.

    1983-07-01

    The rapid increases of oil prices during the 1970s are commonly regarded as prima facie evidence of monopoly power. This paper applies the theory of exhaustible resources to estimate the equilibrium oil prices (also known as efficiency prices) which would have prevailed in the absence of monopoly profits. The theory incorporates an extraction cost function wherein cost is a rising function of the cumulative amount of oil extracted. The model is used to simulate efficiency price paths under a variety of assumptions about extraction costs and real interest rates which are representative of perceptions at various times in recent history. These simulations show that the price increases of 1974 and 1979 to 1980 can be explained as a response to supply-side changes, especially changes in the perceived cost of the backstop technology and the fall in real interest rates in the mid and late 1970s. Thus, while efficiency prices were high in the 1970s, relative to extraction costs, it is plausible that average monopoly profits were negligible. This situation appears to have changed in the early 1980s due to the return of real interest rates to their historic levels. In early 1982, even spot prices, already below official prices, were substantially above the estimated efficiency or competitive price level. On the other hand, efficiency prices remain far above extraction costs. Thus, even if the price-setting power of OPEC were eroded by competition, the real price of oil would not fall below the level established in 1974. 18 references, 1 figure, 2 tables.

  13. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries

    OpenAIRE

    Filis, George; Degiannakis, S.; Floros, C.

    2011-01-01

    The paper investigates the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries. A DCC-GARCH-GJR approach is employed to test the above hypothesis based on data from six countries; Oil-exporting: Canada, Mexico, Brazil and Oil-importing: USA, Germany, Netherlands. The contemporaneous correlation results show that i) although time-varying correlation does not differ for oil-importing and oil-exporting economies, ii) the correlation i...

  14. Slow oil shocks and the 'weakening of the oil price-macroeconomy relationship'

    International Nuclear Information System (INIS)

    Naccache, Theo

    2010-01-01

    Many papers have been documenting and analysing the asymmetry and the weakening of the oil price-macroeconomy relationship as off the early eighties. While there seems to be a consensus about the factors causing the asymmetry, namely adjustment costs which offset the benefits of low energy prices, the debate about the weakening of the relationship is not over yet. Moreover, the alternative oil price specifications which have been proposed by, and to restore the stability of the relationship fail to Granger cause output or unemployment in post-1980 data. By using the concept of accelerations of the oil price, we show that the weakening of this relationship corresponds to the appearance of slow oil price increases, which have less impact on the economy. When filtering out these slow oil price variations from the sample, we manage to rehabilitate the causality running from the oil price to the macroeconomy and show that far from weakening, the oil price accelerations-GDP relationship has even been growing stronger since the early eighties. (author)

  15. Oil production, oil prices, and macroeconomic adjustment under different wage assumptions

    International Nuclear Information System (INIS)

    Harvie, C.; Maleka, P.T.

    1992-01-01

    In a previous paper one of the authors developed a simple model to try to identify the possible macroeconomic adjustment processes arising in an economy experiencing a temporary period of oil production, under alternative wage adjustment assumptions, namely nominal and real wage rigidity. Certain assumptions were made regarding the characteristics of actual production, the permanent revenues generated from that oil production, and the net exports/imports of oil. The role of the price of oil, and possible changes in that price was essentially ignored. Here we attempt to incorporate the price of oil, as well as changes in that price, in conjunction with the production of oil, the objective being to identify the contribution which the price of oil, and changes in it, make to the adjustment process itself. The emphasis in this paper is not given to a mathematical derivation and analysis of the model's dynamics of adjustment or its comparative statics, but rather to the derivation of simulation results from the model, for a specific assumed case, using a numerical algorithm program, conducive to the type of theoretical framework utilized here. The results presented suggest that although the adjustment profiles of the macroeconomic variables of interest, for either wage adjustment assumption, remain fundamentally the same, the magnitude of these adjustments is increased. Hence to derive a more accurate picture of the dimensions of adjustment of these macroeconomic variables, it is essential to include the price of oil as well as changes in that price. (Author)

  16. Three Papers on the Political Consequences of Oil Prices

    Science.gov (United States)

    Crespo Tenorio, Adriana

    Given the importance of oil in any country's energy needs, it should not be surprising that the increasing volatility of oil prices in the past decades is a challenge for most political systems. While the political and economic impact of natural resource wealth in general is strongly debated, the political consequences of these sudden shifts have gone understudied. This dissertation examines the relationship between politics and oil from a new perspective. First, I implement a Bayesian meta-regression model to assess the state of research on the natural resource curse, finding that the measurement of resources is one of the most important sources of the debate. In the second part of the dissertation, I turn to discussing the impact of fuel prices on politics. I argue that at the domestic level, rational leaders feel pressured to compensate for oil price shocks because they are held accountable for these shifts by their constituents. This hypothesis is tested using Bayesian multilevel models that allow state and time-varying information to be matched to individual survey responses for a sample of voters in nine American states between 2008 and 2009. This chapter shows that fuel prices are related to appraisals of the economy only during electoral periods. The results also provide evidence that the degree to which voters use fuel prices to evaluate the president's performance varies greatly across party lines. At the global level, I posit in the final chapter that cross-country cooperation in other issue areas is pursued to mitigate the economic impact of oil price volatility. By developing a Bayesian bivariate Poisson change-point model and implementing it using MCMC methods, I find that fuel price shifts are related to increased trade networks, especially for oil-exporting countries.

  17. Sudan: the human price of oil

    International Nuclear Information System (INIS)

    2000-01-01

    This series of eight information bulletins by Amnesty International is intended to draw attention to the link between the massive human rights violations by the security forces of the Government of Sudan and various government-allied militia forces, and the oil operations by foreign companies (which include Canada's Talisman Energy, Denim Pipeline Construction Ltd., and Roll'n Oil Field Industries). The human rights violations cited by Amnesty International include atrocities and the forcible internal displacement of large populations of local people living in the oil fields and surrounding areas. It is alleged that the foreign oil companies involved in this lucrative operation expect the Sudanese government to provide a secure environment and protect oil company staff and assets, and turn a blind eye to human rights violations by the government security forces in the name of protecting the security of the oil-producing areas. In raising awareness of the problem, Amnesty International hopes to establish a dialogue with the foreign oil companies and sensitize them to their responsibilities to promote a better human rights environment in the areas where they are active in oil exploration and extraction. The information bulletins provide a background to the problem; detail the human rights violations committed in the name of oil; establish the link between oil, weapons purchases by the Sudanese government and human rights violations; describe the oil companies and their responsibilities and international standards on internal displacement of populations; and makes recommendations to the Government of Sudan, to the armed opposition groups, to the oil companies and to the international community at large to bring an end to the human rights violations that over the last three decades have cost tens of thousands of lives and displaced hundreds of thousands of people

  18. Financial market pressure, tacit collusion and oil price formation

    International Nuclear Information System (INIS)

    Aune, Finn Roar; Rosendahl, Knut Einar; Mohn, Klaus; Osmundsen, Petter

    2010-01-01

    We explore a hypothesis that a change in investment behaviour among international oil companies (IOC) towards the end of the 1990s had long-lived effects on OPEC strategies, and on oil price formation. Coordinated investment constraints were imposed on the IOCs through financial market pressures for improved short-term profitability in the wake of the Asian economic crisis. A partial equilibrium model for the global oil market is applied to compare the effects of these tacitly collusive capital constraints on oil supply with an alternative characterised by industrial stability. Our results suggest that even temporary economic and financial shocks may have a long-term impact on oil price formation. (author)

  19. Oil Price Volatility, Economic Growth and the Hedging Role of Renewable Energy

    OpenAIRE

    Rentschler, Jun E.

    2013-01-01

    This paper investigates the adverse effects of oil price volatility on economic activity and the extent to which countries can hedge against such effects by using renewable energy. By considering the Realized Volatility of oil prices, rather than following the standard approach of considering oil price shocks in levels, the effects of factor price uncertainty on economic activity are analy...

  20. Economic impact of oil price shocks on the Turkish economy in the coming decades: A dynamic CGE analysis

    International Nuclear Information System (INIS)

    Aydin, Levent; Acar, Mustafa

    2011-01-01

    As a small open economy, Turkey depends on both imported oil and natural gas, importing almost two-thirds of its primary energy demand. This paper analyzes the economic effects of oil price shocks for Turkey as a small, open oil- and gas-importing country. To analyze the potential long-term effects of oil price shocks on macroeconomic variables of interest, including GDP, consumer price inflation, indirect tax revenues, trade balance, and carbon emissions, we developed TurGEM-D, a dynamic multisectoral general equilibrium model for the Turkish economy. Using TurGEM-D, we analyzed the impact of oil price shocks under three distinct scenarios: reference, high and low oil prices. The simulation results show that these oil prices have very significant effects on macro indicators and carbon emissions in the Turkish economy. - Research highlights: → World oil prices are projected to rise in coming decade, to around $185 per barrel in 2020. → If this occurs in Turkey, how to quantitatively evaluate the impacts on Turkish economy? → Cumulative output loss resulting from world oil prices increased by 121% can be as large as 14%. → Cumulative inflation as measured by CPI index can be nearly 5% under a fixed exchange rate regime. → Cumulative carbon emissions fall by around 51.7% without using any tools for climate change policy.

  1. Oil price shocks and long run price and import demand behavior

    International Nuclear Information System (INIS)

    Kleibergen, F.; Van Dijk, H.K.; Urbain, J.P.

    1997-01-01

    The effect which the oil price time series has on the long run properties of Vector AutoRegressive (VAR) models for price levels and import demand is investigated. As the oil price variable is assumed to be weakly exogenous for the long run parameters, a cointegration testing procedure allowing for weakly exogenous variables is developed using a LU decomposition of the long run multiplier matrix. The likelihood based cointegration test statistics, Wald, Likelihood Ratio and Lagrange Multiplier, are constructed and their limiting distributions derived. Using these tests, we find that incorporating the oil price in a model for the domestic or import price level of seven industrialized countries decreases the long run memory of the inflation rate. Second, we find that the results for import demand can be classified with respect to the oil importing or exporting status of the specific country. The result for Japan is typical as its import price is not influenced by gnp in the long run, which is the case for all other countries. 31 refs

  2. Decrease of oil prices: economic boom, ecologic challenge

    International Nuclear Information System (INIS)

    Saussay, Aurelien; Guillou, Antoine; Boissel, Charles

    2015-01-01

    After having outlined how oil price collapse changes the economic deal, the authors analyse the determining factors of this collapse: slowing demand, exceeding supply, financialization of oil markets, no decision of reduction of production by the OPEC, decision by major companies to postpone investments rather than to re-balance short-term supply, production adjustment related to shale oil production. The second part analyses and discusses the economic consequences of oil price collapse: immediate impact on the French economy (reduction of the energy bill, different effects on the different economic actors, main related risks), economic scenarios on a medium term (contribution of models of macro-economic balance, possible economic growth of 0.4 due to oil price reduction, uncertain behaviour of economic actors, risk of deflation). In the third part, the authors make some proposals aimed at adapting the economy in order to take advantage of oil price reduction: to support energy transition with a required reform of energy taxing (for example for automotive fuels), to invest associated savings in energy transition and in transport infrastructure, to help households and companies in their energy transition

  3. Growth and oil price: A study of causal relationships in small Pacific Island countries

    Energy Technology Data Exchange (ETDEWEB)

    Jayaraman, T.K. [School of Economics, Faculty of Business and Economics, The University of the South Pacific, Laucala Bay Road, Suva (Fiji); Choong, Chee-Keong [Department of Economics and Finance, Faculty of Business and Finance, Universiti Tunku Abdul Rahman (Perak Campus), Jalan Universiti, Bandar Barat, 31900 Kampar, Perak Darul Ridzuan (Malaysia)], E-mail: choongck@utar.edu.my

    2009-06-15

    This paper investigates the nexus between economic growth and oil price in small Pacific Island countries (PICs). Except Papua New Guinea, none of the 14 PICs has fossil any fuel resources. Consequently, the other 13 PICs are totally dependent on oil imports for their economic activities. Since PICs have limited foreign exchange earning capacities, as they have a very narrow range of exports and are highly dependent on foreign aid, high oil prices in recent months have seriously tested their economic resilience. This paper applies the ARDL bounds testing methodology to four selected PICs, Samoa, Solomon Islands, Tonga and Vanuatu, which have consistent and reliable time series of data, with a view to assess the impact of oil price on economic growth. The findings are that oil price, gross domestic product and international reserve are cointegrated in all the four PICs. Further, both in the long and short runs, we observe that there is a uni-directional relationship as causality linkage runs only from oil price and international reserves to economic growth. The paper makes some policy recommendations.

  4. Growth and oil price. A study of causal relationships in small Pacific Island countries

    Energy Technology Data Exchange (ETDEWEB)

    Jayaraman, T.K. [School of Economics, Faculty of Business and Economics, The University of the South Pacific, Laucala Bay Road, Suva (Fiji); Choong, Chee-Keong [Department of Economics and Finance, Faculty of Business and Finance, Universiti Tunku Abdul Rahman (Perak Campus), Jalan Universiti, Bandar Barat, 31900 Kampar, Perak Darul Ridzuan (Malaysia)

    2009-06-15

    This paper investigates the nexus between economic growth and oil price in small Pacific Island countries (PICs). Except Papua New Guinea, none of the 14 PICs has fossil any fuel resources. Consequently, the other 13 PICs are totally dependent on oil imports for their economic activities. Since PICs have limited foreign exchange earning capacities, as they have a very narrow range of exports and are highly dependent on foreign aid, high oil prices in recent months have seriously tested their economic resilience. This paper applies the ARDL bounds testing methodology to four selected PICs, Samoa, Solomon Islands, Tonga and Vanuatu, which have consistent and reliable time series of data, with a view to assess the impact of oil price on economic growth. The findings are that oil price, gross domestic product and international reserve are cointegrated in all the four PICs. Further, both in the long and short runs, we observe that there is a uni-directional relationship as causality linkage runs only from oil price and international reserves to economic growth. The paper makes some policy recommendations. (author)

  5. Growth and oil price: A study of causal relationships in small Pacific Island countries

    International Nuclear Information System (INIS)

    Jayaraman, T.K.; Choong, Chee-Keong

    2009-01-01

    This paper investigates the nexus between economic growth and oil price in small Pacific Island countries (PICs). Except Papua New Guinea, none of the 14 PICs has fossil any fuel resources. Consequently, the other 13 PICs are totally dependent on oil imports for their economic activities. Since PICs have limited foreign exchange earning capacities, as they have a very narrow range of exports and are highly dependent on foreign aid, high oil prices in recent months have seriously tested their economic resilience. This paper applies the ARDL bounds testing methodology to four selected PICs, Samoa, Solomon Islands, Tonga and Vanuatu, which have consistent and reliable time series of data, with a view to assess the impact of oil price on economic growth. The findings are that oil price, gross domestic product and international reserve are cointegrated in all the four PICs. Further, both in the long and short runs, we observe that there is a uni-directional relationship as causality linkage runs only from oil price and international reserves to economic growth. The paper makes some policy recommendations.

  6. Oil Price Rise and the Great Recession of 2008

    Directory of Open Access Journals (Sweden)

    Mehdi Siamak MONADJEMI

    2017-02-01

    Full Text Available The financial crises of 2007-2008, caused wide-spread falling output and unemployment, in the affected countries and also globally. The severity of the recession was such that it was called the “Great Recession”. As a result of an increase in demand from China and India, at the same time, oil prices rose significantly. The empirical results from this study show that oil price changes negatively affected global growth rate in the 1970s but not in the 1990s and 2000s. These results suggest that the Great Recession in 2008 that initiated by the financial crises, was independent of a significant rise in oil prices.

  7. Global economic activity and crude oil prices. A cointegration analysis

    International Nuclear Information System (INIS)

    He, Yanan; Wang, Shouyang; Lai, Kin Keung

    2010-01-01

    This paper empirically investigates the cointegrating relationship between crude oil prices and global economic activity. The Kilian economic index is used as an indicator of global economic activity. Based on a supply-demand framework and the cointegration theory, we find that real futures prices of crude oil are cointegrated with the Kilian economic index and a trade weighted US dollar index, and crude oil prices are influenced significantly by fluctuations in the Kilian economic index through both long-run equilibrium conditions and short-run impacts. We also develop an empirically stable, data-coherent and single-equation error-correction model (ECM) which has sensible economic properties. Empirical results based on the ECM show that the adjustment implied by a permanent change in the Kilian economic index is a relatively drawn-out process. (author)

  8. The effect of oil price volatility on strategic investment

    International Nuclear Information System (INIS)

    Henriques, Irene; Sadorsky, Perry

    2011-01-01

    In this paper, we investigate how oil price volatility affects the strategic investment decisions of a large panel of US firms. This paper uses key insights from the real options literature to develop a model of a company's strategic investment and shows how changes in oil price volatility can impact strategic investment decisions. The model is estimated using recently developed generalized method of moment estimation techniques for panel data sets. Empirical results are presented to show that there is a U shaped relationship between oil price volatility and firm investment. This is consistent with the predictions from the strategic growth options literature. The results should be useful to decision makers, investors, managers, policy makers and others who need to make strategic investment decisions in an uncertain world. (author)

  9. 75 FR 34959 - Five-Year Review of Oil Pipeline Pricing Index

    Science.gov (United States)

    2010-06-21

    ...] Five-Year Review of Oil Pipeline Pricing Index June 15, 2010. AGENCY: Federal Energy Regulatory... comments on its five-year review of the oil pipeline pricing index established in Revisions to Oil Pipeline...-year review of the oil pricing index, the Commission adopted an index of PPI+1.3 for the five-year...

  10. Revisiting the impacts of oil price increases on monetary policy implementation in the largest oil importers

    Directory of Open Access Journals (Sweden)

    Nurtac Yildirim

    2015-06-01

    Full Text Available The aim of this paper is to test the impacts of oil price increases on monetary policy implementation in the largest oil importers. For that purpose, we estimate structural vector error correction (SVEC models to show the impacts of oil price increases on industrial production, consumer prices and immediate interest rates which are the elements of Taylor rule for the four largest oil importers (the USA, the EU, China and Japan. Our results indicate that oil price increases transmit to output and inflation and lead to fluctuations in industrial production, consumer prices and immediate interest rates which in turn influence the monetary policy stance in the following periods. The basic conclusion of research is that the channels through which oil prices affect output, inflation and interest rates should be identified by the monetary policy authorities of the USA, the EU, China and Japan. We also emphasize the importance of the determination of the optimal monetary policy framework to eliminate the negative consequences of oil price increases.

  11. OPEC announcements and their effects on crude oil prices

    International Nuclear Information System (INIS)

    Lin, Sharon Xiaowen; Tamvakis, Michael

    2010-01-01

    We investigate evidence on the effects of OPEC announcements on world oil prices by examining announcements from both official conferences and ministerial meetings on major international crudes, including the key benchmarks and several other heavy and light grades. With data from 1982 to 2008, we use event study methodology and find differentiation in the magnitude and significance of market responses to OPEC quota decisions under different price bands. We also find some (weak) evidence of differentiation between light and heavy crude grades. (author)

  12. High prices on electric power now again?

    International Nuclear Information System (INIS)

    Doorman, Gerard

    2003-01-01

    Deregulation of the electric power market has yielded low prices for the consumers throughout the 1990s. Consumption has now increased considerably, but little new production has been added. This results in high prices in dry years, but to understand this one must understand price formation in the Nordic spot market. The high prices are a powerful signal to the consumers to reduce consumption, but they are also a signal to the producers to seize any opportunity to increase production. However, the construction of new dams etc. stirs up the environmentalists. Ordinary consumers may protect themselves against high prices by signing fixed-price contracts. For those who can tolerate price fluctuations, spot prices are a better alternative than the standard contract with variable price

  13. Depletion of petroleum reserves and oil price trends

    International Nuclear Information System (INIS)

    Babusiaux, D.; Bauquis, P.R.

    2007-11-01

    This document is the report of the 'Petroleum' working group from the French Academy of Technology, coordinated by the authors in the framework of the Energy and Climate Change Commission chaired by Gilbert Ruelle. Firstly, it present a synthesis of the different points of view about reserves and the peak of world oil production (optimists, pessimists and official organizations). Secondly, it analyzes the mechanisms of oil price formation focusing on the long term without addressing the question of short term market behaviour. The last section is devoted to possible scenarios of the evolution of production profiles and prices in the medium and long term. (authors)

  14. Oil futures prices and stock management: a cointegration analysis

    International Nuclear Information System (INIS)

    Balabanoff, Stefan

    1995-01-01

    Futures markets are considered important to hedgers and speculators. Therefore, they are relevant to stock management. This issue is tested empirically by applying the methodology of cointegration analysis and causality testing to the monthly average of commercial (non-strategic) primary oil stocks and monthly averages of West Texas Intermediate (WTI) spot and futures prices for one month and three-months delivery, over the period January 1985 to June 1993. Long-and short-run relations are presented. The results support the view of a relationships between futures prices and oil stocks. (author)

  15. Decrease in oil prices: which consequences for the World economy and for France?

    International Nuclear Information System (INIS)

    Camatte, Hadrien; Darmet-Cucchiarini, Maxime; Gillet, Thomas; Masson, Emmanuelle; Meslin, Olivier; Padieu, Ysaline; Tavin, Alexandre

    2016-04-01

    Based of various statistics, this public publication first describes that, since summer 2014, oil price has been sharply decreasing (70 per cent) and keeping on decreasing due to a still abundant supply (with non conventional oil in the USA, and a still high production by OPEC countries) and a rather disappointing demand. It also outlines that production commitments stated by producers are still uncertain. This paper then notices that this oil price decrease could remain positive for World economy, but that some short term factors still impair these effects. This positive effect is indeed slow to appear in importing countries. Negative effects in exporting countries are emphasized by local economic policies. Moreover, there could be a transmission of this oil price decrease to the financial sphere, oil price decrease makes monetary policy more complex, and the USA are increasingly exposed to the energy sector activity. The third part shows that oil prices have positive effects on the French economy. They favour a wealth transfer from the rest of the world to the French economy, positively impacts companies margins and household purchase power on the short and medium terms, induces external effects as it also affects trade partners, and could result in an activity gain in the finance bill

  16. Oil price movements and globalisation: is there a connection?

    International Nuclear Information System (INIS)

    Looney, R.

    2002-01-01

    There has been considerable speculation over the years concerning the cost of large oil price movements ('shocks') to consuming countries. For the advanced industrial countries, the conventional wisdom appears to be that, because these economies are becoming more service-oriented, less energy is needed per unit of gross domestic product (GDP) and hence a lessening of the economic costs associated with increased oil prices. On the other hand, because many newly industrialised or catching-up countries are entering a phase of energy-intensive industrialisation, the same oil shocks are placing an increasing burden on these economies. One can easily argue, however, that industrialisation is only one facet of economic change taking place in the world economy. Conceivably, the rapid pace of increased globalisation may significantly modify these patterns. To test this proposition, an operational definition of globalisation is developed and shown to be positively associated with the strength of oil price shocks. The main finding of the study is that increased globalisation appears to be strengthening the impact of oil price shocks in the advanced industrial countries, but to a much lesser extent in the newly industrialising countries. (author)

  17. The oil price outlook in 1993 and beyond

    International Nuclear Information System (INIS)

    Himona, I.

    1993-01-01

    The current reality appears to be that with spare capacity at a minimum, oil prices are truly market determined. OPEC's actual and perceived influence is much reduced, and in the absence of the cartel, in view of weak demand and fears about potential Iraqi return, the market's tendency is to push prices down. On the basis of ''good, old fashioned extrapolation'', if the current spare capacity of 5 percent is enough to depress prices, then the forecast excess capacity of 19 per cent by 1996 will certainly achieve as much - if not more. (author)

  18. Oil prices: demand and supply. Lesson plan

    OpenAIRE

    anonymous

    2005-01-01

    Upon completion of this lesson, students will be able to list the determinants of demand and supply, recognize which factors will cause demand curves or supply curves to shift, determine equilibrium using a demand/supply graph, and show the effects on price and quantity when equilibrium changes.

  19. The oil price and non-OPEC supplies

    International Nuclear Information System (INIS)

    Seymour, A.

    1990-01-01

    The purpose of this study is to examine in detail a major supply development - that of non-OPEC oil in the 1970s and 1980s - in order to determine whether a part, if any, of the increase in non-OPEC production after the price shocks was unambiguously due to decisions and developments that preceded the price shocks. This 'historical' approach which examines facts in detail and in their exact chronology enables us to disaggregate the increase in non-OPEC production into two parts; one that is totally independent of the price shocks and one that could not be said in all certainty to have been influenced by the price rise. This study thus provides a maximalist answer to the question: 'How much of the increase is non-OPEC supplies was due to the price shocks?' Our main finding however is that the maximum amount that can be attributed to the price rise is but a fraction of the total supply increase. As a foundation on which to generalize on the effect of the oil price shocks on non-OPEC supplies as a whole, case studies on eighteen non-OPEC producers are presented. These are: the UK, Norway, Egypt, Mexico, Angola, Cameron, the Congo, Brazil, Colombia, Peru, Australia, India, the Federation of Malaysia, Oman, the USA, Canada, the USSR and China. Together, these countries have accounted for over 90% of total cumulative non-OPEC supply between 1974 and 1987, inclusive. (author)

  20. Considering extraction constraints in long-term oil price modelling

    Energy Technology Data Exchange (ETDEWEB)

    Rehrl, Tobias; Friedrich, Rainer; Voss, Alfred

    2005-12-15

    Apart from divergence about the remaining global oil resources, the peak oil discussion can be reduced to a dispute about the time rate at which these resources can be supplied. On the one hand it is problematic to project oil supply trends without taking both - prices as well as supply costs - explicitly into account. On the other hand are supply cost estimates however itself heavily dependent on the underlying extraction rates and are actually only valid within a certain business-as-usual extraction rate scenario (which itself is the task to determine). In fact, even after having applied enhanced recovery technologies, the rate at which an oil field can be exploited is quite restricted. Above a certain level an additional extraction rate increase can only be costly achieved at risks of losses in the overall recoverable amounts of the oil reservoir and causes much higher marginal cost. This inflexibility in extraction can be overcome in principle by the access to new oil fields. This indicates why the discovery trend may roughly form the long-term oil production curve, at least for price-taking suppliers. The long term oil discovery trend itself can be described as a logistic process with the two opposed effects of learning and depletion. This leads to the well-known Hubbert curve. Several attempts have been made to incorporate economic variables econometrically into the Hubbert model. With this work we follow a somewhat inverse approach and integrate Hubbert curves in our Long-term Oil Price and EXtraction model LOPEX. In LOPEX we assume that non-OPEC oil production - as long as the oil can be profitably discovered and extracted - is restricted to follow self-regulative discovery trends described by Hubbert curves. Non-OPEC production in LOPEX therefore consists of those Hubbert cycles that are profitable, depending on supply cost and price. Endogenous and exogenous technical progress is extra integrated in different ways. LOPEX determines extraction and price

  1. Considering extraction constraints in long-term oil price modelling

    International Nuclear Information System (INIS)

    Rehrl, Tobias; Friedrich, Rainer; Voss, Alfred

    2005-01-01

    Apart from divergence about the remaining global oil resources, the peak oil discussion can be reduced to a dispute about the time rate at which these resources can be supplied. On the one hand it is problematic to project oil supply trends without taking both - prices as well as supply costs - explicitly into account. On the other hand are supply cost estimates however itself heavily dependent on the underlying extraction rates and are actually only valid within a certain business-as-usual extraction rate scenario (which itself is the task to determine). In fact, even after having applied enhanced recovery technologies, the rate at which an oil field can be exploited is quite restricted. Above a certain level an additional extraction rate increase can only be costly achieved at risks of losses in the overall recoverable amounts of the oil reservoir and causes much higher marginal cost. This inflexibility in extraction can be overcome in principle by the access to new oil fields. This indicates why the discovery trend may roughly form the long-term oil production curve, at least for price-taking suppliers. The long term oil discovery trend itself can be described as a logistic process with the two opposed effects of learning and depletion. This leads to the well-known Hubbert curve. Several attempts have been made to incorporate economic variables econometrically into the Hubbert model. With this work we follow a somewhat inverse approach and integrate Hubbert curves in our Long-term Oil Price and EXtraction model LOPEX. In LOPEX we assume that non-OPEC oil production - as long as the oil can be profitably discovered and extracted - is restricted to follow self-regulative discovery trends described by Hubbert curves. Non-OPEC production in LOPEX therefore consists of those Hubbert cycles that are profitable, depending on supply cost and price. Endogenous and exogenous technical progress is extra integrated in different ways. LOPEX determines extraction and price

  2. Quantifying uncertainties influencing the long-term impacts of oil prices on energy markets and carbon emissions

    Science.gov (United States)

    McCollum, David L.; Jewell, Jessica; Krey, Volker; Bazilian, Morgan; Fay, Marianne; Riahi, Keywan

    2016-07-01

    Oil prices have fluctuated remarkably in recent years. Previous studies have analysed the impacts of future oil prices on the energy system and greenhouse gas emissions, but none have quantitatively assessed how the broader, energy-system-wide impacts of diverging oil price futures depend on a suite of critical uncertainties. Here we use the MESSAGE integrated assessment model to study several factors potentially influencing this interaction, thereby shedding light on which future unknowns hold the most importance. We find that sustained low or high oil prices could have a major impact on the global energy system over the next several decades; and depending on how the fuel substitution dynamics play out, the carbon dioxide consequences could be significant (for example, between 5 and 20% of the budget for staying below the internationally agreed 2 ∘C target). Whether or not oil and gas prices decouple going forward is found to be the biggest uncertainty.

  3. A Green New Deal. Joined-up policies to solve the triple crunch of the credit crisis, climate change and high oil prices

    International Nuclear Information System (INIS)

    2008-07-01

    Meeting since early 2007, the membership of the Green New Deal Group is drawn to reflect a wide range of expertise relating to the current financial, energy and environmental crises. This report is the first publication of the Group. The global economy is facing a 'triple crunch'. It is a combination of a credit-fuelled financial crisis, accelerating climate change and soaring energy prices underpinned by an encroaching peak in oil production. These three overlapping events threaten to develop into a perfect storm, the like of which has not been seen since the Great Depression. To help prevent this from happening the members of the Green New Deal Group are proposing a Green New Deal. In the first half of this report they examine the financial, economic and environmental landscapes that are the backdrop to this triple crisis. In the second half, they propose a series of policies that can be used to tackle the problems that are identified

  4. US firms still restructuring, cutting costs under oil price uncertainty

    International Nuclear Information System (INIS)

    Koen, A.D.

    1994-01-01

    Despite more than a decade of downsizing, continuing uncertainty in oil markets is forcing US petroleum companies into another round of cutting and restructuring operations. Wellhead gas prices in the US, although still volatile, in the past 2 years have risen to levels adequate to allow profits for most producers in that sector. Higher gas reserves valuations have strengthened producers' overall balance sheets. But the slide in oil prices from the middle of fourth quarter 1993 until the recent upswing the past month has withered producers' financial performances and reserves values. With little prospect of significantly higher oil prices anytime soon, US companies feel they have little choice but to continue pressing cost cutting moves in order to sustain profits in the near term while at the same time earnings a higher return on investment in the long term. Petroleum company executives are overlooking almost no operating or investment strategy thought capable of bolstering the bottom line. Because no two US oil and gas companies are alike, each profit protection plan is a unique mix of similar solutions. Oil and gas production companies most often try to lower operating costs by vigorously selling noncore properties or business units and reducing staff. The paper discusses measures taken by oil and gas companies to lower costs

  5. Assessment of the relationship between oil prices and US oil stocks

    Energy Technology Data Exchange (ETDEWEB)

    Saif Ghouri, Salman [Business Environment Section, Corporate Planning Department, Qatar Petroleum, Doha (Qatar)]. E-mail: ghouri@qp.com.qa

    2006-11-15

    This paper qualitatively and quantitatively analyzes the relationship between US monthly ending oil stocks position with that of West Texas Intermediate (WTI) oil prices from February 1995 to July 2004. The paper concludes if other things are held constant, WTI is inversely related to the petroleum products (PPP), combined petroleum products and crude oil (CPPP), crude oil alone (Crude), total oil stocks including petroleum products, crude oil and strategic petroleum reserves SPR (Total), total gasoline (TGO), total distillate (TDO). It could not establish a statistically significant and negative relationship with SPR when run alone. One percent increase (decrease) in CPPP, PPP, Crude, Total, TGO and TDO leads to decrease (increase) in WTI, respectively, by 0.70, 0.43, 0.37, 0.97, 0.26 and 0.21 percent. Oil prices are largely influenced by total crude and Crude and PPP inventories levels while modestly with variations in gasoline and distillate stocks levels. Despite a healthy increase of over 22 percent in SPR from January 2001 to April 2004, it did not result in easing of oil prices. Primarily because SPR are meant for security of supply concern and are only released under extreme conditions by the President of United States, they are neither meant for the purposes of balancing supply-demand gap nor for the stability of oil prices. The aggressive SPR buildup in recent years is related to international terrorism, geopolitical situation in the Middle East, particularly in Iraq, that encourages US government to enhance its SPR to meet any short-term eventuality. The analyst must keep a close eye on CPPP and the total oil stocks variation to forecast WTI in the short run whilst gasoline and distillate influence oil prices modestly in the short run. SPR, on the other hand, are expected to play a pivotal role in balancing oil prices and in providing a critical resource for the economy in case of any major shortfall in the long run.

  6. Assessment of the relationship between oil prices and US oil stocks

    International Nuclear Information System (INIS)

    Saif Ghouri, Salman

    2006-01-01

    This paper qualitatively and quantitatively analyzes the relationship between US monthly ending oil stocks position with that of West Texas Intermediate (WTI) oil prices from February 1995 to July 2004. The paper concludes if other things are held constant, WTI is inversely related to the petroleum products (PPP), combined petroleum products and crude oil (CPPP), crude oil alone (Crude), total oil stocks including petroleum products, crude oil and strategic petroleum reserves SPR (Total), total gasoline (TGO), total distillate (TDO). It could not establish a statistically significant and negative relationship with SPR when run alone. One percent increase (decrease) in CPPP, PPP, Crude, Total, TGO and TDO leads to decrease (increase) in WTI, respectively, by 0.70, 0.43, 0.37, 0.97, 0.26 and 0.21 percent. Oil prices are largely influenced by total crude and Crude and PPP inventories levels while modestly with variations in gasoline and distillate stocks levels. Despite a healthy increase of over 22 percent in SPR from January 2001 to April 2004, it did not result in easing of oil prices. Primarily because SPR are meant for security of supply concern and are only released under extreme conditions by the President of United States, they are neither meant for the purposes of balancing supply-demand gap nor for the stability of oil prices. The aggressive SPR buildup in recent years is related to international terrorism, geopolitical situation in the Middle East, particularly in Iraq, that encourages US government to enhance its SPR to meet any short-term eventuality. The analyst must keep a close eye on CPPP and the total oil stocks variation to forecast WTI in the short run whilst gasoline and distillate influence oil prices modestly in the short run. SPR, on the other hand, are expected to play a pivotal role in balancing oil prices and in providing a critical resource for the economy in case of any major shortfall in the long run

  7. Heavy oil supply economics and supply response to low oil prices

    International Nuclear Information System (INIS)

    Fisher, L.

    1999-01-01

    The dynamics of the heavy oil industry are examined, including prices, market demand, supply and supply costs. Price assumptions are provided for the reference case oil price (west Texas intermediate at Cushing). Supply cost methodology is explained. Capital and operating costs for various heavy oil and synthetic sources are derived from modeling results. The range of supply costs for heavy oil and bitumen from various sources, supply costs in terms of reference case market values and in terms of 1995-1996 average market values for Bow River crude, are derived. The CERI long term supply forecast model is explained. Western Canada upstream oil and gas cash flow and capital expenditures, eastern Canada exploration and expenditures by hydrocarbon type, and Canadian heavy oil and bitumen production based on reference case prices are estimated. Based on these projections the outlook for heavy oil at reference case prices for better than average quality resources is judged to be economic. Lower quality resources will require technology gains for successful commercialization. SAGD is a likely candidate in this respect. Again based on reference prices, production is forecast to decline by 100 Kb/d over the next five years. Diluent supply is considered to be adequate throughout the forecast period. As far as thermal bitumen is concerned, the growth could, in fact, exceed the projection, but if so, more upgrading will be required. 11 figs

  8. Three essays on monetary policy responses to oil price shocks

    Science.gov (United States)

    Plante, Michael

    This dissertation contains three chapters which explore the question of how monetary policy should respond to changes in the price of oil. Each chapter explores the question from the perspective of a different economic environment. The first chapter examines welfare maximizing optimal monetary policy in a closed economy New Keynesian model that is extended to include household and firm demand for oil products, sticky wages, and capital accumulation. When households and firms demand oil products a natural difference arises between the Consumer Price Index (CPI), the core CPI, and the GDP deflator. I show that when nominal wages are flexible then the optimal policy places a heavy emphasis on stabilizing the inflation rate of the core CPI. If aggregate nominal wages are sticky then the central bank should focus on stabilizing some combination of core inflation and nominal wage inflation. Under no case examined is it optimal to stabilize either GDP deflator or CPI inflation. The second chapter examines monetary policy responses to oil price shocks in a small open economy with traded and non-traded goods. Oil and labor are used to produce the traded and non-traded goods and prices are sticky in the non-traded sector. I show analytically that the ratio of the oil and labor cost shares in the traded and non-traded sectors is crucial for determining the dynamic behavior of many macroeconomic variables after a rise in the price of oil. A policy of fixed exchange rates can produce higher or lower inflation in the non-traded sector depending upon the ratio. Likewise, a policy that stabilizes the inflation rate of prices in the non-traded sector can cause the nominal exchange rate to appreciate or depreciate. For the proper calibration, a policy that stabilizes core inflation produces results very close to the one that stabilizes non-traded inflation. Analytical results show that the fixed exchange rate always produces a unique solution. The policy of stabilizing non

  9. Impact of International Oil Price on Energy Conservation and Emission Reduction in China

    Directory of Open Access Journals (Sweden)

    Jian Chai

    2016-05-01

    Full Text Available In the context of “new normal” economy and frequent “haze”, the strategy of energy conservation and emission reduction aiming to lower costs and reduce pollution is currently still a major strategic direction in China and the world, and will remain so for some time in the future. This paper uses the annual data of West Texas Intermediate (WTI crude oil price in 1987–2014 as samples. We firstly present the direction and mechanism of the influence of oil price change on total consumption of every kind of energy by path analysis, and then consider establishing a Structural Vector Autoregression model of energy conservation and emission reduction in three statuses. Research shows that if the international oil price increases by 1%, the energy consumption per GDP and carbon dioxide emission increase by 0.092% and 0.053% respectively in the corresponding period. In the status of high energy consumption and high emission, if the international oil price increases by 1%, the energy consumption per GDP and carbon dioxide emission increase by 0.043% and 0.065% respectively in the corresponding period. In the status of low energy consumption and low emission, if the international oil price increases by 1%, the energy consumption per GDP per unit increases by 0.067% and carbon dioxide emission decreases by 0.085% in the corresponding period.

  10. Reassessing the empirical relationship between the oil price and the dollar

    International Nuclear Information System (INIS)

    Coudert, Virginie; Mignon, Valérie

    2016-01-01

    This paper aims at reassessing the empirical relationship between the real price of oil and the U.S. dollar real effective exchange rate over the 1974–2015 period. We find that changes in both variables are now linked by a negative relationship, going from the dollar exchange rate to the real oil price. However, the same relationship is found positive when ending the sample in the mid-2000s, in line with the previous literature. To understand and investigate this evolution, we rely on a nonlinear, smooth transition regression model in which the oil price-dollar nexus depends on the dynamics followed by the U.S. currency. Our results show that the relationship is negative most of the times but turns positive when the dollar hits very high values, as in the early eighties. - Highlights: •We reassess the relationship between the real oil price and the dollar over the 1974–2015 period. •Changes in the two variables are linked by a negative relationship over the whole period. •The link between both variables is positive over the subsample ending in the mid-2000s. •We estimate a nonlinear model in which the oil price-dollar nexus depends on the evolution the dollar. •The relationship is negative most of the times, except when the dollar hits very high values.

  11. Crude oil hedging: benchmarking price protection strategies

    International Nuclear Information System (INIS)

    Krapels, Edward N.; Pratt, Michael

    1998-01-01

    This report presents a review of hedging (protection against a loss) strategies in the crude oil futures and options markets. The introductory section of the report gives details of hedging instruments, and the purposes of hedging crude oil. Hedging strategies including pure futures strategies, pure options strategies, options combination strategies, exotic (Asian) options strategies, and insurance instruments are described. The West Texas intermediate (WTI) market depth, liquidity and hedging effectiveness are examined, and winners and losers, and energy consumers are considered. The appendix gives tables and charts summarising the outcomes of futures and options strategies under different market conditions and expectations. (UK)

  12. Assessing the Impact of Higher Oil Prices in Latin America

    OpenAIRE

    World Bank

    2012-01-01

    For some Latin American countries - especially, the oil importers in the Caribbean - rising energy prices could pose a significant threat to their current account sustainability, particularly if they are accompanied by other negative shocks. In some countries the fiscal costs associated with subsidies to protect domestic consumers have been considerable so far. Hence, a better understandin...

  13. To consume or not. How oil prices affect the comovement of consumption and aggregate wealth

    International Nuclear Information System (INIS)

    Odusami, Babatunde Olatunji

    2010-01-01

    This paper provides insight into how oil price movements affect the consumption choices of U.S. households through the wealth channel. Lettau and Ludvigson (2001) show that while consumption, asset wealth, and labor income share a common long-term trend; they substantially deviate from one another in the short run. In this paper, I show that these transitory deviations can be explained by fluctuations in the price of crude oil. Linear and threshold multivariate autoregressive models are used to measure the oil price effect. Oil price effect on the consumption to aggregate wealth ratio is robust to monetary policy effect, sub-period effect, and econometric specifications of oil price effect. Generally speaking, higher (lower) oil price will lead to a decrease (increase) in the proportion of aggregate wealth consumed. In addition, the magnitude of the oil price effect is asymmetric and sub-period dependent. Oil price effect was higher before the 1980's than in succeeding periods. (author)

  14. Oil price shocks, stock market, economic activity and employment in Greece

    International Nuclear Information System (INIS)

    Papapetrou, E.

    2001-01-01

    Using a multivariate vector-autoregression (VAR) approach, this paper attempts to shed light into the dynamic relationship among oil prices, real stock prices, interest rates, real economic activity and employment for Greece. The empirical evidence suggests that oil price changes affect real economic activity and employment. Oil prices are important in explaining stock price movements. Stock returns do not lead to changes in real activity and employment

  15. Near-term world oil markets : economics, politics and prices

    International Nuclear Information System (INIS)

    Dwarkin, J.

    2002-01-01

    This paper discusses the three main factors that will determine how OPEC oil production will impact on energy markets. OPEC reassured the market in September 2001, following the terrorist attack in New York that it would not cut oil production, but by December 2001, OPEC was threatening that it would cut production unless many key non-OPEC producers collaborated to shore up prices. On January 1, 2002, OPEC members went ahead with a quota reduction, based on pledges of cuts from the non-OPEC oil exporting countries. World economies, oil demand, and the path which the U.S. economy will take during 2002 is critical in determining what happens next in terms of oil production from OPEC. Another important factor is knowing whether non-OPEC producers will actually cut output to a significant extent. The most critical factor will be the response by OPEC members if non-OPEC exporting countries do not keep their promise

  16. Unit root properties of crude oil spot and futures prices

    International Nuclear Information System (INIS)

    Maslyuk, Svetlana; Smyth, Russell

    2008-01-01

    In this article, we examine whether WTI and Brent crude oil spot and futures prices (at 1, 3 and 6 months to maturity) contain a unit root with one and two structural breaks, employing weekly data over the period 1991-2004. To realise this objective we employ Lagrange multiplier (LM) unit root tests with one and two endogenous structural breaks proposed by Lee and Strazicich [2003. Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85, 1082-1089; 2004. Minimum LM unit root test with one structural break. Working Paper no. 04-17, Department of Economics, Appalachian State University]. We find that each of the oil price series can be characterised as a random walk process and that the endogenous structural breaks are significant and meaningful in terms of events that have impacted on world oil markets

  17. The US gasoline situation and crude oil prices

    International Nuclear Information System (INIS)

    Anon.

    2004-01-01

    Before and during the United States' summer driving season, concern over the country's gasoline supply can potentially influence the direction of the petroleum market. There are three causes of concern: a persistent lack of gasoline-producing capacity; a patchwork of as many as 18 different kinds of gasoline specifications; and the introduction of stringent new specifications for reformulated gasoline. However, gasoline stocks should be able to meet the needs of this year's driving season, at a time of ample crude oil availability, with strong imports. But, unplanned outages in the US logistics system and refining centres, or major disruptions in external gasoline supplies, could trigger price spikes that would, in turn, lead to frequently stronger crude oil prices, especially with the observed robust oil demand growth in China. (Author)

  18. Crude oil prices: Robust demands strengthens outlook

    International Nuclear Information System (INIS)

    Simmons, M.R.

    1996-01-01

    This paper briefly summarizes the growth in the global demand for oil products by showing the historical trends in production and demand in developing countries. It shows world incremental production growth from 1985 to 1995 and developing countries's demands from 1971 to 1989. The paper goes on to make predictions as to whether the demand growth rate can be sustained. It provides information on the status of the world offshore drilling and production facilities to determine the capacity of this resource

  19. Decoupling the Oil and Gas Prices. Natural Gas Pricing in the Post-Financial Crisis Market

    International Nuclear Information System (INIS)

    Kanai, Miharu

    2011-01-01

    This paper looks into natural gas pricing in the post-financial crisis market and, in particular, examines the question whether the oil-linked gas pricing system has outlived its utility as global gas markets mature and converge more rapidly than expected and as large new resources of unconventional gas shift the gas terms-of-trade. Two opposing natural gas pricing systems have coexisted for the last two decades. On the one hand, there is traditional oil-linked pricing, used in pipeline gas imports by Continental European countries and in LNG imports by the countries in Far East. The other is the system led by futures exchanges in deregulated, competitive markets largely in the UK and the US. World gas markets are changing and the basis and mechanisms of price formation are changing with them. There is no reason to expect a revolution in gas pricing, but formulas designed to address the challenges of the 1970's will need to adjust to the realities of the present and expectations for the 21. century. Because such changes will imply a redistribution of costs and benefits, vested shareholders will defend the status quo. But hopefully and ultimately, appropriately regulated markets will assert themselves and shareholders along the entire value chain will have their interests served

  20. Factors affecting world and Russian domestic oil prices: the domestic implications - a Russian perspective

    International Nuclear Information System (INIS)

    Khartukov, E.M.

    2001-01-01

    This paper modestly aims at answering two formally related but unnecessarily interconnected questions about international and Russian domestic pricing of crude oil. The first of them is what, in our opinion, chiefly determines price dynamics of the contemporary world oil market. And the second one is in which way (if at all) world oil price dynamics affect Russia's internal market. (author)

  1. 75 FR 80300 - Five-Year Review of Oil Pipeline Pricing Index

    Science.gov (United States)

    2010-12-22

    ...] Five-Year Review of Oil Pipeline Pricing Index Issued December 16, 2010. AGENCY: Federal Energy... five-year review of the oil pricing index, established in Order No. 561. After consideration of the... period commencing July 1, 2011. \\1\\ Five-Year Review of Oil Pipeline Pricing Index, 75 FR 34959 (June 21...

  2. The effect of global oil price shocks on China's metal markets

    International Nuclear Information System (INIS)

    Zhang, Chuanguo; Tu, Xiaohua

    2016-01-01

    This paper investigated the impacts of global oil price shocks on the whole metal market and two typical metal markets: copper and aluminum. We applied the autoregressive conditional jump intensity (ARJI) model, combining with the generalized conditional heteroscedasticity (GRACH) method, to describe the volatility process and jump behavior in the global oil market. We separated the oil price shocks into positive and negative parts, to analyze whether oil price volatility had symmetric impacts on China’s metal markets. We further used the likelihood ratio test to examine the symmetric effect of oil price shocks. In addition, we considered the jump behavior in oil prices as an input factor to investigate how China’s metal markets are affected when jumps occur in the global oil market, in contrast to the existing research paying little attention to this issue. Our results indicate that crude oil price shocks have significant impacts on China's metal markets and the impacts are symmetric. When compared with aluminum, copper is more easily affected by oil price shocks. - Highlights: • We investigated the effect of oil price shocks on China’s metal markets. • The oil price shocks had significant impacts on China's metal markets • The oil price shocks on China's metal markets were symmetric. • Copper is more easily affected by oil price shocks than aluminum.

  3. Investing today in energy for tomorrow. U.S. civilian nuclear industry: high-level oversight. Oil prices: getting close to the psychological threshold. The future of biofuels in question

    International Nuclear Information System (INIS)

    Anon.

    2008-01-01

    This issue of Alternatives newsletter features 4 main articles dealing with: 1 - Investing today in energy for tomorrow: Whether to increase or to replace generating capacity, the amount of investment needed in energy infrastructure to meet rising demand has been identified, but many obstacles must be overcome before they become a reality. A status report and personal perspective from Pierre Gadonneix, CEO of EDF, in the 'Expert opinion' section. 2 - U.S. civilian nuclear industry - high-level oversight: The approaches are clearly different, but the licensing processes for nuclear reactor development and operation in France and the United States are both strictly regulated. Alternatives delves further. 3 - Oil prices - getting close to the psychological threshold: Are we going to stop using oil sooner rather than later if crude prices keep going up? European commodities expert Philippe Chalmin shares his opinion. 4 - The future of biofuels in question In many countries, biofuels are seen as an alternative to oil. Still, farmland is not expandable forever and the economics of biofuels deserve some scrutiny

  4. Chaos in oil prices? Evidence from futures markets

    International Nuclear Information System (INIS)

    Adrangi, B.; Chatrath, A.; Dhanda, K.K.; Raffiee, K.

    2001-01-01

    We test for the presence of low-dimensional chaotic structure in crude oil, heating oil, and unleaded gasoline futures prices from the early 1980s. Evidence on chaos will have important implications for regulators and short-term trading strategies. While we find strong evidence of non-linear dependencies, the evidence is not consistent with chaos. Our test results indicate that ARCH-type processes, with controls for seasonal variation in prices, generally explain the non-linearities in the data. We also demonstrate that employing seasonally adjusted price series contributes to obtaining robust results via the existing tests for chaotic structure. Maximum likelihood methodologies, that are robust to the non-linear dynamics, lend support for Samuelson's hypothesis on contract-maturity effects in futures price-changes. However, the tests for chaos are not found to be sensitive to the maturity effects in the futures contracts. The results are robust to controls for the oil shocks of 1986 and 1991

  5. Dynamics of heating oil market prices in Europe

    International Nuclear Information System (INIS)

    Indjehagopian, J.P.; Lantz, F.; Simon, V.

    2000-01-01

    This paper concerns the German and French heating oil market and attempts to establish long- and short-term relationships between German and French monthly heating oil prices in dollars, the Rotterdam spot price for the same product and the DM/US$ and FF/US$ exchange rates during the period from January 1987 to December 1997. To model the market over the period under consideration, incorporating the Gulf War, we have used conventional unit root tests and sequential tests allowing structural changes. Long-term relationships, with shifts in regime detected by cointegration tests taking structural breaks into consideration, are estimated. The short-term dynamics defined by a vector error correction (VEC) mechanism is derived in a classic manner when in presence of a cointegrated VAR system. The econometric results obtained are commented on from an economic point of view. Weak exogeneity tests are performed and the conditional VEC model is deduced, enabling measurement of the instantaneous impact of variations in weakly exogenous exchange rates on variations in heating oil prices in Germany and France. Lastly, a study is made of the asymmetric reaction of domestic prices to positive and negative variations in exchange rates and the Rotterdam spot quotation. 25 refs

  6. The impacts of global oil price shocks on China's fundamental industries

    International Nuclear Information System (INIS)

    Wang, Xiao; Zhang, Chuanguo

    2014-01-01

    This paper investigated the impacts of oil price shocks on China's fundamental industries. In order to analyze the reactions of different industries to oil price shocks, we focused on four fundamental industries: grains, metals, petrochemicals and oil fats. We separated the oil price shocks into two parts, positive and negative parts, to investigate how commodity markets react when oil prices go up and down. We further studied the extreme price movements, called jumps, existing in the oil markets and how jump behavior has affected China's commodity markets. Our results suggest that asymmetric effects of oil price shocks did exist in the four markets and the negative oil price shocks had stronger influences on the four markets in China. The petrochemicals market suffered most from the oil price shocks, and the grains market was least sensitive to the shocks. When jumps occurred in the crude oil market, the four commodity markets would be affected differently. The oil fats market and petrochemicals market tended to “overreact” to jumps. - Highlights: • We investigate the impacts of oil price shocks on China's fundamental industries. • Jump behavior does exist in the crude oil market. • The impacts of oil price shocks are asymmetric. • China's four commodity markets are affected by the jump behavior

  7. Oil Prices, Credit Risks in Banking Systems, and Macro-Financial Linkages across GCC Oil Exporters

    Directory of Open Access Journals (Sweden)

    Saleh Alodayni

    2016-11-01

    Full Text Available This paper assesses the effect of the recent 2014–2015 oil price slump on the financial stability in the Gulf Cooperation Council (GCC region. The first objective of this paper is to assess how oil price shock propagates within the macroeconomy and how the macro shocks transmit to GCC banks’ balance sheets. This part of the paper implements a System Generalized Method of Moments (GMM and a Panel Fixed Effect Model to estimate the response of nonperforming loans (NPLs to its macroeconomic determinants. The second objective of this paper is to assess any negative feedback effects between the GCC banking systems and the economy. The paper, therefore, implements a Panel VAR model to explore the macro-financial linkages between GCC banking systems and the real economy. The results indicate that oil price, non-oil GDP, interest rate, stock prices, and housing prices are major determinants of NPLs across GCC banks and the overall financial stability in the region. Credit risk shock tends to propagate disturbances to non-oil GDP, credit growth, and stock prices across GCC economies. A higher level of NPLs restricts banks’ credit growth and can dampen economic growth in these economies. The results support the notion that disturbances in banking systems lead to unwanted economic consequences for the real sector.

  8. Modelling long-term oil price and extraction with a Hubbert approach: The LOPEX model

    International Nuclear Information System (INIS)

    Rehrl, Tobias; Friedrich, Rainer

    2006-01-01

    The LOPEX (Long-term Oil Price and EXtraction) model generates long-term scenarios about future world oil supply and corresponding price paths up to the year 2100. In order to determine oil production in non-OPEC countries, the model uses Hubbert curves. Hubbert curves reflect the logistic nature of the discovery process and the associated constraint on temporal availability of oil. Extraction paths and world oil price path are both derived endogenously from OPEC's intertemporally optimal cartel behaviour. Thereby OPEC is faced with both the price-dependent production of the non-OPEC competitive fringe and the price-dependent world oil demand. World oil demand is modelled with a constant price elasticity function and refers to a scenario from ACROPOLIS-POLES. LOPEX results indicate a significant higher oil price from around 2020 onwards compared to the reference scenario, and a stagnating market share of maximal 50% to be optimal for OPEC

  9. Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies

    Directory of Open Access Journals (Sweden)

    Bettina Lis

    2012-01-01

    Full Text Available In this paper we are testing whether the impact of oil prices is different on the overall market and automotive companies. In addition we investigate, if this relationship is nonlinear. For this we use stock return data of US, German and Japanese car companies, and returns of share indices from the same countries as control variables, and Brent crude oil price changes. We first estimate the impact of crude oil on the indices, then clean the indices from these influences, and afterwards estimate the impact on the stocks. For this we are using OLS and EGARCH (1,1. We conclude that in general the car companies‘ stocks do not react more adversely as the overall market to crude oil price increases, while Japanese companies do not show any excess sensitivity at all. German companies tend to be sensitive, and US and German companies are together more sensitive in the more recent time periods.

  10. Crude oil price dynamics: A study on effects of market expectation and strategic supply on price movements

    Science.gov (United States)

    Jin, Xin

    Recent years have seen dramatic fluctuations in crude oil prices. This dissertation attempts to better understand price behavior. The first chapter studies the behavior of crude oil spot and futures prices. Oil prices, particularly spot and short-term futures prices, appear to have switched from I(0) to I(1) in early 2000s. To better understand this apparent change in persistence, a factor model of oil prices is proposed, where the prices are decomposed into long-term and short-term components. The change in the persistence behavior can be explained by changes in the relative volatility of the underlying components. Fitting the model to weekly data on WTI prices, the volatility of the persistent shocks increased substantially relative to other shocks. In addition, the risk premiums in futures prices have changed their signs and become more volatile. The estimated net marginal convenience yield using the model also shows changes in its behavior. These observations suggest that a dramatic fundamental change occurred in the period from 2002 to 2004 in the dynamics of the crude oil market. The second chapter explores the short-run price-inventory dynamics in the presence of different shocks. Classical competitive storage model states that inventory decision considers both current and future market condition, and thus interacts with spot and expected future spot prices. We study competitive storage holding in an equilibrium framework, focusing on the dynamic response of price and inventory to different shocks. We show that news shock generates response profile different from traditional contemporaneous shocks in price and inventory. The model is applied to world crude oil market, where the market expectation is estimated to experience a sharp change in early 2000s, together with a persisting constrained supply relative to demand. The expectation change has limited effect on crude oil spot price though. The world oil market structure has been studied extensively but no

  11. Causes for an asymmetric relation between the price of crude oil and refined petroleum products

    International Nuclear Information System (INIS)

    Kaufmann, R.K.; Laskowski, C.

    2005-01-01

    We revisit the issue of asymmetries in the relation between the price of crude oil and refined petroleum products in the United States. An econometric analysis of monthly data indicates that the asymmetric relationship between the price of crude oil and motor gasoline is generated by refinery utilization rates and inventory behavior. The asymmetric relation between the price of crude oil and home heating oil probably is generated by contractual arrangements between retailers and consumers. Together, these results imply that price asymmetries may be generated by efficient markets. Under these conditions, there is little justification for policy interventions to reduce or eliminate price asymmetries in motor gasoline and home heating oil markets. (author)

  12. Descriptive Analysis of Economic Diversification, Price and Revenue Dynamics in Oil and Energy in the Arab World

    OpenAIRE

    Driouchi, Ahmed; El Alouani, Hajar; Gamar, Alae

    2014-01-01

    Abstract The present paper looks at the descriptive side of the economy of oil and energy in the Arab countries. It addresses the contours of these economies in relation to diversification and trading patterns and shows the limited diversification but high concentration of exports towards oil and gas in part of these countries. The paper addresses also the dynamic processes of gas and oil revenues with their time trends. It also attempts linking revenues to international oil prices before...

  13. A new approach for crude oil price analysis based on empirical mode decomposition

    International Nuclear Information System (INIS)

    Zhang, Xun; Wang, Shou-Yang; Lai, K.K.

    2008-01-01

    The importance of understanding the underlying characteristics of international crude oil price movements attracts much attention from academic researchers and business practitioners. Due to the intrinsic complexity of the oil market, however, most of them fail to produce consistently good results. Empirical Mode Decomposition (EMD), recently proposed by Huang et al., appears to be a novel data analysis method for nonlinear and non-stationary time series. By decomposing a time series into a small number of independent and concretely implicational intrinsic modes based on scale separation, EMD explains the generation of time series data from a novel perspective. Ensemble EMD (EEMD) is a substantial improvement of EMD which can better separate the scales naturally by adding white noise series to the original time series and then treating the ensemble averages as the true intrinsic modes. In this paper, we extend EEMD to crude oil price analysis. First, three crude oil price series with different time ranges and frequencies are decomposed into several independent intrinsic modes, from high to low frequency. Second, the intrinsic modes are composed into a fluctuating process, a slowly varying part and a trend based on fine-to-coarse reconstruction. The economic meanings of the three components are identified as short term fluctuations caused by normal supply-demand disequilibrium or some other market activities, the effect of a shock of a significant event, and a long term trend. Finally, the EEMD is shown to be a vital technique for crude oil price analysis. (author)

  14. The impact of oil price on additions to US proven reserves

    International Nuclear Information System (INIS)

    Farzin, Y.H.

    2001-01-01

    Departing from Hotelling's assumption of fixed and known reserves, this paper develops an economic model of additions to proven reserves that explicitly incorporates the effects of expected resource price, cumulative reserves development, and technological progress on reserve additions. The model treats additions to proven oil reserves as output of a production process in which drilling wells is a primary input to transform some of oil-in-place into the economic category of proven reserves. Application of the model to US data for the 1950-1995 period provides strong statistical support for the existence of all the three salient effects. We obtain an estimate of the price elasticity of reserve additions (absent from previous studies) which, although statistically highly significant, is rather small. Using this price elasticity estimate, it is shown that if in the face of steady economic growth, and hence, oil consumption, US oil import dependence is to be kept from rising in the future, ceteris paribus, a steady oil price increase in the range of 1.5-4.5% a year is essential

  15. Economic repercussions of OPEC's crude oil price increases

    Energy Technology Data Exchange (ETDEWEB)

    Merklein, H A

    1980-05-01

    Accusations that the Organization of Petroleum Exporting Countries (OPEC) created the world energy crisis and destroyed the economies of oil-importing nations are challenged by Dr. Merklein. He shows that the economic impact of OPEC price increases have only accelerated an already-developing energy shortage and only reflect the existing problems of inflation, unemployment, and declining currency exchange rates. The real problem is argued to be a US energy policy that is incapable of responding appropriately to what should be a manageable crude oil tax. When the arguments against OPEC policies are examined in an historical context, they are shown to be essentially neutral. 4 tables. (DCK)

  16. Oil price volatility, financial regulation and energy policy

    International Nuclear Information System (INIS)

    Chevalier, J.M.

    2010-01-01

    In October of 2009, the French Ministry of Economy asked the author to chair a work group on oil price volatility. The report resulting from that work was submitted to the minister on February 9, 2010. Based on the report, this article focuses on three major elements: (i) the operation of the oil market, with interacting physical basics and financial basics (ii) financial market regulation, more specifically commodities-derived product markets and current work in that area and (iii) the lessons one can draw from that exercise in terms of energy policy. Significant projects have been initiated on global, European and national levels. (author)

  17. The impact of oil-price shocks on Hawaii's economy: A case study using vector autoregression

    International Nuclear Information System (INIS)

    Gopalakrishnan, C.; Tian, X.; Tran, D.

    1991-01-01

    The effects of oil-price shocks on the macroeconomic performance of a non-oil-producing, oil-importing state are studied in terms of Hawaii's experience (1974-1986) using Vector Autoregression (VAR). The VAR model contains three macrovariables-real oil price, interest rate, and real GNP, and three regional variable-total civilian labor force, Honolulu consumer price index, and real personal income. The results suggested that oil-price shock had a positive effect on interest rate as well as local price (i.e., higher interest and higher local price), but a negative influence on real GNP. The negative income effect, however, was offset by the positive employment effect. The price of oil was found to be exogenous to all other variables in the system. The macrovariables exerted a pronounced impact on Hawaii's economy, most notably on consumer price

  18. Tariff Impact on the Domestic Price of Vegetable Oil in Iran and the Associated Issues

    Directory of Open Access Journals (Sweden)

    omid gilanpour

    2015-05-01

    Full Text Available This study uses vector error correction model to examine the effects of oilseeds, crude oil and vegetable oil tariffs on vegetable oil consumer price. Monthly data sets for the years 2004-2013 and VAR and VECM models were applied for this study. Research findings indicates only a long term equilibrium relation between the study variables .The effect of vegetable oil tariffs on consumer and producer price index are 0.4 and 0.07, respectively. Furthermore, one percent increase in the oil seeds and crude oil tariff, will increase consumer prices by 2.35, 0.19percent. The huge gap between the impacts of the two tariffs –e.g. oilseeds and crude oil tariffs- on consumer price shows that oil industries work with low efficiency. This practically doubles the impact of tariff on consumers. Accordingly, structural reform in the oil industry can develop oil production and prevent additional burden upon the consumer price.

  19. Research on the trend of Yen exchange rate and international crude oil price fluctuation affected by Japan’s earthquake

    Directory of Open Access Journals (Sweden)

    Xiaoguang Li

    2014-05-01

    Full Text Available Purpose: Whether this earthquake would become a turning point of the high oil price and whether it would have big impact on yen exchange rate are two issues to be discussed in this paper.Design/methodology/approach: To analyze deeply the internal relations between changes in yen exchange rate caused by Japan’s earthquake and price fluctuation of international crude oil, this research chooses middle rate of yen exchange rate during the 45 days around Japan’s earthquake and price data of international crude oil to do an empirical study, uses VAR model and HP trend decomposition to estimate the mutual effect of yen exchange rate change and price fluctuation of international crude oil in this period.Findings: It has been found in the empirical study with VAR model and HP filter decomposition model on the yen exchange rate and the international crude oil price fluctuation during 45 days around Japan’s earthquake that: the fluctuation of yen exchange rate around the earthquake is one of the main reasons for the drastic fluctuation of international crude oil price in that period. The fluctuation of international crude oil price directly triggered by yen exchange rate occupies 13.54% of its total variance. There is a long-term interactive relationship between yen exchange rate and international crude oil price. The upward trend of international crude oil price after the earthquake was obvious, while yen exchange rate remained relatively stable after the earthquake.Originality/value: As economic globalization goes deeper, the influence of natural disasters on international financial market and world economy will become more and more obvious. It has a great revelatory meaning to studying further each kind of natural disaster’s impacts on international financial market and world economics.

  20. Does China factor matter? An econometric analysis of international crude oil prices

    International Nuclear Information System (INIS)

    Wu, Gang; Zhang, Yue-Jun

    2014-01-01

    Whether China’s crude oil imports are the culprit of oil price volatility these years has not been quantitatively confirmed. Therefore, this paper empirically investigates the role of China’s crude oil net imports in Brent price changes from October 2005 to November 2013 based on an econometric analysis. The results indicate that, during the sample period, China’s crude oil imports do not significantly affect Brent price changes, no matter in the long run or short run. Therefore, the blame for China’s crude oil imports to cause the dramatic fluctuations of international oil price has no solid evidence. Also, there exists significant uni-directional causality running from the Brent price to China's crude oil imports at the 5% level. Besides, the response of the Brent price to China's crude oil imports is found positive but slight, and the Brent price responds more significantly to US dollar exchange rate and OECD commercial inventory than to China’s crude oil imports in the short run. Finally, the contribution of China's crude oil imports to Brent price movement is about 10%, which is less than that of US dollar exchange rate but larger than that of Indian crude oil imports or OECD commercial inventory. - Highlights: • The paper detects the role of China’s crude oil imports in Brent oil price changes. • China’s crude imports do not matter for oil prices in the long run or short run. • The blame for China’s crude imports on oil price changes has no solid evidence. • Significant causality runs from Brent prices to China's crude oil net imports. • China's crude imports contribute less to Brent prices than US dollar exchange rate

  1. Does renewable energies’ usage act as a shield against oil price changes?

    OpenAIRE

    Cardoso, Duarte Cortez dos Santos Vaz

    2014-01-01

    The purpose of this dissertation is to contribute to the existing literature on equity markets and energy prices by studying the impact of oil price changes on several American and European companies, taking into consideration their level of renewable energies’ usage within the total energy consumption. The results show that in fact there is an overall negative impact of oil price changes. However, when we split the oil price changes in positive and negative ones, it seems that their impact i...

  2. Expectations, learning, and the changing relationship between oil prices and the macroeconomy

    Energy Technology Data Exchange (ETDEWEB)

    Milani, Fabio [Department of Economics, 3151 Social Science Plaza, University of California, Irvine, CA 92697-5100 (United States)

    2009-11-15

    This paper estimates a structural general equilibrium model to investigate the changing relationship between the oil price and macroeconomic variables. The oil price, through the role of oil in production and consumption, affects aggregate demand and supply in the model. The assumption of rational expectations is relaxed in favor of learning. Oil prices, therefore, affect the economy through an additional channel, i.e. through their effect on the formation of agents' beliefs. The estimated learning dynamics indicates that economic agents' perceptions about the effects of oil prices on the economy have changed over time: oil prices were perceived to have large effects on output and inflation in the 1970s, but only milder effects after the mid-1980s. Since expectations play a large role in the determination of output and inflation, the effects of oil price increases on expectations can magnify the response of macroeconomic variables to oil price shocks. In the estimated model, in fact, the implied responses of output and inflation to oil price shocks were much more pronounced in the 1970s than in 2008. Therefore, through the time variation in the impact of oil prices on beliefs, the paper can successfully explain the observed weakening of the effects of oil price shocks on real activity and inflation. (author)

  3. Expectations, learning, and the changing relationship between oil prices and the macroeconomy

    International Nuclear Information System (INIS)

    Milani, Fabio

    2009-01-01

    This paper estimates a structural general equilibrium model to investigate the changing relationship between the oil price and macroeconomic variables. The oil price, through the role of oil in production and consumption, affects aggregate demand and supply in the model. The assumption of rational expectations is relaxed in favor of learning. Oil prices, therefore, affect the economy through an additional channel, i.e. through their effect on the formation of agents' beliefs. The estimated learning dynamics indicates that economic agents' perceptions about the effects of oil prices on the economy have changed over time: oil prices were perceived to have large effects on output and inflation in the 1970s, but only milder effects after the mid-1980s. Since expectations play a large role in the determination of output and inflation, the effects of oil price increases on expectations can magnify the response of macroeconomic variables to oil price shocks. In the estimated model, in fact, the implied responses of output and inflation to oil price shocks were much more pronounced in the 1970s than in 2008. Therefore, through the time variation in the impact of oil prices on beliefs, the paper can successfully explain the observed weakening of the effects of oil price shocks on real activity and inflation. (author)

  4. Oil price volatility: An Econometric Analysis of the WTI Market

    International Nuclear Information System (INIS)

    Hache, Emmanuel; Lantz, Frederic

    2011-04-01

    The aim of this paper is to study the oil price volatility in West Texas Intermediate (WTI) market in the US. By using statistical and econometric tools, we first attempt to identify the long-term relationship between WTI spot prices and the prices of futures contracts on the New York Mercantile Exchange (NYMEX). Subsequently we model the short-term dynamic between these two prices and this analysis points up several breaks. On this basis, a short term Markov Switching Vectorial Error Correction model (MS-VECM) with two distinct states (standard state and crisis state) has been estimated. Finally we introduce the volumes of transactions observed on the NYMEX for the WTI contracts and we estimate the influence of the non-commercial players. We conclude that the hypothesis of an influence of noncommercial players on the probability for being in the crisis state cannot be rejected. In addition, we show that the rise in liquidity of the first financial contracts, as measured by the volume of open interest, is a key element to understand the dynamics in market prices. (authors)

  5. Oil price sinks drilling : exploration activity drops during third quarter

    International Nuclear Information System (INIS)

    Harrington, P.

    1998-01-01

    The decline in oil and gas exploration activity in Western Canada is discussed. In the third quarter of 1998, a total of 397 exploratory tests were reported compared to 768 during the same period in 1997. Low world oil prices are blamed as the cause of this decline. The declining exploration activity in 1998 was led by Alberta, with 289 new pool wildcat (NPW) announcements along with 25 new field wildcat (NFW) locations. Saskatchewan was in second place with 67 exploratory announcements, but compared to 329 in 1997, this represents an 80 per cent drop. British Columbia had a total of 15 exploratory wells resulting in three oil discoveries and 11 gas completions. Geological features, well characteristics and early production figures from several of the new wells in the Killam fields in southwest Saskatchewan were received special attention. 1 tab., 3 figs

  6. Palm oil price forecasting model: An autoregressive distributed lag (ARDL) approach

    Science.gov (United States)

    Hamid, Mohd Fahmi Abdul; Shabri, Ani

    2017-05-01

    Palm oil price fluctuated without any clear trend or cyclical pattern in the last few decades. The instability of food commodities price causes it to change rapidly over time. This paper attempts to develop Autoregressive Distributed Lag (ARDL) model in modeling and forecasting the price of palm oil. In order to use ARDL as a forecasting model, this paper modifies the data structure where we only consider lagged explanatory variables to explain the variation in palm oil price. We then compare the performance of this ARDL model with a benchmark model namely ARIMA in term of their comparative forecasting accuracy. This paper also utilize ARDL bound testing approach to co-integration in examining the short run and long run relationship between palm oil price and its determinant; production, stock, and price of soybean as the substitute of palm oil and price of crude oil. The comparative forecasting accuracy suggests that ARDL model has a better forecasting accuracy compared to ARIMA.

  7. World crude oil prices and the North Sea after the Gulf conflict

    International Nuclear Information System (INIS)

    Kemp, A.

    1992-01-01

    A large computerised financial model has been developed to simulate future activity in the United Kingdom continental shelf. Primary inputs into the model include all the publicly available information on currently producing fields relating to their historic and expected production rates, investment costs, operating costs and abandonment costs. From a variety of sources information has also been gathered on all new discoveries which have not yet been developed or even fully appraised in some cases. Estimates were made of the time periods at which such fields would be ready for development work and production to commence. For these future fields estimates were made of the likely investment costs, operating costs and abandonment costs. In making such calculations only limited technological progress was assumed. The bank of future fields is also conservative as it does not include any new discoveries from further exploration successes. Key inputs into the financial model are future oil and gas price scenarios. In this study, three price scenarios have been chosen for investigation - a base case, a high price case and a low price case. From the analysis, the possible consequences of a very modest real growth in oil and gas prices on the development of the very large numbers of discovered, but as yet undeveloped, oil and gas fields in the United Kingdom continental shelf are presented. (author)

  8. Oil Price Volatility and Economic Growth in Nigeria: a Vector Auto-Regression (VAR Approach

    Directory of Open Access Journals (Sweden)

    Edesiri Godsday Okoro

    2014-02-01

    Full Text Available The study examined oil price volatility and economic growth in Nigeria linking oil price volatility, crude oil prices, oil revenue and Gross Domestic Product. Using quarterly data sourced from the Central Bank of Nigeria (CBN Statistical Bulletin and World Bank Indicators (various issues spanning 1980-2010, a non‐linear model of oil price volatility and economic growth was estimated using the VAR technique. The study revealed that oil price volatility has significantly influenced the level of economic growth in Nigeria although; the result additionally indicated a negative relationship between the oil price volatility and the level of economic growth. Furthermore, the result also showed that the Nigerian economy survived on crude oil, to such extent that the country‘s budget is tied to particular price of crude oil. This is not a good sign for a developing economy, more so that the country relies almost entirely on revenue of the oil sector as a source of foreign exchange earnings. This therefore portends some dangers for the economic survival of Nigeria. It was recommended amongst others that there should be a strong need for policy makers to focus on policy that will strengthen/stabilize the economy with specific focus on alternative sources of government revenue. Finally, there should be reduction in monetization of crude oil receipts (fiscal discipline, aggressive saving of proceeds from oil booms in future in order to withstand vicissitudes of oil price volatility in future.

  9. Western Canada: high prices, high activity

    International Nuclear Information System (INIS)

    Savidant, S

    2000-01-01

    The forces responsible for the high drilling and exploration activity in Western Canada (recent high prices, excess pipeline capacity, and the promise of as yet undiscovered natural gas resources) are discussed. Supply and demand signposts, among them weather impacts, political response by governments, the high demand for rigs and services, the intense competition for land, the scarcity of qualified human resources, are reviewed/. The geological potential of Western Canada, the implications of falling average pool sizes, the industry's ability to catch up to increasing declines, are explored. The disappearance of easy large discoveries, rising development costs involved in smaller, more complex hence more expensive pools are assessed and the Canadian equity and capital markets are reviewed. The predicted likely outcome of all the above factors is fewer players, increasing expectation of higher returns, and more discipline among the remaining players

  10. The relationship between oil price shocks and China's macro-economy. An empirical analysis

    International Nuclear Information System (INIS)

    Du, Limin; Yanan, He; Wei; Chu

    2010-01-01

    This paper investigates the relationship between the world oil price and China's macro-economy based on a monthly time series from 1995:1 to 2008:12, using the method of multivariate vector autoregression (VAR). The results show that the world oil price affects the economic growth and inflation of China significantly, and the impact is non-linear. On the other hand, China's economic activity fails to affect the world oil price, which means that the world oil price is still exogenous with respect to China's macro-economy in time series sense, and China has not yet had an oil pricing power in the world oil markets. The structural stability tests demonstrate that there is a structural break in the VAR model because of the reforms of China's oil pricing mechanism, thus it is more appropriate to break the whole sample into different sub-samples for the estimation of the model. (author)

  11. Crude oil price analysis and forecasting based on variational mode decomposition and independent component analysis

    Science.gov (United States)

    E, Jianwei; Bao, Yanling; Ye, Jimin

    2017-10-01

    As one of the most vital energy resources in the world, crude oil plays a significant role in international economic market. The fluctuation of crude oil price has attracted academic and commercial attention. There exist many methods in forecasting the trend of crude oil price. However, traditional models failed in predicting accurately. Based on this, a hybrid method will be proposed in this paper, which combines variational mode decomposition (VMD), independent component analysis (ICA) and autoregressive integrated moving average (ARIMA), called VMD-ICA-ARIMA. The purpose of this study is to analyze the influence factors of crude oil price and predict the future crude oil price. Major steps can be concluded as follows: Firstly, applying the VMD model on the original signal (crude oil price), the modes function can be decomposed adaptively. Secondly, independent components are separated by the ICA, and how the independent components affect the crude oil price is analyzed. Finally, forecasting the price of crude oil price by the ARIMA model, the forecasting trend demonstrates that crude oil price declines periodically. Comparing with benchmark ARIMA and EEMD-ICA-ARIMA, VMD-ICA-ARIMA can forecast the crude oil price more accurately.

  12. The Asymmetric Effects of Oil Price Changes on the Economic Activities in Indonesia

    OpenAIRE

    Rina Juliet Artami; Yonosuke Hara

    2018-01-01

    This paper analyzes the asymmetric impact of oil price changes on the economic growth of and inflation in Indonesia by using the vector autoregression (VAR) model for the period from 1990Q1 to 2016Q4. The results show that the impact of oil price changes on the gross domestic product (GDP) is asymmetric, as a drop in oil prices decreases the GDP, whereas an increase in oil prices does not significantly affect GDP. It is crucial for Indonesia to reduce its dependency on oil, mainly as its prim...

  13. Petroleum’s Price Transmission and Imported Demand for Crude Oil in Thailand

    OpenAIRE

    Papusson Chaiwat; Nantarat Tangvitoontham

    2014-01-01

    The study of the petroleum price structures in Thailand reveals that diesel is the important fuel because it influences inflation and productions’ costs. Government wants to keep diesel’s price stability; meanwhile, it is less control in gasohol and petrol prices. These prices are normally higher than diesel’s price in order to support the renewable energy and reduce the consumption behaviors. Real price elasticity of imported crude oil in short run is insignificant but in long run is about 0...

  14. U.S. E and P surge hinges on technology, not oil price

    International Nuclear Information System (INIS)

    Anon.

    1997-01-01

    Technology, not oil and gas prices, have fueled the recent surge in US activity, leading to greater sustainability, according to Clarance P. Cazalot Jr., vice-president of Texaco Inc. and president of Texaco Exploration and Production Inc. Cazalot expects gas and oil prices to decrease slightly to within the historical range of $18--21/bbl for oil and $1.50--2.00/Mcf for gas for the next few years. Cazalot said the most critical factors affecting the future of US exploration and production activities are technology and personnel. Technology is driving the current industry boom in the Us and is the basis for Texaco's projected US production growth. Perhaps industry's greatest challenge is attracting, developing, and retaining skilled people at all levels, said Cazalot. People shortages result in increased competition for personnel with critical skills, high employee turnover rates, and increased costs associated with attracting and retaining technical talent. A table gives data on costs of well drilling

  15. Impact of sustained low oil prices on China's oil & gas industry system and coping strategies

    Directory of Open Access Journals (Sweden)

    Jianjun Chen

    2016-05-01

    Full Text Available The global sustained low oil prices have a significant impact on China's oil and gas industry system and the national energy security. This paper aims to find solutions in order to guarantee the smooth development of China's oil and gas industry system and its survival in such a severe environment. First, the origins of sustained low oil prices were analyzed. Then, based on those published data from IEA, government and some other authorities, this study focused on the development status, energy policies and the future developing trend of those main oil & gas producing countries. Investigations show that the low-price running is primarily contributed to the so-called oil and gas policies in the USA. It is predicted that national petroleum consumption will reach up to 6.0 × 108 t (oil & 3300 × 108 m3 (gas in 2020 and 6.8 × 108 t (oil & 5200 × 108 m3 (gas in 2030. For reducing the dependence on foreign oil and gas, the investment in the upstream of oil and gas industry should be maintained and scientific research should be intensified to ensure the smooth operation of the oil and gas production system. Considering China's national energy security strategy, the following suggestions were proposed herein. First, ensure that in China the yearly oil output reaches 2 × 108 t, while natural gas yield will be expected to be up to 2700 × 108 m3 in 2030, both of which should become the “bottom line” in the long term. Second, focus on the planning of upstream business with insistence on risk exploration investment, scientific and technological innovation and pilot area construction especially for low-permeability tight oil & gas, shale oil & gas reservoir development techniques. Third, encourage the in-depth reform and further growth especially in the three major state-owned oil & gas companies under adverse situations, and create more companies competent to offer overseas technical services by taking the opportunity of the

  16. The dynamic stability of OPEC's oil price mechanism

    International Nuclear Information System (INIS)

    Hammoudeh, S.; Madan, V.

    1992-01-01

    This paper examines OPEC's long-lived mechanism which targets the oil price and adjusts the quality ceiling to meet the target. The stability of this controversial mechanism is compared to that of two alternatives: one requires quantity control without any price targeting and the other is a synthesis of quantity control and the OPEC mechanisms. All three mechanisms passed the stability test and the two alternatives give rise to some interesting policy implications. Practicality considerations which involve the availability of specific information make OPEC's mechanism the most appropriate in terms of achieved targeted revenues. The paper also offers a convergence strategy that speeds up the achievement of targeted revenues under OPEC's current mechanism. (author)

  17. How does market concern derived from the Internet affect oil prices?

    International Nuclear Information System (INIS)

    Guo, Jian-Feng; Ji, Qiang

    2013-01-01

    Highlights: • The impact of market concern derived from the Web on oil volatility is analysed. • It has an equilibrium relationship between oil prices and long-run market concern. • The short-run market concerns have an asymmetric influence on oil price volatility. • The Internet can exaggerate the impact of information shocks on oil price. - Abstract: With the acceleration of oil marketisation and the rapid development of electronic information carriers, external information shocks can be easily and quickly transmitted to the oil market through the Internet. This paper analyses the impact of short- and long-run market concerns, derived from search query volumes in Google for different domains around the oil market on oil volatility using co-integration and the modified EGARCH model. Empirical results suggest there is a long-term equilibrium relationship between oil prices and long-run market concern for oil prices and oil demand. The short-run market concerns for the 2008 financial crisis and the Libyan war convulsion have a significant and asymmetric influence on oil price volatility. This indicates that market concern transmitted through the Internet can strengthen the linkage between oil price changes and external events by influencing the expectation of market traders, and to some extent it can exaggerate the impact of nonfundamental information shocks

  18. Energy intensities and the impact of high energy prices on producing and consuming sectors in Malaysia

    OpenAIRE

    Klinge Jacobsen, Henrik

    2007-01-01

    The increase in oil prices has put pressure on the global economy. Even economies that have a high degree of self-sufficiency concerning oil products are experiencing rising production costs and price increases for households energy use. Therefore, changes in energy policies are under consideration for countries highly dependent on imported energy as well as countries with a high degree of self-sufficiency. Examination of dependence on cheap energy sources for economic growth in different...

  19. Energy intensities and the impact of high energy prices on producing and consuming sectors in Malaysia

    OpenAIRE

    Klinge Jacobsen, Henrik

    2007-01-01

    The increase in oil prices has put pressure on the global economy. Even economies that have a high degree of self-sufficiency concerning oil products are experiencing rising production costs and price increases for households energy use. Therefore, changes in energy policies are under consideration for countries highly dependent on imported energy as well as countries with a high degree of self-sufficiency. Examination of dependence on cheap energy sources for economic growth in different eco...

  20. The price of oil and the future of Middle East Gas

    International Nuclear Information System (INIS)

    Zaki Yamani, A.

    1997-01-01

    Most LNG contracts relate the LNG price received by the supplier at the point of delivery to a relevant oil price. Gas and oil are thus closely connected so that when the price of landed oil decreases so dose the price of delivered LNG. With large fixed transportation and liquefaction costs, accounting for around 85% of the supply cost of delivered LNG in the case of Qatari LNG supplied to japan, you can imagine how large falls in the price paid for delivered LNG would squeeze the net back to the producer back in Qatar. However, low oil price can do some damage to the economics of existing LNG projects in the Middle East. More importantly, persistently low oil prices can prevent new LNG projects from leaving the drawing board-which will stifle the exciting export potential of Middle Eastern gas

  1. Finding the multipath propagation of multivariable crude oil prices using a wavelet-based network approach

    Science.gov (United States)

    Jia, Xiaoliang; An, Haizhong; Sun, Xiaoqi; Huang, Xuan; Gao, Xiangyun

    2016-04-01

    The globalization and regionalization of crude oil trade inevitably give rise to the difference of crude oil prices. The understanding of the pattern of the crude oil prices' mutual propagation is essential for analyzing the development of global oil trade. Previous research has focused mainly on the fuzzy long- or short-term one-to-one propagation of bivariate oil prices, generally ignoring various patterns of periodical multivariate propagation. This study presents a wavelet-based network approach to help uncover the multipath propagation of multivariable crude oil prices in a joint time-frequency period. The weekly oil spot prices of the OPEC member states from June 1999 to March 2011 are adopted as the sample data. First, we used wavelet analysis to find different subseries based on an optimal decomposing scale to describe the periodical feature of the original oil price time series. Second, a complex network model was constructed based on an optimal threshold selection to describe the structural feature of multivariable oil prices. Third, Bayesian network analysis (BNA) was conducted to find the probability causal relationship based on periodical structural features to describe the various patterns of periodical multivariable propagation. Finally, the significance of the leading and intermediary oil prices is discussed. These findings are beneficial for the implementation of periodical target-oriented pricing policies and investment strategies.

  2. Daily Crude Oil Price Forecasting Using Hybridizing Wavelet and Artificial Neural Network Model

    Directory of Open Access Journals (Sweden)

    Ani Shabri

    2014-01-01

    Full Text Available A new method based on integrating discrete wavelet transform and artificial neural networks (WANN model for daily crude oil price forecasting is proposed. The discrete Mallat wavelet transform is used to decompose the crude price series into one approximation series and some details series (DS. The new series obtained by adding the effective one approximation series and DS component is then used as input into the ANN model to forecast crude oil price. The relative performance of WANN model was compared to regular ANN model for crude oil forecasting at lead times of 1 day for two main crude oil price series, West Texas Intermediate (WTI and Brent crude oil spot prices. In both cases, WANN model was found to provide more accurate crude oil prices forecasts than individual ANN model.

  3. The influence of global benchmark oil prices on the regional oil spot market in multi-period evolution

    International Nuclear Information System (INIS)

    Jiang, Meihui; An, Haizhong; Jia, Xiaoliang; Sun, Xiaoqi

    2017-01-01

    Crude benchmark oil prices play a crucial role in energy policy and investment management. Previous research confined itself to studying the static, uncertain, short- or long-term relationship between global benchmark oil prices, ignoring the time-varying, quantitative, dynamic nature of the relationship during various stages of oil price volatility. This paper proposes a novel approach combining grey relation analysis, optimization wavelet analysis, and Bayesian network modeling to explore the multi-period evolution of the dynamic relationship between global benchmark oil prices and regional oil spot price. We analyze the evolution of the most significant decision-making risk periods, as well as the combined strategy-making reference oil prices and the corresponding periods during various stages of volatility. Furthermore, we determine that the network evolution of the quantitative lead/lag relationship between different influences of global benchmark oil prices shows a multi-period evolution phenomenon. For policy makers and market investors, our combined model can provide decision-making periods with the lowest expected risk and decision-making target reference oil prices and corresponding weights for strategy adjustment and market arbitrage. This study provides further information regarding period weights of target reference oil prices, facilitating efforts to perform multi-agent energy policy and intertemporal market arbitrage. - Highlights: • Multi-period evolution of the influence of different oil prices is discovered. • We combined grey relation analysis, optimization wavelet and Bayesian network. • The intensity of volatility, synchronization, and lead/lag effects are analyzed. • The target reference oil prices and corresponding period weights are determined.

  4. Wavelet regression model in forecasting crude oil price

    Science.gov (United States)

    Hamid, Mohd Helmie; Shabri, Ani

    2017-05-01

    This study presents the performance of wavelet multiple linear regression (WMLR) technique in daily crude oil forecasting. WMLR model was developed by integrating the discrete wavelet transform (DWT) and multiple linear regression (MLR) model. The original time series was decomposed to sub-time series with different scales by wavelet theory. Correlation analysis was conducted to assist in the selection of optimal decomposed components as inputs for the WMLR model. The daily WTI crude oil price series has been used in this study to test the prediction capability of the proposed model. The forecasting performance of WMLR model were also compared with regular multiple linear regression (MLR), Autoregressive Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) using root mean square errors (RMSE) and mean absolute errors (MAE). Based on the experimental results, it appears that the WMLR model performs better than the other forecasting technique tested in this study.

  5. Understanding the oil price-exchange rate nexus for the Fiji islands

    International Nuclear Information System (INIS)

    Narayan, Paresh Kumar; Narayan, Seema; Prasad, Arti

    2008-01-01

    In this paper, we examine the relationship between oil price and the Fiji-US exchange rate using daily data for the period 2000-2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-a-vis the US dollar. (author)

  6. DOES VOLATILITY IN CRUDE OIL PRICE PRECIPITATE MACROECONOMIC PERFORMANCE IN NIGERIA?

    Directory of Open Access Journals (Sweden)

    Joseph Ayoola Omojolaibi

    2013-01-01

    Full Text Available This study examines the effects of crude oil price changes on economic activity in an oil dependent economy-Nigeria. A small open economy structural vector autoregressive (SVAR technique is employed to study the macroeconomic dynamics of domestic price level, economic output, money supply and oil price in Nigeria. The sample covers the data from 1985:q1 to 2010:q4. The Impulse Response Functions (IRFs and the Forecast Error Variance Decompositions (FEVDs results suggest that domestic policies, instead of oil-boom should be blamed for inflation. Also, oil price variations are driven mostly by oil shocks, however, domestic shocks are responsible for a reasonable portion of oil price variations.

  7. Oil prices and the South African economy. A macro-meso-micro analysis

    International Nuclear Information System (INIS)

    Fofana, Ismael; Chitiga, Margaret; Mabugu, Ramos

    2009-01-01

    Three levels of analysis are used to track the channels by which South Africa and its people are impacted by an increase of oil prices, namely the macro-economic level, the meso-economic level and the micro-economic/household level. The paper uses an economy and energy integrated approach to quantify these different channels. The approach combines a household survey dataset and an input-output dataset to implement the models. Results indicate that the impacts on the macroeconomy are negative, with gross domestic product falling and the current account balance worsening. All of the industries falling into the high intensive oil - use group witness an increase of their input cost that is above the economy - wide average. The impact of doubling paraffin prices results in poor households in rural areas and among the ''Black'' population, in particular, witnessing an increase of their cost of living which is much higher than their corresponding highest expenditure quintile groups. An increase of transport fuel hits the richer households much harder. The distributional impacts of rising transport cost as a consequence of high oil and oil-products prices shows that median quintile expenditure groups observe the highest impact both in urban and rural areas and especially among the ''Black'' population. (author)

  8. Macroeconomic factors and oil futures prices. A data-rich model

    International Nuclear Information System (INIS)

    Zagaglia, Paolo

    2010-01-01

    I study the dynamics of oil futures prices in the NYMEX using a large panel dataset that includes global macroeconomic indicators, financial market indices, quantities and prices of energy products. I extract common factors from the panel data series and estimate a Factor-Augmented Vector Autoregression for the maturity structure of oil futures prices. I find that latent factors generate information that, once combined with that of the yields, improves the forecasting performance for oil prices. Furthermore, I show that a factor correlated to purely financial developments contributes to the model performance, in addition to factors related to energy quantities and prices. (author)

  9. Transatlantic natural gas price and oil price relationships - an empirical analysis

    International Nuclear Information System (INIS)

    Vasquez Josse, C.I.; Neumann, A.

    2006-09-01

    Markets for natural gas in industrialized countries have witnessed profound changes in the past two decades. Trade of natural gas at spot markets in North America and Europe expanded and intensified significantly as a direct result of liberalization efforts. We test the relationships of weekly prices for crude oil and natural gas on either side of the Atlantic Basin between 1999 and 2005. Applying co-integration methodology we identify a move toward integration of historically and geographically separated markets for the homogeneous commodity natural gas. (authors)

  10. An empirical exploration of the world oil price under the target zone model

    International Nuclear Information System (INIS)

    Tang, Linghui; Hammoudeh, Shawkat

    2002-01-01

    This paper investigates the behavior of the world oil price based on the first-generation target zone model. Using anecdotal data during the period of 1988-1999, we found that OPEC has tried to maintain a weak target zone regime for the oil price. Our econometric tests suggest that the movement of the oil price is not only manipulated by actual and substantial interventions by OPEC but also tempered by market participants' expectations of interventions. As a consequence, the non-linear model based on the target zone theory has very good forecasting ability when the oil price approaches the upper or lower limit of the band

  11. An empirical exploration of the world oil price under the target zone model

    International Nuclear Information System (INIS)

    Linghui Tang; Shawkat Hammoudeh

    2002-01-01

    This paper investigates the behavior of the world oil price based on the first-generation target zone model. Using anecdotal data during the period of 1988-1999, we found that OPEC has tried to maintain a weak target zone regime for the oil price. Our econometric tests suggest that the movement of the oil price is not only manipulated by actual and substantial interventions by OPEC but also tempered by market participants' expectations of interventions. As a consequence, the non-linear model based on the target zone theory has very good forecasting ability when the oil price approaches the upper or lower limit of the band. (author)

  12. New evidence of anti-herding of oil-price forecasters

    International Nuclear Information System (INIS)

    Pierdzioch, Christian; Ruelke, Jan Christoph; Stadtmann, Georg

    2010-01-01

    We used the oil-price forecasts of the Survey of Professional Forecasters published by the European Central Bank to analyze whether oil-price forecasters herd or anti-herd. Oil-price forecasts are consistent with herding (anti-herding) of forecasters if forecasts are biased towards (away from) the consensus forecast. Based on a new empirical test developed by Bernhardt et al. (J. Financ. Econ. 80: 657-675, 2006), we found strong evidence of anti-herding among oil-price forecasters. (author)

  13. Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries

    International Nuclear Information System (INIS)

    Cologni, Alessandro; Manera, Matteo

    2008-01-01

    Sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries. Moreover, the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries. In this paper a structural cointegrated VAR model has been considered for the G-7 countries in order to study the direct effects of oil price shocks on output and prices, and the reaction of monetary variables to external shocks. Our results can be summarized as follows: i) a stationary money demand, as suggested by the classic theory of money, can be identified for most countries; ii) according to the estimated coefficients of the structural part of the model, for all countries except Japan and U.K. the null hypothesis of an influence of oil prices on the inflation rate cannot be rejected. Inflation rate shocks are transmitted to the real economy by increasing interest rates; iii) impulse response analysis suggests, for most countries, the existence of an instantaneous, temporary effect of oil price innovations on prices; iv) impulse response functions indicate different monetary policy reactions to inflationary and growth shocks; v) the simulation exercises directed to estimate the total impact of the 1990 oil price shock indicate that for some countries (U.S.) a significant part of the effects of the oil price shock is due to the monetary policy reaction function. For other countries (Canada, France and Italy), however, the total impact is offset, at least in part, by an easing of monetary conditions. (author)

  14. Jump dynamics with structural breaks for crude oil prices

    International Nuclear Information System (INIS)

    Lee, Yen-Hsien; Hu, Hsu-Ning; Chiou, Jer-Shiou

    2010-01-01

    This study investigates the joint phenomena of permanent and transitory components in conditional variance and jump intensity along with verification of structural breaks for crude oil prices. We adopt a Component-ARJI model with structural break analysis, utilizing daily data on West Texas Intermediate crude oil spot and futures contracts. The analytical results verify the existence of permanent and transitory components in conditional variance, with the permanent component of conditional variance increasing with the occurrence of a sudden major event (such as the Iraqi Invasion of Kuwait, Operation Desert Storm and the war between the US and Iraq), and a relatively greater increase in the transitory component over the same period. Notably, jump intensity fluctuates with an increase in the transitory component of conditional variance in response to abnormal events. It is the transitory component which serves as the primary influential factor for jumps in returns; therefore, speculators are willing to take large risks, particularly with respect to anticipating future price movements, or gambling, in the hopes of rapidly making substantial gains; thus, speculators prefer the temporary volatility component and engage in trade activities. However, investors prefer the permanent volatility component, because they may well be better off relocating their assets into more stable portfolios to outperform the market portfolio over the long run. (author)

  15. Jump dynamics with structural breaks for crude oil prices

    Energy Technology Data Exchange (ETDEWEB)

    Lee, Yen-Hsien [Department of Finance, Chung Yuan Christian University (China); Hu, Hsu-Ning [Department of Money, Banking and Finance, TamKang University (China); Chiou, Jer-Shiou [Department of Finance and Banking, Shih Chien University, 70 Ta-Chih Street, Taipei 104 (China)

    2010-03-15

    This study investigates the joint phenomena of permanent and transitory components in conditional variance and jump intensity along with verification of structural breaks for crude oil prices. We adopt a Component-ARJI model with structural break analysis, utilizing daily data on West Texas Intermediate crude oil spot and futures contracts. The analytical results verify the existence of permanent and transitory components in conditional variance, with the permanent component of conditional variance increasing with the occurrence of a sudden major event (such as the Iraqi Invasion of Kuwait, Operation Desert Storm and the war between the US and Iraq), and a relatively greater increase in the transitory component over the same period. Notably, jump intensity fluctuates with an increase in the transitory component of conditional variance in response to abnormal events. It is the transitory component which serves as the primary influential factor for jumps in returns; therefore, speculators are willing to take large risks, particularly with respect to anticipating future price movements, or gambling, in the hopes of rapidly making substantial gains; thus, speculators prefer the temporary volatility component and engage in trade activities. However, investors prefer the permanent volatility component, because they may well be better off relocating their assets into more stable portfolios to outperform the market portfolio over the long run. (author)

  16. Oil prices, nuclear energy consumption, and economic growth: New evidence using a heterogeneous panel analysis

    International Nuclear Information System (INIS)

    Lee, Chien-Chiang; Chiu, Yi-Bin

    2011-01-01

    This paper applies panel data analysis to examine the short-run dynamics and long-run equilibrium relationships among nuclear energy consumption, oil prices, oil consumption, and economic growth for developed countries covering the period 1971-2006. The panel cointegration results show that in the long run, oil prices have a positive impact on nuclear energy consumption, suggesting the existence of the substitution relationship between nuclear energy and oil. The long-run elasticity of nuclear energy with respect to real income is approximately 0.89, and real income has a greater impact on nuclear energy than do oil prices in the long run. Furthermore, the panel causality results find evidence of unidirectional causality running from oil prices and economic growth to nuclear energy consumption in the long run, while there is no causality between nuclear energy consumption and economic growth in the short run. - Research highlights: → We examine the relationship among nuclear energy consumption, oil prices, oil consumption, and economic growth for developed countries. → The existence of the substitution relationship between nuclear energy and oil. → Real income has a greater impact on nuclear energy than do oil prices in the long run. → An unidirectional causality running from oil prices and economic growth to nuclear energy consumption in the long run.

  17. Price volatility, hedging and variable risk premium in the crude oil market

    International Nuclear Information System (INIS)

    Ahmad Jalali-Naini; Maryam Kazemi Manesh

    2006-01-01

    The crude oil price exhibits a high degree of volatility which varies significantly over time. Such characteristics imply that the oil market is a promising area for testing volatility models. Testing and predicting volatility using ARCH and GARCH models have grown in the literature. A useful application of the volatility models is in the formulation of hedging strategies. In this paper we compare the optimal hedge ratio for the crude oil using the classical minimum risk approach and use ARCH to incorporate the effect of heteroskedasticity in the residuals on the hedge ratio. In addition, we test for the existence of a variable risk premium in the crude oil market. We find that, assuming rational expectations, there is a non-zero risk premium. We test for the variability of the risk premia and find evidence in its support when we employed a multivariate GARCH model. (author)

  18. The imperfect price reversibility of non-transport oil demand in the OECD

    International Nuclear Information System (INIS)

    Dargay, J.; Gately, D.

    1995-01-01

    This paper examines the price reversibility of OECD non-transport oil demand and its components: residual (heavy) fuel oil, non-transport distillates and other non-transport oil products. Our purpose is to determine the extent to which the reductions in demand following the oil price increases of the 1970s have been - and will be - reversed by the price cuts of the 1980s. The analysis is based on an econometric model which utilizes price decomposition methods to measure separately the effects of price increases and price decreases. These methods allow empirical testing of irreversibility and hysteresis, and should be applicable in other areas of economics where asymmetry of response or persistence of effect are evident. Based on the statistical evidence, we reject the conventional specification of demand being perfectly price reversible. We conclude that the response to the price cuts of the 1980s has been significantly smaller than to the price increases of the 1970s. Demand has followed a ratchet process: price increases reduced demand substantially when demanders conserved and switched away from oil, but price cuts did not reverse this process completely, if at all. This has important implications for projections of oil demand, especially under low price assumptions: the OECD's dependency on oil will not increase as much as some analysts may have feared. There is, however, another aspect of imperfect price reversibility: the possibilities of adjusting to future price rises may not be as great as they have been in the past. The easiest and least costly demand savings have already been made, and oil has been replaced by other energy sources in many uses: what's done is done. (author)

  19. DEVELOPMENT OF TIGHT OIL RESOURCES IN USA: PROFITABILITY OF EXPLOITATION AND EFFECT OF MACROECONOMIC INDICATORS IN VOLATILE OIL PRICE ENVIRONMENT

    Directory of Open Access Journals (Sweden)

    Kristina Strpić

    2017-01-01

    Full Text Available Large scale development of tight oil resources in US started after 2010. with following five-year period of favorable steady increase in crude oil price. During this relatively short expansion cycle, operating and capital expenses changed drastically for main tight oil plays due to technological improvements in both well drilling and completion, expansion of service sector as well as loose government monetary policy which allowed favorable financing. This paper analyzed trends in costs during expansion period, as well as correlation of oil price to number of operating rigs and production quotas. After 2008/2009. world financial crisis economy recovery in US was somewhat sluggish and it caused extreme volatile environment in both equity and commodity markets. In such volatile environment intra-day crude oil prices, as well as other commodities and equities, show significant reaction to monthly published macroeconomic indicator reports, which give better overviews of trends in economic recovery. Prior to announcement, these reports always have forecasted value determined by consensus among market analysts. Therefore, any positive or negative surprise in real value tends to influence price of oil. This paper investigated influence of such macroeconomic reports to closing intraday oil price, as well as effect of other important daily market indices. Analysis showed that only Producer Price Index (PPI, among other indicators, has statistical significance of affecting intraday closing oil price.

  20. The Volatility of Oil Prices on Stock Exchanges in the Context of Recent Events

    Directory of Open Access Journals (Sweden)

    Popescu Maria-Floriana

    2016-04-01

    Full Text Available Oil along with currencies and gold are the main indicators of the most important processes which take place in the world economy, quotations’ volatility being always followed by economic and social events. Quiet periods of oil prices, when quotations have a constant evolution or only suffer minor fluctuations, are very rare. Most of the time, very sharp price increases or decreases are happening over night or week. This is mostly due to the fact that the oil market is extremely speculative, being influenced by political, military, social, or meteorological events. Since the major oil price shocks of the 70s, the impact of oil price changes on the economic reality of a country or region has been widely studied by academic researchers. Moreover, the stock market plays an important role in the economic welfare and development of a country. Therefore, a vast number of studies have investigated the relationship between oil prices and stock market returns, being discovered significant effects of oil price shocks on the macroeconomic activity for both developed and emerging countries. The purpose of this study is to investigate the volatility of oil prices on stock exchanges taking into consideration the recent events that have affected the oil markets around the globe. Furthermore, based on the findings of this research, some possible scenarios will be developed, taking into account various events that might take place and their potential outcome for oil prices’ future.

  1. Diversification of Oil and Gas Companies’ Activities in the Condition of Oil Prices Reduction and Economic Sanctions

    Directory of Open Access Journals (Sweden)

    Anastasia V. Sheveleva

    2016-01-01

    Full Text Available This article analyzes the influence of the economic sanctions imposed from the USA and the EU and oil prices reduction on the oil and gas companies and the directions of diversification of their activity as a method of management of price risks are considered. In the modern dynamic and quickly developing world, in the conditions of globalization and market economy, the oil and gas companies are affected by various risks which can exert negative impact on production and financial results. Risks can arise in absolutely various spheres, beginning from natural and technological hazards, and finishing with price risks. Sharp reduction of oil prices and decrease in demand for energy resources in the world markets, first of all in the European countries, input of financial or technological sanctions from the USA and Europe against Russia in 2014 has caused necessity of search a new more effective methods of price risks management of the oil and gas company. The methods of price risk management include the creation of commodity reserves, the establishment of a reserve fund, long-term contracts, subsidies from the state and the diversification of activities. The most effective it is possible to offer diversification of oil and gas companies' activity. It is expedient to carry out diversification of oil and gas companies' activity in such directions as geographical diversification of the oil, oil products and gas realization directions, geographical diversification of oil and gas companies' purchasing activity, diversification of oil, oil products and gas transportation ways, diversification of oil and gas companies' business. This approach allows to expand the activities of the oil and gas companies and create additional ways to generate revenue and enhance efficiency of oil and gas companies.

  2. The role of market fundamentals and speculation in recent price changes for crude oil

    International Nuclear Information System (INIS)

    Kaufmann, Robert K.

    2011-01-01

    I hypothesize that the price spike and collapse of 2007-2008 are driven by both changes in both market fundamentals and speculative pressures. Contrary to arguments for a demand shock, I hypothesize that prices rise sharply in 2007-2008 because ongoing growth in Chinese oil demand runs into a sudden and unexpected halt to a decade long increase in non-OPEC production. This caused a loss of OPEC spare capacity because increased demand for OPEC production runs ahead of increases in OPEC capacity. These changes are reinforced by speculative expectations. Although difficult to measure directly, I argue for the role of speculation based on the following: (1) a significant increase in private US crude oil inventories since 2004; (2) repeated and extended break-downs (starting in 2004) in the cointegrating relationship between spot and far month future prices that are inconsistent with the law of one price and arbitrage opportunities; and (3) statistical and predictive failures by an econometric model of oil prices that is based on market fundamentals. These changes are related to the behavior and impact of noise traders on asset prices to sketch mechanisms by which speculative expectations can affect crude oil prices. - Research Highlights: → The 2007-2009 spike and collapse in oil prices is caused by a combination of market fundamentals and speculative expectations. → The rise is caused by an unexpected hiatus in non-OPEC oil production, not a sudden increase in demand. → The role of speculation is suggested by an increase in oil inventories, which reverses a twenty year period of declines, a decoupling between spot and futures prices, which violates the law of one price, and a breakdown of empirical models of oil prices based solely on market fundamentals. → Speculative expectations affect oil prices via noise traders, who create a risk that deters rational arbitrageurs from betting against them.

  3. The Effects of Oil Price Shocks on Turkish Business Cycle: A Markov Switching Approach

    Directory of Open Access Journals (Sweden)

    Vasif Abiyev

    2015-10-01

    Full Text Available Purpose - The purpose of this study is to investigate the relationship between oil price changes and the output growth in Turkey. Design/methodology/approach - The data were taken from International Financial Statistics databases, consisting of monthly data for the period 1986:01-2014:09. Different univariate Markov - switching regime autoregressive models are specified and estimated. Among them we selected univariate MSIH(3 - AR(2 model for output and extended it to verify if the inclusion of various asymmetric oil price shocks as an exogenous variable improves the ability of the Markov switching model. Four different oil price shocks are considered. Findings - We find that among various oil price shocks, only net oil price increases have negative effects on output growth and mitigate the magnitude of some recessionary periods in Turkey. However, it doesn’t strongly explain the behavior of business cycle in Turkey. Research limitations/implications - Our results suggest that the inclusion of other fundamental financial factors in the bivariate Markov switching model of aggregate economic activity and oil price changes becomes important to explicitly detect the negative impact of oil price shocks on output in Turkey. Originality/value - Our results support the existence of a negative relationship between oil price increases and output growth mentioned in the literature and empirical studies on Turkey.

  4. Oil-Price Shocks: Beyond Standard Aggregate Demand/Aggregate Supply Analysis.

    Science.gov (United States)

    Elwood, S. Kirk

    2001-01-01

    Explores the problems of portraying oil-price shocks using the aggregate demand/aggregate supply model. Presents a simple modification of the model that differentiates between production and absorption of goods, which enables it to better reflect the effects of oil-price shocks on open economies. (RLH)

  5. The fluctuations in oil prices in the OPEC countries and the impact on the world oil market

    Directory of Open Access Journals (Sweden)

    Buryanova N.V.

    2017-08-01

    Full Text Available the article examines the issues of influence of OPEC countries on the international oil market. Also, the author analyzes the state of the oil market and fluctuations in oil prices at the macroeconomic level for 2011–2016.

  6. An analysis of factors affecting price volatility of the US oil market

    International Nuclear Information System (INIS)

    Yang, C.W.; Hwang, M.J.; Huang, B.N.

    2002-01-01

    This paper studies the price volatility of the crude oil market by examining the market structure of OPEC, the stable and unstable demand structure, and related elasticity of demand. In particular, the impacts of prosperity and recession of the world economy and the resulting demand shift on crude oil price are investigated. The error correction model is used to estimate the demand relations and related elasticity. The income effect on demand functions is evaluated to shed light on future prices. A simulation of potential oil prices under different scenarios on a cut of one million barrels per day by OPEC is evaluated. From our simulation, given the 4% cut in OPEC production, the oil price is expected to increase unless the recession is severe. The magnitude and scope of a price hike would be diminished if non-OPEC or domestic production were greatly expanded

  7. The impact of oil price increase on the Euro area's growth

    International Nuclear Information System (INIS)

    Jamet, Jean-Francois

    2008-01-01

    In a first part, the author of this article comments the increase of oil prices since 2002 and notices that the magnitude is similar to that noticed during the 1973 and 1979 oil-shocks. He outlines that several factors have limited the impact of the oil price increase in the Euro area, notably the Euro appreciation with respect to the dollar: the Euro appreciation has absorbed half of the oil price increase, the oil intensity of the European economy has decreased, a tax damping effect has been noticed, and more competitive markets limit the inflation risk. The author assesses the impact of oil price increase on the growth of the Euro zone since 2002: recessionary effect of oil price increase, an actual impact but limited by the appreciation of Euro. Perspectives for 2008 are discussed: predictable oil price evolution and its impact of growth in 2008, policy and action of the ECB (European Central Bank) in front of the impact of oil price increase on inflation and on activity

  8. Oil price shocks and stock markets in the U.S. and 13 European countries

    International Nuclear Information System (INIS)

    Park, Jungwook; Ratti, Ronald A.

    2008-01-01

    Oil price shocks have a statistically significant impact on real stock returns contemporaneously and/or within the following month in the U.S. and 13 European countries over 1986:1-2005:12. Norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase. The median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6% of the volatility in real stock returns. For many European countries, but not for the U.S., increased volatility of oil prices significantly depresses real stock returns. The contribution of oil price shocks to variability in real stock returns in the U.S. and most other countries is greater than that of interest rate. An increase in real oil price is associated with a significant increase in the short-term interest rate in the U.S. and eight out of 13 European countries within one or two months. Counter to findings for the U.S. and for Norway, there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing European countries. (author)

  9. The outlook for oil prices in 1992 - results of a survey

    International Nuclear Information System (INIS)

    Hawdon, D.

    1992-01-01

    The eighth in a series of oil price expectation studies took place on 18th March 1992 at the Prospects for Oil Prices conference held at the University of Surrey. Thirty-one participants returned a questionnaire designed to elicit 12 month ahead and 5 year ahead price expectations. Respondents were asked to indicate their view of the likely price of oil in certain broad price ranges. These were selected to cover the wide variation of prices experienced since the early 1970s. The results show the 12 month's ahead expectations all clustered in the range $10 to $25 per barrel and $16-$20 as the median predicted price. In comparison with the 1991 expectations, a much higher proportion of respondents (77.4 as compared to 50% in 1991) gave $16-20 as their expected price range, whilst fewer expected prices to rise (19% compared with 46% in 1991). The stability of the 12 month ahead price expectations is a remarkable feature of a period which has witnessed much tension in the Middle East and in the former Soviet Union. This stability extends to the 5 year ahead forecasts as well. Here the median expectation is for prices to rise to the $21-25 per barrel range in money of the day terms though there is evidence of a growing scepticism about the oil market's ability to sustain higher prices in the long run. (author)

  10. What have we learned from the experience of low oil prices?

    International Nuclear Information System (INIS)

    Alhajji, A.F.

    2001-01-01

    This article is an attempt to assess the effect of the low oil prices the world experienced in the mid-1980s, 1998 and early 1999. Such an assessment will help us predict the consequences of low oil prices in the future. The study focuses on the boon and bane of low oil prices from the producers' and consumers' points of view. Low oil prices, which are not related to technology and lower production costs, have depleted oil reserves, increased the income gap between consumers and producers, created friction among OPEC Members and between OPEC and non-OPEC producers, and led to the imposition of tariffs on oil imports in consuming countries. In addition, they have led to economic hardship in oil-producing countries, including declines in oil revenue, budget deficits, budget cuts and cancelled projects, borrowing and debts, deterioration in the balance of payments, negative economic growth, currency devaluations and political unrest. They have affected oil companies through reduced earnings, forced lay-offs of workers, lower investment and increased mergers. Despite these disadvantages, oil producers may benefit from low oil prices in the long run. They will increase demand, slow the process of substitution and decrease non-OPEC production. Consumers, on the other hand, will benefit from low oil prices, through higher economic growth and disposable income, and lower legislative and import costs. In addition, consumers will drive faster and longer. These benefits do not come without cost. Low prices will also increase the future vulnerability of consuming countries and lead to more dependence on oil at the expense of alternative energy sources, more dependence on oil imports, more waste, more environmental damage and less efficiency. After outlining the advantages and disadvantages, the study concludes that the disadvantages of low oil prices outweigh their benefits; that is, low oil prices have caused substantial damage. This is due to market inefficiencies and

  11. The relationship between global oil price shocks and China's output: A time-varying analysis

    International Nuclear Information System (INIS)

    Cross, Jamie; Nguyen, Bao H.

    2017-01-01

    We employ a class of time-varying Bayesian vector autoregressive (VAR) models on new standard dataset of China's GDP constructed by to examine the relationship between China's economic growth and global oil market fluctuations between 1992Q1 and 2015Q3. We find that: (1) the time varying parameter VAR with stochastic volatility provides a better fit as compared to it's constant counterparts; (2) the impacts of intertemporal global oil price shocks on China's output are often small and temporary in nature; (3) oil supply and specific oil demand shocks generally produce negative movements in China's GDP growth whilst oil demand shocks tend to have positive effects; (4) domestic output shocks have no significant impact on price or quantity movements within the global oil market. The results are generally robust to three commonly employed indicators of global economic activity: Kilian's global real economic activity index, the metal price index and the global industrial production index, and two alternative oil price metrics: the US refiners' acquisition cost for imported crude oil and the West Texas Intermediate price of crude oil. - Highlights: • A class of time-varying BVARs is used to examine the relationship between China's economic growth and global oil market fluctuations. • The impacts of intertemporal global oil price shocks on China's output are often small and temporary in nature. • Oil supply and specific oil demand shocks generally produce negative movements in China's GDP growth while oil demand shocks tend to have positive effects. • Domestic output shocks have no significant impact on price or quantity movements within the global oil market.

  12. Simulating an oil shock with sticky prices. [Monograph

    Energy Technology Data Exchange (ETDEWEB)

    Giavazzi, F; Odekon, M; Wyplosz, C

    1981-01-01

    The authors extend recent work by J. Sachs on the response of a two-country-plus-OPEC neo-classical model to an oil shock with full inter-temporal optimization and perfect foresight. The role of imperfectly flexible prices is studied under the assumption that firms are constrained in output. The presence of expected inflation is shown to be pervasive. It affects the real interest-rate term structure and the valuation of all components of wealth, as well as the exchange rate and the attending distribution of world expenditures. Inflation also enters the wage-adjustment mechanism and, therefore, the path of unemployment and capital accumulation. 23 references, 3 figures, 7 tables.

  13. CAViaR-based forecast for oil price risk

    International Nuclear Information System (INIS)

    Huang, Dashan; Yu, Baimin; Fabozzi, Frank J.; Fukushima, Masao

    2009-01-01

    As a benchmark for measuring market risk, value-at-risk (VaR) reduces the risk associated with any kind of asset to just a number (amount in terms of a currency), which can be well understood by regulators, board members, and other interested parties. This paper employs a new VaR approach due to Engle and Manganelli [Engle, R.F., Manganelli, S., 2004. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles. Journal of Business and Economic Statistics 22, 367-381] to forecasting oil price risk. In doing so, we provide two original contributions by introducing a new exponentially weighted moving average CAViaR model and developing a mixed data regression model for multi-period VaR prediction. (author)

  14. On the link between oil and commodity prices: a panel VAR approach

    International Nuclear Information System (INIS)

    Bremond, Vincent; Hache, Emmanuel; Joets, Marc

    2013-12-01

    The aim of this paper is to study the relationships between the price of oil and a large dataset of commodity prices, relying on panel data settings. Using second generation panel co-integration tests, our findings show that the WTI and commodity prices are not linked in the long term. Nevertheless, considering our results in causality tests, we show that short-run relations exist, mainly from the price of crude oil to commodity prices. We thus implement a panel VAR estimation with an impulse response function analysis. Two main conclusions emerge: (i) fast co-movements are highlighted, while (ii) market efficiency is emphasized. (authors)

  15. Does Climate Change Mitigation Activity Affect Crude Oil Prices? Evidence from Dynamic Panel Model

    Directory of Open Access Journals (Sweden)

    Jude C. Dike

    2014-01-01

    Full Text Available This paper empirically investigates how climate change mitigation affects crude oil prices while using carbon intensity as the indicator for climate change mitigation. The relationship between crude oil prices and carbon intensity is estimated using an Arellano and Bond GMM dynamic panel model. This study undertakes a regional-level analysis because of the geographical similarities among the countries in a region. Regions considered for the study are Africa, Asia and Oceania, Central and South America, the EU, the Middle East, and North America. Results show that there is a positive relationship between crude oil prices and carbon intensity, and a 1% change in carbon intensity is expected to cause about 1.6% change in crude oil prices in the short run and 8.4% change in crude oil prices in the long run while the speed of adjustment is 19%.

  16. Oil price shocks: Sectoral and dynamic adjustments in a small-open developed and oil-exporting economy

    International Nuclear Information System (INIS)

    Dissou, Yazid

    2010-01-01

    The recent uptrend in oil prices represents both an opportunity and a challenge for small-open developed and oil-exporting countries. Using Canada as a study case and in contrast to most studies that use aggregate models, this paper employs a multi-sector, intertemporal general equilibrium model to provide perspectives on the sectoral, aggregate and dynamic adjustments of a sustained increase in oil prices. It highlights the transmission channels through which the rise in oil prices affects the domestic economy. The simulation results suggest that the shock would have positive aggregate impacts, but would also spur the reallocation of resources and would therefore induce disparities in sectoral adjustments. The suggested contraction in some industries could not however be attributed to a pure Dutch disease phenomenon because of, among other factors, the cost-push effect induced by the increase in oil prices.

  17. China and the relationship between the oil price and the dollar

    International Nuclear Information System (INIS)

    Benassy-Quere, Agnes; Mignon, Valerie; Penot, Alexis

    2007-01-01

    We study cointegration and causality between the real price of oil and the real price of the dollar over the 1974-2004 period. Our results suggest that a 10% rise in the oil price coincides with a 4.3% appreciation of the dollar in the long run, and that the causality runs from oil to the dollar. Through the development of a theoretical model, we then investigate possible reasons why this relationship could be reversed in the future due to the emergence of China as a major player on both the oil and the foreign exchange markets

  18. Evaluating the Mechanism of Oil Price Shocks and Fiscal Policy Responses in the Malaysian Economy

    International Nuclear Information System (INIS)

    Bekhet, Hussain A; Yusoff, Nora Yusma Mohamed

    2013-01-01

    The paper aims to explore the symmetric impact of oil price shock on economy, to understand its mechanism channel and how fiscal policy response towards it. The Generalized Impulse Response Function and Variance Decomposition under the VAR methodology were employed. The empirical findings suggest that symmetric oil price shock has a positive and direct impact on oil revenue and government expenditure. However, the real GDP is vulnerable in a short-term but not in the long term period. These results would confirm that fiscal policy is the main mechanism channel that mitigates the adverse effects oil price shocks to the economy.

  19. The impact of oil price shocks. Evidence from the industries of six OECD countries

    International Nuclear Information System (INIS)

    Jimenez-Rodriguez, Rebeca

    2008-01-01

    Most of the studies about the macroeconomic consequences of oil price shocks have been focused on US aggregate data. In contrast to these studies, this paper empirically assesses the dynamic effect of oil price shocks on the output of the main manufacturing industries in six OECD countries. The pattern of responses to an oil price shock by industrial output is diverse across the four European Monetary Union (EMU) countries under consideration (France, Germany, Italy, and Spain), but broadly similar in the UK and the US. Moreover, evidence on cross-industry heterogeneity of oil shock effects within the EMU countries is also reported. (author)

  20. Evaluating the Mechanism of Oil Price Shocks and Fiscal Policy Responses in the Malaysian Economy

    Science.gov (United States)

    Bekhet, Hussain A.; Yusoff, Nora Yusma Mohamed

    2013-06-01

    The paper aims to explore the symmetric impact of oil price shock on economy, to understand its mechanism channel and how fiscal policy response towards it. The Generalized Impulse Response Function and Variance Decomposition under the VAR methodology were employed. The empirical findings suggest that symmetric oil price shock has a positive and direct impact on oil revenue and government expenditure. However, the real GDP is vulnerable in a short-term but not in the long term period. These results would confirm that fiscal policy is the main mechanism channel that mitigates the adverse effects oil price shocks to the economy.

  1. Oil Shocks and Stock Prices of Airlines - An East Asia Perspective

    OpenAIRE

    Lee, Pau Boon

    2005-01-01

    The aim of this dissertation is to study and analyse the impact of oil price shock on the share prices of airline companies in East Asia, in particular international air carriers from Japan, Hong Kong, South Korea, Singapore and Malaysia by looking at how the companies‘ share prices respond to the news of oil shocks. The companies involved in this study were Japan Airlines ("JAL"), All Nippon Airways ("ANA"), Cathay Pacific Airways ("Cathay"), Korean Air ("KAL"), Malaysian Airlines ("MAS") an...

  2. Exploring asymmetric behavior pattern from Indian oil products prices using NARDL and GHSOM approaches

    International Nuclear Information System (INIS)

    Chattopadhyay, Manojit; Kumar Mitra, Subrata

    2015-01-01

    The present work endeavors to explore the potential asymmetries in the pricing of oil products in India where prices are not only affected by the crude oil price changes in the international markets but are also subject to government interventions. In order to protect domestic consumers from this volatility, historically the government of India tried to control the domestic price of petroleum products by cross subsidization and giving subsidies. In this paper, we analyze the impact of crude oil price on domestic oil prices by applying nonlinear autoregressive distributed lag (NARDL) and Growing Hierarchical Self-Organizing Map (GHSOM) approaches for the period of April, 2005–July, 2014. The GHSOM has been explored through pattern analysis on the asymmetric behavior using similarity measures. From the study it can be interpreted that the prices of products left to be determined by the market exhibit a strong asymmetry. However, pricing of the products that are monitored and controlled by the government do not exhibit any such asymmetry. Hence, the question still remains – should the government intervene in pricing petroleum products when monopolistic attitudes of large oil companies are detrimental to the interest of retail consumers? - Highlights: • We explored the potential asymmetries in the pricing of oil products in India. • Analyze cointegration and asymmetric behavior of oil products by NARDL approach. • GHSOM method has been explored for pattern analysis on the asymmetric behavior. • The analysis reveals that the market determined prices exhibits a strong asymmetry. • Oil product pricing controlled by the government do not exhibit such asymmetry.

  3. Symmetric or asymmetric oil prices? A meta-analysis approach

    International Nuclear Information System (INIS)

    Perdiguero-García, Jordi

    2013-01-01

    The analysis of price asymmetries in the gasoline market is one of the most widely studied in energy economics. However, the great variation in the outcomes reported makes the drawing of any definitive conclusions difficult. Given this situation, a meta-analysis serves as an excellent tool to discover which characteristics of the various markets analyzed, and which specific features of these studies, might account for these differences. In adopting such an approach, this paper shows how the particular segment of the industry analyzed, the characteristics of the data, the years under review, the type of publication and the introduction of control variables might explain this heterogeneity in results. The paper concludes on these grounds that increased competition may significantly reduce the possibility of occurrence of asymmetric behavior. These results should be taken into consideration therefore in future studies of asymmetries in the oil industry. - Highlights: ► I study asymmetries in the price gasoline industry through a meta-analysis regression. ► The asymmetries are produced mainly in the retail market. ► The asymmetries are less frequent when we analyze recent cases. ► There may be some degree of publication bias. ► The level of competition may explain the patterns of asymmetry

  4. Uranium prices approaching a 7 year high

    International Nuclear Information System (INIS)

    Anon.

    1996-01-01

    This paper provides a market overview of the uranium market. The spot market activity totaled approximately 1.1 million lbs of U3O8 and equivalent. The restricted uranium spot market price range jumped from a high last month of $12.25 to a low this month of $12.45 There was a more moderate increase in the unrestricted range with this month's low end rising to last month's high of $10.15. Conversion prices remained steady and the lower end of the SWU range rose slightly to $92

  5. Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries

    International Nuclear Information System (INIS)

    Liu, Chang; Sun, Xiaolei; Chen, Jianming; Li, Jianping

    2016-01-01

    This paper focuses on the application of panel models for identification and analysis of influence of oil price volatility on statistical properties of country risk ratings which stem from uncertainty of macroeconomic fluctuations. Firstly, two statistical properties of country risk ratings, volatility clustering and asymmetrical revision were identified in a theoretical framework based on Cruces (2006). Secondly, considering the oil price volatility, numerical experiments were conducted based on extended models to test and verify specific properties of country risk ratings in selected oil-exporting countries. Empirical results suggest that properties of country risk remain comparatively steady despite oil price volatility. It is also found that the oil price volatility can obviously exaggerate the country risk volatility, as it happened during 2007–2009. Country clustering based on the properties of country risk ratings shows that the selected countries maintain a significant clustering tendency. These features are of great importance for estimating risk exposure of international trade and investments in oil export during extreme situations. - Highlights: •Relationship between oil price volatility and country risk is the focus. •An extended model based on Cruces (2006) is proposed. •Volatility clustering and asymmetrical revision of country risk ratings is explored. •Oil price volatility can obviously exaggerate properties of country risk volatility.

  6. Meta-Analysis of the Oil Price Elasticity of the GDP for Policy Analysis: Documentation

    Energy Technology Data Exchange (ETDEWEB)

    Leiby, Paul Newsome [Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States); Bowman, David Charles [Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States); Oladosu, Gbadebo A. [Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States); Uria Martinez, Rocio [Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States); Johnson, Megan M. [Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States)

    2017-08-01

    Given the important role of oil in economic activities, policy makers are interested in estimates of the potential damage to the economy from oil price shocks, particularly during periods of rapid and large increases that accompany severe shocks. Such estimates are needed to quantify the economic costs of oil price shocks, and to evaluate the potential benefits of alternative policy responses. Although research on the economic impacts of oil price shocks is extensive and has generally found that large increases in oil prices exert negative economic impacts, the range of estimates, summarized by the oil price elasticity of the GDP or other aggregate measure of economic activity, is very wide. There are also conditions under which the relationship between the oil price and the economy could be positive. The range of estimates of the oil price elasticity of the GDP for the United States is typified by averages from the studies of Hamilton (2005, 2012) and Kilian and Vigfusson (2014), in which the implied elasticities were -0.014 to - 0.069 and +0.004 to -0.052, respectively. We employ a meta-regression approach to systematically summarize available estimates of the oil price elasticity of the GDP for oil importing economies, and examine the role of key factors. The resulting regression model was used to estimate the oil price elasticity of the GDP for the United States. Based on this we estimate the mean elasticity for the United States at -0.0238, with a 68% confidence interval of -0.0075 to -0.0402, four quarters after a shock.

  7. Oil Price Forecasting Using Crack Spread Futures and Oil Exchange Traded Funds

    Directory of Open Access Journals (Sweden)

    Hankyeung Choi

    2015-04-01

    Full Text Available Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives products (namely, crack spread futures and the ETF crack spread for modeling and forecasting daily OPEC crude oil spot prices is evaluated. Based on the results of a structural break test, the sample is divided into pre-crisis, crisis, and post-crisis periods. We find a unidirectional relationship from the two crack spread derivatives markets to the crude oil spot market during the post-crisis period. In terms of forecasting performance, the forecasting models based on crack spread futures and the ETF crack spread outperform the Random Walk Model (RWM, both in-sample and out-of-sample. In addition, on average, the results suggest that information from the ETF crack spread market contributes more to the forecasting models than information from the crack spread futures market.

  8. Oil price fluctuations and their impact on the macroeconomic variables of Kuwait: a case study using a VAR model

    International Nuclear Information System (INIS)

    Eltony, M. Nagy; Al-Awadi, Mohammad

    2001-01-01

    In this study, a vector autoregression model (VAR) and a vector error correction model (VECM) were estimated to examine the impact of oil price fluctuations on seven key macroeconomic variables for the Kuwaiti economy. Quarterly data for the period 1984-1998 were utilised. Theoretically and empirically speaking, VECM is superior to the VAR approach. Also, the results corresponding to the VECM model are closer to common sense. However, the estimated models indicate a high degree of interrelation between major macroeconomic variables. The empirical results highlight the causality running from the oil prices and oil revenues, to government development and current expenditure and then towards other variables. For the most part, the empirical evidence indicates that oil price shocks and hence oil revenues have a notable impact on government expenditure, both development and current. However, government development expenditure has been influenced relatively more. The results also point out the significant of the CPI in explaining a notable part of the variations of both types of government expenditure. On the other hand, the variations in value of imports are mostly accounted for by oil revenue fluctuations. On the other hand, the variations in value of imports are mostly accounted for by oil revenue fluctuations and then by the fluctuation in government development expenditures. Also, the results from the VECM approach indicate that a significant part of LM2 variance is explained by the variance in oil revenue. It reaches about 46 per cent in the 10th quarter, even more than its own variations. (Author)

  9. Climate policies between carbon prices, oil rents and urban dynamics

    International Nuclear Information System (INIS)

    Waisman, H.

    2012-01-01

    This thesis investigates the effects of constraints imposed on economic interactions by limitations due to natural resources, among which oil and urban land play a crucial role in the context of climate change. These dimensions, often neglected in existing analyses, have an ambiguous effect since they suggest both the risk of enhanced costs if carbon limitations reinforce the sub-optimalities caused by pre-existing constraints, but also, conversely, the possibility of co-benefits if the climate policy helps to correct some pre-existing imperfections of socio-economic trajectories. To investigate this issue, an innovative modeling framework of the energy-economy interactions is elaborated that embarks the specificities of the deployment of oil production capacities and the issues related to the spatial organization in urban areas. We demonstrate that, beyond the carbon price, the costs of climate policy essentially depend on the sequencing of complementary measures, with a crucial role of spatial policy designed to control transport-related emissions through mobility. (author)

  10. Prices high, tensions ease and a new OPEC is formed

    International Nuclear Information System (INIS)

    Anon

    2006-01-01

    Crude oil prices rose on news that BP was to shut-in its 400,000 bpd Prudhoe Bay field, following the discovery of corrosion in a pipeline serving the field. Dated BFO went to a record high of $78.72/bbl on 8th August. Speculation that refiners on the US West Coast would seek to replace the lost Alaska North Slope crude with supplies from the Asia/Pacific region caused prices to rise there as well. US crude prices were rather less affected than elsewhere by events in Alaska as it rapidly became clear that stock levels were sufficient to deal with any loss of production. It also emerged that BP was able to keep about half of Prudhoe Bay in production. By that time, however, oil markets had latched on to an entirely different source of worry. The announcement in London that police had uncovered a plot to blow-up aeroplanes crossing the Atlantic led to concerns of a sharp fall in passenger travel. Traders were not simply worried about the effect of this on the demand for jet fuel, but expressed concerns of a more general loss of business confidence across the world. Fears over a fall in jet fuel consumption did not appear to have spread to Singapore, where jet kerosine traded at an all-time high of $91.75/bbl early in August. (author)

  11. Oil price risk management in the 1990s - issues for producers and lenders

    International Nuclear Information System (INIS)

    Lambert, S.

    1994-01-01

    Oil prices have exhibited considerable volatility over the past five or ten years and the management of oil price risk has become an important factor in underpinning the viability of many oil producing operations from both a lender's and investor's perspective. Various oil based hedging products are now available to protect against such volatility, ranging from products which fix forward prices to option based arrangements which set a floor price but retain some (or all) of the potential upside. These products have particular relevance for petroleum companies with limited financial resources or who are looking to limit recourse to particular assets/cash flows. There are a number of techniques which can be successfully combined to mitigate oil price volatility and the most relevant of these to a producer are discussed. The recent development of the Tapis swap and option markets, which have provided flexibility to Australasian producers, is also discussed. Oil based financial products can also be used as a method of funding (e.g. for a development or acquisition) as an alternative to traditional cash based borrowing structures, thus creating a natural hedge against oil price movements. It is estimated that the use of such structures, coupled with a well structured revenue hedging program, can enhance a project's attractiveness from a lender's perspective (particularly with respect to protection against down side movements in oil price) and/or provide greater certainty of returns to producers. A case study of a recent commodity risk management based financing is presented. 1 fig., 6 tabs

  12. Oil prices and current account: A structural analysis for the Turkish economy

    International Nuclear Information System (INIS)

    Ozlale, Umit; Pekkurnaz, Didem

    2010-01-01

    Although there has been an increasing number of studies about the effects of oil prices on the macroeconomic performances, the literature on the interaction between oil prices and current account is limited, especially for oil importing developing countries. This paper analyzes the impact of oil prices on the current account balances for the Turkish economy using a structural vector autoregression model. Our model allows us to identify the net effect of oil prices on current account balances after controlling for other factors such as output gap and exchange rate misalignment. The results show that the response of current account ratio to oil price shock increases gradually up to the first three months and then starts to decrease, which indicates a significant effect of oil price shocks in the short-run. Moreover, when the obtained structural shocks are employed in a simple regression analysis, the parameter regarding the oil price shocks is found to be negative and statistically significant. The final section discusses the policy implications of the results.

  13. Estimating core inflation : the role of oil price shocks and imported inflation

    OpenAIRE

    Bjørnland, Hilde Christiane

    1997-01-01

    This paper calculates core inflation, by imposing long run restrictions on a structural vector autoregression (VAR) model containing the growth rate of output, inflation and oil prices. Core inflation is identified as that component in inflation that has no long run effect on output. No restrictions are placed on the response of output and inflation to the oil price shocks. The analysis is applied to Norway and the United Kingdom, both oil producing OECD countries. A model that ...

  14. Another hurricane, high prices and more chaos in Iraq

    International Nuclear Information System (INIS)

    Anon.

    2005-01-01

    Another hurricane, this time called Rita, battered the US Gulf Coast, sending oil prices up worldwide, though not to the heights seen when its predecessor, Katrina, arrived. As before, a large swathe of US refinery capacity was temporarily put out of action: this time mainly in Texas. For around a week in late September, when Rita arrived, nearly 4.1 mn bpd of crude distillation capacity was taken off-line. At the same time, some 0.9 mn bpd was still unusable as a result of the depredations of Katrina in late August, leaving the US briefly minus nearly one third of its refinery capacity. The situation improved as some capacity was brought slowly back on-line, but by the beginning of October around 3.0 mn bpd was still not back in operation. The main price effects of Katrina were on gasoline, prompting demands in the Congress and elsewhere for investigations into overcharging by refiners and retailers (see 'Focus'). A record weekly increase in the first week of September propelled the average price of regular gasoline across the US to $3.07/gall. Rita's principal effect was on heating oil, which went up in the last week of September by nearly 20% to $2.51/gall in the US Gulf. US crude oil prices remained below their immediate post-Katrina record highs (see 'The Month in Brief', September 2005) despite the loss of the entire 1.5 mn bpd production in the Gulf of Mexico following Rita's arrival. (author)

  15. The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries

    International Nuclear Information System (INIS)

    Bastianin, Andrea; Conti, Francesca; Manera, Matteo

    2016-01-01

    We study the effects of crude oil price shocks on the stock market volatility of the G7 countries. We identify the causes underlying oil price shocks and gauge the impacts that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. On the contrary, demand shocks impact significantly on the volatility of the G7 stock markets. Our results suggest that economic policies and financial regulation activities designed to mitigate the adverse effects of unexpected oil price movements should be designed by looking at the source of the oil price shocks. - Highlights: • Effects of oil price shocks on the stock market volatility of the G7 countries. • Econometric identification of the different causes of oil shocks. • Stock market volatility does not respond to oil supply shocks. • Demand shocks impact significantly on stock market volatility. • Policy measures should be designed by considering the source of oil shocks.

  16. Impact of oil price shocks on selected macroeconomic variables in Nigeria

    International Nuclear Information System (INIS)

    Iwayemi, Akin; Fowowe, Babajide

    2011-01-01

    The impact of oil price shocks on the macroeconomy has received a great deal of attention since the 1970 s. Initially, many empirical studies found a significant negative effect between oil price shocks and GDP but more recently, empirical studies have reported an insignificant relationship between oil shocks and the macroeconomy. A key feature of existing research is that it applies predominantly to advanced, oil-importing countries. For oil-exporting countries, different conclusions are expected but this can only be ascertained empirically. This study conducts an empirical analysis of the effects of oil price shocks on a developing country oil-exporter - Nigeria. Our findings showed that oil price shocks do not have a major impact on most macroeconomic variables in Nigeria. The results of the Granger-causality tests, impulse response functions, and variance decomposition analysis all showed that different measures of linear and positive oil shocks have not caused output, government expenditure, inflation, and the real exchange rate. The tests support the existence of asymmetric effects of oil price shocks because we find that negative oil shocks significantly cause output and the real exchange rate. (author)

  17. Analysis on 'new fundamentals' and range of oil price trend in the long run

    Energy Technology Data Exchange (ETDEWEB)

    Rui, Chen

    2010-09-15

    The range of trend of oil price will be decided by marginal production cost of crude oil and production cost of alternative energy consumed as transportation fuel on a large scale. The former factor determines the lower limit and the latter determines the upper limit of oil price. financial factors and the value of USD will not only affect the short-term change of oil price, they may become fundamentals factors that exert influence on the mid-long term change of oil price, namely, New Fundamentals, which will determine the fluctuation degree of oil price in the long run.

  18. PLUNGING OIL PRICES IMPACT MALAYSIA’S AND INDONESIA’S ECONOMY

    Directory of Open Access Journals (Sweden)

    Chung Tin Fah

    2017-02-01

    Full Text Available Oil has a profound impact on the world economy. This study examines the impact of changes (falling in oil prices on the two oil producing ASEAN countries – Malaysia and Indonesia using quarterly data from 2005:Q1 to 2014:Q4. A cointegration analysis using an autoregressive distributed lag equation (ARDL is conducted between oil and the Malaysian and Indonesian economy. Next, single equations are estimated on the impact of oil price changes on macroeconomic variables, followed by a VAR formulation to trace the impact of oil price using impulse response function and variance decomposition. The single equation estimates indicate that real oil prices have a significant positive impact on Malaysia/Indonesia GDP, while it is insignificant on inflation rate and real exchange rate. Using an unrestricted VAR model, real oil price growth shocks have positive and negative response on the growth of Malaysia GDP, Indonesia GDP and US GDP. However, the negative response is found more significant for the growth of Indonesia GDP, while the growth of US GDP has a larger influence on Malaysia GDP as compared to Indonesia GDP. Changes in real oil price are less impactful on Malaysia government expenditure and Malaysian Ringgit, compared to inflation rate and net exports.

  19. Forecast of oil price and consumption in the short term under three scenarios: Parabolic, linear and chaotic behaviour

    International Nuclear Information System (INIS)

    Gori, F.; Ludovisi, D.; Cerritelli, P.F.

    2007-01-01

    The paper examines the evolution of price and consumption of oil in the last decades to construct a relationship between them. Then the work considers three possible scenarios of oil price: parabolic, linear and chaotic behaviour, to predict the evolution of price and consumption of oil up to December 2003

  20. Price and prospects for oil: carrying the burden of excess capacity in the 1980s and beyond

    Energy Technology Data Exchange (ETDEWEB)

    Goldstein, W

    1985-12-01

    The continuing decline in world oil prices will not be halted in the short term, and prospects for the long run are not encouraging. There is a problem of unprecedented gravity in the surplus capacity of the oil industry. A glut of 10 million bbl/day of crude oil remains unsold, the cohesion of the OPEC cartel is becoming more strained, and a sizeable proportion of refinery plant has been taken off-stream. The basic difficulty is that high interest rates have curbed international capital formation and depressed demand. Upward pressures on the US dollar have been created by the deficit on US domestic and external accounts, and have retarded the recovery of the global economy. Today, the cost of money exceeds the factor price of oil, and the market is highly unstable. The devastating costs of carrying surplus capacity are likely to survive through the 1980s. 6 figures.

  1. What to think about the shortage of oil resources and of the evolution of crude oil price?

    International Nuclear Information System (INIS)

    Babusiaux, Denis; Bauquis, Pierre-Rene

    2007-09-01

    Produced by the 'Oil' work-group of the French Academy of Technologies, this report first proposes a synthesis of different points of view (optimistic, pessimistic, public bodies) on the issue of oil reserves and of oil world peak production. A second part analyzes the mechanisms of oil pricing while highlighting the long term dimension, but without addressing the market short-term operation. The last part discusses various possible evolution scenarios for production and price profiles on a middle and on a long term

  2. Gas price and oil price: a new level of competition; Gaspreis und Oelpreis. Eine neue Stufe des Wettbewerbs

    Energy Technology Data Exchange (ETDEWEB)

    Hahn, Wolfgang; Poepperl, Claudia [Energie Consulting GmbH, Kehl (Germany)

    2012-01-15

    With a marked delay relative to electricity the gas market has now too come under the reign of competition. The dissociation of gas prices from oil prices was not only the result of successive deregulation but was also catalysed by the drop in demand attending the economic slump in 2008 and 2009. In response to the changing market environment the procurement processes of industrial and commercial customers have undergone lasting changes in the course of the past three years. At the same time, fierce competition has developed between the two energy carriers crude oil and natural gas.

  3. Causality relationship between the price of oil and economic growth in Japan

    International Nuclear Information System (INIS)

    Hanabusa, Kunihiro

    2009-01-01

    This paper investigates the relationship between the price of oil and economic growth in Japan during the period from 2000 to 2008 using an exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model. We employ a residual cross-correlation function (CCF) approach developed by [Cheung, Y.W., Ng, N.K., 1996. A causality-in-variance test and its application to financial market prices. Journal of Econometrics 72, 33-48]. The empirical results reveal that the economic growth rate Granger-causes the change of oil price in mean and variance and the change of oil price Granger-causes the economic growth rate in mean and variance. Previous studies have analyzed the response of economic activity to oil price shocks. However, we analyze the causality relations for both means and variances, and identify the direction of information flow and the timing of causation. (author)

  4. Nonlinear joint dynamics between prices of crude oil and refined products

    Science.gov (United States)

    Zhang, Tao; Ma, Guofeng; Liu, Guangsheng

    2015-02-01

    In this paper, we investigate the relationships between crude oil and refined product prices. We find that nonlinear correlations are stronger in the long-term than in the short-term. Crude oil and product prices are cointegrated and financial crisis in 2007-2008 caused a structural break of the cointegrating relationship. Moreover, different from the findings in most studies, we reveal that the relationships are almost symmetric based on a threshold error correction model. The so-called 'asymmetric relationships' are caused by some outliers and financial crisis. Most of the time, crude oil prices play the major role in the adjustment process of the long-term equilibrium. However, refined product prices dominated crude oil prices during the period of financial crisis. Important policy and risk management implications can be learned from the empirical findings.

  5. EFFECTS OF OIL PRICE SHOCKS ON THE ECONOMIC SECTORS IN MALAYSIA

    Directory of Open Access Journals (Sweden)

    Mohd Shahidan Shaari

    2013-10-01

    Full Text Available This paper aims to examine the effects of oil price shocks on economic sectors in Malaysia. A unit root test was conducted, in which data were shown to be non-stationary in all levels, and stationary in the first difference for all variables. The co-integration model was applied, and the results indicated that one co-integrating equation exists, suggesting the long-term effects of oil prices on the agriculture, construction, manufacturing, and transportation sectors. Finally, Grange causality test was performed, and the results implied that in Malaysia, oil price shocks can affect agriculture, similar to Hanson et al. (2010. Oil price instability also influences the performance of the agriculture sector, contrary to the results of Alper and Torul (2009. In addition, the construction sector was found to be dependent on oil prices. Therefore, the current study has an important implication for the Malaysian government in formulating policies on oil prices. The Malaysian government needs to control the price to ensure that unstable price will not harm the agriculture, manufacturing, and construction sectors.

  6. Oil prices: The role of refinery utilization, futures markets and non-linearities

    International Nuclear Information System (INIS)

    Kaufmann, Robert K.; Mann, Michael; Dees, Stephane; Gasteuil, Audrey

    2008-01-01

    We test the hypothesis that real oil prices are determined in part by refinery capacity, non-linearities in supply conditions, and/or expectations and that observed changes in these variables can account for the rise in prices between 2004 and 2006. Results indicate that the refining sector plays an important role in the recent price increase, but not in the way described by many analysts. The relationship is negative such that higher refinery utilization rates reduce crude oil prices. This effect is associated with shifts in the production of heavy and light grades of crude oil and price spreads between them. Non-linear relationships between OPEC capacity and oil prices as well as conditions on the futures markets also account for changes in real oil prices. Together, these factors allow the model to generate a one-step ahead out-of-sample forecast that performs as well as forecasts implied by far-month contracts on the New York Mercantile Exchange and is able to account for much of the $27 rise in crude oil prices between 2004 and 2006. (author)

  7. The effects of oil price shocks on output and inflation in China

    International Nuclear Information System (INIS)

    Zhao, Lin; Zhang, Xun; Wang, Shouyang; Xu, Shanying

    2016-01-01

    Crude oil price shocks derive from many sources, each of which may bring about different effects on macro-economy variables and require completely different designs in macro-economic policy; thus, distinguishing the sources of oil price fluctuations is crucial when evaluating these effects. This paper establishes an open-economy dynamic stochastic general equilibrium (DSGE) model with two economies: China and the rest of the world. To assess the effects of oil price shocks, the CES production function is extended by adding oil as an input. Based on the model, the effects of four types of oil price fluctuations are evaluated. The four types of oil price shocks are supply shocks driven by political events in OPEC countries, other oil supply shocks, aggregate shocks to the demand for industrial commodities, and demand shocks that are specific to the crude oil market. Simulation results indicate the following: Oil supply shocks driven by political events mainly produce short-term effects on China's output and inflation, while the other three shocks produce relatively long-term effects; in addition, demand shocks that are specific to the crude oil market contribute the most to the fluctuations in China's output and inflation.

  8. Is there an asymmetry in the response of diesel and petrol prices to crude oil price changes? Evidence from New Zealand

    International Nuclear Information System (INIS)

    Liu, Ming-Hua; Margaritis, Dimitris; Tourani-Rad, Alireza

    2010-01-01

    This paper examines how pre-tax petrol and diesel prices in New Zealand respond to changes in crude oil prices using an asymmetric error correction model. Our results show that oil companies adjust diesel prices upwards faster than they adjust them downwards, and the difference is statistically significant. However we find no statistical evidence for an asymmetry in the adjustment of petrol prices even though the magnitude of estimated coefficients suggests a faster response to rising prices. As diesel pricing is not as competitive as petrol pricing, calls for further government actions and monitoring of the oil market may be justified. Our findings also have important implications for the conduct of monetary policy as the pass-through of crude oil price changes can affect cost-push inflation. (author)

  9. Effect of floating pricing policy: An application of system dynamics on oil market after liberalization

    Energy Technology Data Exchange (ETDEWEB)

    Wu, Jung-Hua, E-mail: hwaa@mail.ncku.edu.tw [Department of Resources Engineering, National Cheng Kung University, Tainan 701, Taiwan (China); Huang, Yi-Lung [Exploration and Development Research Institute, Chinese Petroleum Corporation, Taiwan, No. 1, Dayuan, Wenfa Road, Miaoli City, Miaoli County 36042, Taiwan (China); Liu, Chang-Chen [Department of Resources Engineering, National Cheng Kung University, Tainan 701, Taiwan (China)

    2011-07-15

    Upon the implementation of the floating price mechanism, Taiwan's gasoline and diesel prices returned to market mechanism, which terminated the phenomenon of the public paying for the losses of the state-owned oil company-Chinese Petroleum Corporation, Taiwan (CPC). Furthermore, the relatively low production costs of the privately owned Formosa Petrochemical Corporation (FPCC) disclosed the pricing mechanism of CPC, which inspired FPCC to adopt pricing strategy in order to increase the market share. This study aims to establish a system dynamics model to analyze the effects of the floating price mechanism on Taiwan's gasoline and diesel markets. This Model is divided into four sub-systems. The model of this study passed several validation tests, and hence, is able to provide a 'virtual laboratory' for policy-makers to conduct simulation and scenario analysis. The simulation results indicate (a) feedback mechanism of expected revenues and pricing strategy could efficiently simulate the FPCC pricing mechanism, (b) price competition strategy could increase FPCC revenues, although the effect on market share is not remarkable, and (c) FPCC has a higher gas-station growth rate. Scenario analyses found (a) lowering oil security stockpile would not change FPCC's pricing strategy and (b) FPCC prefers to follow CPC pricing when it has more gas stations. - Highlights: > System dynamics model analyzes the effects of oil markets' floating price mechanism. > Feedback mechanism of expected revenues could efficiently simulate pricing mechanism. > Price competition strategy could increase FPCC revenues. > Lowering oil security stockpile, FPCC's pricing strategy would not change. > FPCC prefers to follow CPC pricing when it has more gas stations.

  10. Effect of floating pricing policy: An application of system dynamics on oil market after liberalization

    International Nuclear Information System (INIS)

    Wu, Jung-Hua; Huang, Yi-Lung; Liu, Chang-Chen

    2011-01-01

    Upon the implementation of the floating price mechanism, Taiwan's gasoline and diesel prices returned to market mechanism, which terminated the phenomenon of the public paying for the losses of the state-owned oil company-Chinese Petroleum Corporation, Taiwan (CPC). Furthermore, the relatively low production costs of the privately owned Formosa Petrochemical Corporation (FPCC) disclosed the pricing mechanism of CPC, which inspired FPCC to adopt pricing strategy in order to increase the market share. This study aims to establish a system dynamics model to analyze the effects of the floating price mechanism on Taiwan's gasoline and diesel markets. This Model is divided into four sub-systems. The model of this study passed several validation tests, and hence, is able to provide a 'virtual laboratory' for policy-makers to conduct simulation and scenario analysis. The simulation results indicate (a) feedback mechanism of expected revenues and pricing strategy could efficiently simulate the FPCC pricing mechanism, (b) price competition strategy could increase FPCC revenues, although the effect on market share is not remarkable, and (c) FPCC has a higher gas-station growth rate. Scenario analyses found (a) lowering oil security stockpile would not change FPCC's pricing strategy and (b) FPCC prefers to follow CPC pricing when it has more gas stations. - Highlights: → System dynamics model analyzes the effects of oil markets' floating price mechanism. → Feedback mechanism of expected revenues could efficiently simulate pricing mechanism. → Price competition strategy could increase FPCC revenues. → Lowering oil security stockpile, FPCC's pricing strategy would not change. → FPCC prefers to follow CPC pricing when it has more gas stations.

  11. The Asymmetric Effects of Oil Price Changes on the Economic Activities in Indonesia

    Directory of Open Access Journals (Sweden)

    Rina Juliet Artami

    2018-01-01

    Full Text Available This paper analyzes the asymmetric impact of oil price changes on the economic growth of and inflation in Indonesia by using the vector autoregression (VAR model for the period from 1990Q1 to 2016Q4. The results show that the impact of oil price changes on the gross domestic product (GDP is asymmetric, as a drop in oil prices decreases the GDP, whereas an increase in oil prices does not significantly affect GDP. It is crucial for Indonesia to reduce its dependency on oil, mainly as its primary source of revenue, and also consider utilizing more sources of renewable energy. At the same time, the effects of both the positive and negative changes in oil prices are found to be not statistically significant to inflation. The lack of impact of oil price changes on inflation can explain by the implementation of the fuel price subsidy in Indonesia.DOI: 10.15408/sjie.v7i1.6052

  12. International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks

    International Nuclear Information System (INIS)

    Bondia, Ripsy; Ghosh, Sajal; Kanjilal, Kakali

    2016-01-01

    Increasing greenhouse gas emissions, exhaustibility and geo-politics induced price volatility of crude oil has magnified the importance of looking for alternative sources of energy. In this paper, we investigate the long term relationship of stock prices of alternative energy companies with oil prices in a multivariate framework. To this end, we use threshold cointegration tests, which endogenously incorporate possible regime shifts in long run relationship of underlying variables. In contrast to the findings of the previous study by Managi and Okimoto (2013), our results indicate presence of cointegration among the variables with two endogenous structural breaks. This study confirms that ignoring the presence of structural breaks in a long time series data, as has been done in previous study, can produce misleading results. In terms of causality, while the stock prices of alternative energy companies are impacted by technology stock prices, oil prices and interest rates in the short run, there is no causality running towards prices of alternative energy stock prices in the long run. The study discusses the possible reasons behind the empirical findings and concludes with a discussion on short run and long run investment opportunities for the investors. - Highlights: • Cointegration between alternative energy companies stock price and oil price. • Threshold cointegration tests are employed. • Cointegration among the variables exists with two endogenous structural breaks. • Alternative energy companies stock price impacted by oil prices in short run. • No causality running towards prices of alternative energy stock prices in long run.

  13. Comment on the UPS (and past and future downs) of the oil price

    International Nuclear Information System (INIS)

    Walde, T.

    2000-01-01

    Crude oil has been rising to levels over 35 US$ per barrel from the very low prices of early 1999 - close to 10 $. In real, inflation-adjusted terms, this leaves it still at a third of the prices prevailing during the peak of 1981. This trend has been accelerated currently by short-term influences market factors. Who could have forecasted such price evolution by January 1999, when crude prices were collapsing, following the series of financial crises in Asia, Russia and Brazil? The current oil price surge has been breaking once again every 'crystal ball' and mathematical model designed to predict short-or-long-term oil price evolution - foremost the models used by the international oil companies and their advisers, chastened by the embarrassment of earlier optimism. Old ghosts that used to scare the world during the energy crisis of the 1970's and 1980's are waking up again. Traditional forces that have since 1985 and throughout the whole 1990's given economic rationality to crude price behaviour, seem to be losing ground and are unable to restore a more sustainable level of oil prices. Political forces, silent since the price collapse of 1985/86, have again raised their head and bringing to the fore historic contradictions and problems never solved. This paper covers this new reality. We are too cautions to dare to forecast, but rather identify factors that have to be considered in speculating about the future evolution of oil prices. The changing weight of those factors will continue to influence the future of the oil price - without much interest (apart from the producers) when low but again greatly debated when, as now, up again. (authors)

  14. A Study on the Current Oil and Gas Price Formula and Its Improvement

    Energy Technology Data Exchange (ETDEWEB)

    Park, Chang Won; Lee, Young Koo [Korea Energy Economics Institute, Euiwang (Korea)

    2000-12-01

    The object of this study is to suggest some improvements on current price formulas on oil and gas which have been pivotal roles in the process of Korean economic growth. This study first examines basic frames and transition of oil and gas pricing in Korea and then finds some suggestions on them by scrutinizing their theoretical backgrounds. This study finds several problems on oil and gas pricing formulas. (a) In a model that is now studied to evaluate the current domestic oil price, the costs associated with oil security such as oil stockpile are fully penetrated into oil price without their fair evaluations. There is no evaluation principle on the costs occurred in oil supply security. (b) The Rate Of Equity(ROE), a crucial factor in town-gas pricing which is strictly controlled, is directly connected to the average interest rate on saving accounts of domestic commercial banks. Some arguments may have rise about inclusion a risk factor on ROE in order to compensate the uncertainty of town-gas business. (c) New demand for natural gas which is generated by new technologies or machinery and tools can help reduce the costs occurred from seasonal imbalance between power sector and gas sector. So it is also important to decide how to include the beneficiary of cost reduction in town-gas pricing. In order to evaluate the proper price levels, this study tests energy supply security by adopting methodologies such as Herfindahl Index and Portfolio Variance Risk. They can help develop the method to effectively improve the energy security and include the proper energy security costs into energy prices. This study also provides some suggestions for betterment of current ROE decision rule in town-gas business and for improvement of current town-gas policy that government subsidizes newly developed demand for strengthening price competitiveness in the early stage. (author). 145 refs., 16 figs., 49 tabs.

  15. The impact of oil price volatility on the future of the U.S. economy

    International Nuclear Information System (INIS)

    Boyd, Roy; Doroodian, K.; Thornton, Dennis

    2000-01-01

    This paper examines the impact of a foreign oil price shock on domestic energy markets as well as the U.S. economy as a whole. The analytical approach employed in the analysis consisted of a dynamic CGE model composed of eight production sectors, eight consumption sectors, three household categories classified by income, foreign sector, and the government. The results show that oil price shocks will have, as expected, a significantly positive effect on crude oil production. We also find that such price shocks negatively affect the refinery sector as input costs rise there. A decline in per-well productivity has the effect of dampening the rise in crude oil extraction and causing a further decline in refinery output. Economy-wide, the impact of a new series of oil price shocks is quite limited with overall welfare falling, but nowhere near the levels experienced in the 1970s and early 1980s. (Author)

  16. Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC equity markets

    Directory of Open Access Journals (Sweden)

    Talat Ulussever

    2017-09-01

    Full Text Available This paper scrutinizes the effect of crude oil prices on herd behavior among investors in the Gulf Cooperation Council (GCC stock markets. Using firm level data from Saudi Arabia, Qatar, Oman, Kuwait, Bahrain, Dubai and Abu Dhabi stock exchanges, we examine equity return dispersions within industry portfolios and test whether investor herds exist in these markets. We then assess whether crude oil price movements have any effect on the investment behavior of traders in the aforementioned markets. Our findings reveal significant evidence supporting herd behavior in all GCC equity markets with the exception of Oman and Qatar, more consistently during periods of market losses. Furthermore, we find significant oil price effects on herd behavior in these markets, particularly during periods of extreme positive changes in the price of oil. Our findings suggest that investors’ tendency to act as a herd in the said markets is significantly affected by the developments in the oil market.

  17. The macroeconomics of "Oil Prices" and "Economic Shocks": Lessons from the 1970s

    Directory of Open Access Journals (Sweden)

    Deepanshu Mohan

    2015-10-01

    Full Text Available This paper examines the relationship between oil price shocks and recessions and focuses particularly on the period of stagflation in the 1970s. Nearly every recession in the U.S. since WWII has been preceded by an oil price shock, and examining the literature as to the causal mechanisms finds there are a range of opinions from supply and demand side factors to the precipitated monetary policy response. Evaluating these across a number of countries finds that the mechanisms at play are complex and disputed. This paper reviews the literature and evaluates the various theories put forward before concluding that whilst oil plays a key role in the economy, the recessions following oil price shocks are more likely to be as a result of monetary policy decisions than the oil price shocks per se.

  18. Price and income elasticities of crude oil import demand in South Africa. A cointegration analysis

    Energy Technology Data Exchange (ETDEWEB)

    Ziramba, Emmanuel [Department of Economics, University of South Africa, P.O Box 392, Unisa 0003 (South Africa)

    2010-12-15

    This paper examines the demand for imported crude oil in South Africa as a function of real income and the price of crude oil over the period 1980-2006. We carried out the Johansen co integration multivariate analysis to determine the long-run income and price elasticities. A unique long-run cointegration relationship exists between crude oil imports and the explanatory variables. The short-run dynamics are estimated by specifying a general error correction model. The estimated long-run price and income elasticities of -0.147 and 0.429 suggest that import demand for crude oil is price and income inelastic. There is also evidence of unidirectional long-run causality running from real GDP to crude oil imports. (author)

  19. Role of oil price shocks on macroeconomic activities: An SVAR approach to the Malaysian economy and monetary responses

    International Nuclear Information System (INIS)

    Ali Ahmed, Huson Joher; Wadud, I.K.M. Mokhtarul

    2011-01-01

    This study examines the impact of oil price uncertainty on Malaysian macroeconomic activities and monetary responses. We use a structural VAR (SVAR) model based on monthly data over the period 1986−2009. The EGARCH model estimates show an important asymmetric effect of oil price shocks on the conditional oil price volatility. Dynamic impulse response functions obtained from the SVAR model show a prolonged dampening effect of oil price volatility shock on Malaysian industrial production. We also find that levels of Consumer Price Index (CPI) decline with a positive shock to oil price uncertainty. This is the result of negative demand shock due to the postponement of consumption of big ticket items by individuals, households and other sectors of the economy. We also found that the Malaysian central bank adopts an expansionary monetary policy in response to oil price uncertainty. Variance decomposition analysis reconfirms that volatility in the oil price is the second most important factor to explain the variance of industrial production after its own shocks. These results shed some light on how the central bank of Malaysia can use controlling mechanisms to stabilize aggregate output and price level. - Highlights: ► Conditional volatility of the oil price causes a significant decline in aggregate output. ► Price level falls significantly to one standard deviation shock to oil price uncertainty. ► Malaysian central bank adopts an expansionary monetary policy in response to oil price shocks.

  20. The US Shale Gas Revolution and Its Externality on Crude Oil Prices: A Counterfactual Analysis

    Directory of Open Access Journals (Sweden)

    Hongxun Liu

    2018-03-01

    Full Text Available The expansion of shale gas production since the mid-2000s which is commonly referred to as “shale gas revolution” has had large impacts on global energy outlook. The impact is particularly substantial when it comes to the oil market because natural gas and oil are substitutes in consumption and complements and rivals in production. This paper investigates the price externality of shale gas revolution on crude oil. Applying a structural vector autoregressive model (VAR model, the effect of natural gas production on real oil price is identified in particular, and then based on the identification, counterfactuals of oil price without shale gas revolution are constructed. We find that after the expansion of shale gas production, the real West Texas Intermediate (WTI oil price is depressed by 10.22 USD/barrel on average from 2007 to 2017, and the magnitude seems to increase with time. In addition, the period before shale gas revolution is used as a “thought experiment” for placebo study. The results support the hypothesis that real WTI oil price can be reasonably reproduced by our models, and the estimated gap for oil price during 2007–2017 can be attributed to shale gas revolution. The methodology and framework can be applied to evaluate the economic impacts of other programs or policies.

  1. Oil price assumptions in macroeconomic forecasts: should we follow future market expectations?

    International Nuclear Information System (INIS)

    Coimbra, C.; Esteves, P.S.

    2004-01-01

    In macroeconomic forecasting, in spite of its important role in price and activity developments, oil prices are usually taken as an exogenous variable, for which assumptions have to be made. This paper evaluates the forecasting performance of futures market prices against the other popular technical procedure, the carry-over assumption. The results suggest that there is almost no difference between opting for futures market prices or using the carry-over assumption for short-term forecasting horizons (up to 12 months), while, for longer-term horizons, they favour the use of futures market prices. However, as futures market prices reflect market expectations for world economic activity, futures oil prices should be adjusted whenever market expectations for world economic growth are different to the values underlying the macroeconomic scenarios, in order to fully ensure the internal consistency of those scenarios. (Author)

  2. The empirical role of the exchange rate on the crude-oil price formation

    International Nuclear Information System (INIS)

    Yousefi, A.; Wirjanto, T.S.; University of Waterloo, Ont.

    2004-01-01

    This paper adopts a novel empirical approach to the crude-oil price formation for the purpose of understanding the price reactions of OPEC member countries to changes in the exchange rate of the US dollar against other major currencies and prices of other members. The results are broadly consistent with the view of the absence of a unified OPEC determined price in the international crude market literature. In addition, the results also highlight a cross regional dimension of the crude oil market. (author)

  3. A study on the future of unconventional oil development under different oil price scenarios: A system dynamics approach

    International Nuclear Information System (INIS)

    Hosseini, Seyed Hossein; Shakouri, Hamed G.

    2016-01-01

    Fluctuations in the oil global market has been a critical topic for the world economy so that analyzing and forecasting the conventional oil production rate has been examined by many researchers thoroughly. However, the dynamics of the market has not been studied systematically with regard to the new emerging competitors, namely unconventional oil. In this paper, the future trend of conventional and unconventional oil production and capacity expansion rates are analyzed using system dynamics approach. To do so, a supply-side modeling approach is utilized while main effective loops are modeled mathematically as follows: technological learning and progress, long and short-term profitability of oil capacity expansion and production, and oil proved reserve limitations. The proposed model is used to analyze conventional and unconventional oil production shares, up to 2025, under different oil price scenarios. The results show that conventional oil production rate ranges from 79.995 to 87.044 MB/day, which is 75–80 percent of total oil production rate, while unconventional oil production rate ranges from 19.615 to 28.584 MB/day. Simulation results reveal that unconventional oil can gain a considerable market share in the short run, although conventional oil will remain as the major source for the market in the long run. - Highlights: • Variables and loops affecting oil production are formulated mathematically. • Shares of conventional and unconventional oil in the global oil market is analyzed. • Oil production rate under different oil price scenarios up to 2025 is simulated. • Unconventional oil would obtain a considerable share in market in the short-term. • A late peak for the conventional oil resources would occur.

  4. Economic impacts of higher oil and gas prices. The role of international trade for Germany

    International Nuclear Information System (INIS)

    Lutz, Christian; Meyer, Bernd

    2009-01-01

    The analysis concentrates on direct and indirect price increases, induced shifts in international trade and structural changes in the oil importing economies. The paper at hand asks, whether a stabilizing effect via international trade and domestic structural change on the GDP of oil importing countries can be observed, if a permanent oil price increase occurs. At least for Germany, structural change from consumer goods to investment goods industry and an improvement of international competitiveness limit negative impacts of increased energy prices. Analysis is based on the extensive and disaggregated global GINFORS model and the detailed INFORGE model for the German economy. (author)

  5. Estimating oil price 'Value at Risk' using the historical simulation approach

    International Nuclear Information System (INIS)

    Cabedo, J.D.; Moya, I.

    2003-01-01

    In this paper we propose using Value at Risk (VaR) for oil price risk quantification. VaR provides an estimation for the maximum oil price change associated with a likelihood level, and can be used for designing risk management strategies. We analyse three VaR calculation methods: the historical simulation standard approach, the historical simulation with ARMA forecasts (HSAF) approach. developed in this paper, and the variance-covariance method based on autoregressive conditional heteroskedasticity models forecasts. The results obtained indicate that HSAF methodology provides a flexible VaR quantification, which fits the continuous oil price movements well and provides an efficient risk quantification. (author)

  6. Estimating oil price 'Value at Risk' using the historical simulation approach

    International Nuclear Information System (INIS)

    David Cabedo, J.; Moya, Ismael

    2003-01-01

    In this paper we propose using Value at Risk (VaR) for oil price risk quantification. VaR provides an estimation for the maximum oil price change associated with a likelihood level, and can be used for designing risk management strategies. We analyse three VaR calculation methods: the historical simulation standard approach, the historical simulation with ARMA forecasts (HSAF) approach, developed in this paper, and the variance-covariance method based on autoregressive conditional heteroskedasticity models forecasts. The results obtained indicate that HSAF methodology provides a flexible VaR quantification, which fits the continuous oil price movements well and provides an efficient risk quantification

  7. Nexus between Oil Price and Stock Performance of Power Industry in Malaysia

    OpenAIRE

    Puah, Chin-Hong; Tan, Lay-Phin; Md Isa, Abu Hassan

    2009-01-01

    This paper examines the reaction of KLCI and five major power sector stocks listed on Bursa Malaysia to the changes in the world spot oil price using cointegration technique and impulse response analysis. Results indicate the existence of a long run positive relationship of world spot oil price with the stock returns of KLCI, TENAGA, TANJONG and YTLP. The impulse response analysis further shows that, in most of the cases, the oil price shock has only an impact on the short time horizon. As Ma...

  8. Co-movements of Alaska North Slope and UK Brent crude oil prices

    International Nuclear Information System (INIS)

    Ewing, B.T.; Harter, C.L.

    2000-01-01

    In order to study the inter-relationships of international crude oil markets, empirical analyses are used to investigate univariate and multivariate relationships between Alaska North Slope and UK Brent oil prices. Using monthly data from the period 1974-1996, the results show that both price series follow a random walk and that these oil markets share a long-run common trend. The empirical results suggest that the two markets are 'unified'. That is, they are competitive, and there is price convergence in the markets. (author)

  9. Oil prices are raising up. So what?; Le petrole flambe. Et alors?

    Energy Technology Data Exchange (ETDEWEB)

    Lecompte-Boin, G.

    2000-06-01

    The oil crack that started about a year ago has had practically no impact on the French economy and economic growth. Crude oil prices have increased about three times since the beginning of 1999. The increase of production quotas decided by the OPEC on June 21, 2000 has had no effect and the barrel price has stayed stuck to 30 US$. Even if oil prices do not change in the forthcoming months, nobody will care. This short paper analyzes this paradoxical situation. (J.S.)

  10. An empirical nexus between oil price collapse and economic growth in Sub-Saharan African oil based economies

    Directory of Open Access Journals (Sweden)

    KEJI Sunday Anderu

    2018-06-01

    Full Text Available The focus of this study, is to empirically investigate the nexus between oil price collapse and economic growth in sub-Saharan Africa oil based economies, specifically from Angola, Nigeria and Sudan between January, 2010 and December, 2015, through panel random effects model (REM: Economic growth rate (GDPR and independent variables: Oil price (OPR, Exchange rate (EXR, Industrial Output (IND and Terms of Trade (TOT. REM result showed that there is negative link between oil price collapse and the economic growth in the case of Angola, Nigeria and Sudan, which confirmed the nexus between oil price collapse and economic growth. Post estimation tests such as Hausman and Breusch and Pagan Lagrange Multiplier Test were adopted to empirically show the consistency and efficiency of the model. Interestingly, the two key variables (GDPR and OPR disclose how unprecedented oil price fall disrupts economic growth of the selected economies. Meanwhile, poor institutional quality in the oil sector coupled with poor fiscal measure among others, further expose these economies to unprecedented external shocks that was characterized by skyrocket exchange rate, hence destabilize growth within the period under review. Therefore, the need for a robust fiscal measure is pertinent in order to sustain economic growth

  11. Transfer prices and the excess cost of Canadian oil imports: New evidence on Bertrand versus Rugman

    International Nuclear Information System (INIS)

    Bernard, J.-T.; Weiner, R.J.

    1992-01-01

    Transfer pricing can be a source for contention between governments and multinational corporations, with suspicion that transfer prices are set so as to report higher income in countries where corporations are taxed more lightly. The first systematic empirical evidence on transfer pricing in multinational corporations is presented, through examination of the Canadian petroleum industry, which is dominated by foreign multinationals. The data cover the period 1974-84 and allow analysis of the allegation of excess cost paid by Canada for crude oil imports. After taking into account crude oil quality indicators, transaction characteristics, and countries of export, the merging of a comparable set of U.S. and Canadian data demonstrates evidence of transfer-price setting at levels significantly different from arm's-length prices for crude oil imports to Canada from 1974-84. However, the evidence runs contrary to Bertrand's assessment: the crude oil prices for affiliate transactions were found to be, in general, lower than comparable prices for third-party transactions. As to transport costs, the converse was found to be the case, however, the effect is much less important than transfer pricing. The overall result is that transfer prices have worked in Canada's favour. 15 refs., 7 tabs

  12. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2013-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

  13. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

  14. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Hernandez, M.A.; Gardebroek, C.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher

  15. The impact of global oil price shocks on China’s bulk commodity markets and fundamental industries

    International Nuclear Information System (INIS)

    Zhang, Chuanguo; Chen, Xiaoqing

    2014-01-01

    This paper investigated the reaction of aggregate commodity market to oil price shocks and also explored the effects of oil price shocks on China's fundamental industries: metals, petrochemicals, grains and oilfats. We separated the volatilities of oil price into expected, unexpected and negatively expected categories to identify how oil prices influence bulk commodity markets. We contrasted the results between different periods and among classified indices, in order to discover the significant changes in recent years and the differences at an industry level. Our results indicate that the aggregate commodity market was affected by both expected and unexpected oil price volatilities in China. The impact of unexpected oil price volatilities became more complex after 2007. The metals and grains indices did not significantly respond to the expected volatility in oil prices, in contrast to the petrochemicals and oilfats indices. These results not only contribute to advancing the existing literature, but also merit particular attention from policy makers and market investors in China. - Highlights: • We investigated the impact of global oil price shocks on China’s bulk commodity markets and fundamental industries. • The aggregate commodity market was affected by both expected and unexpected oil price volatilities. • The impact of unexpected oil price volatilities became more complex after 2007. • The metals and grains indices did not significantly respond to the expected volatility in oil prices

  16. Oil price, government policies fuel industry's shift from U.S

    International Nuclear Information System (INIS)

    Silas, C.J.

    1991-01-01

    The world exploration outlook starts with the outlook for the price of oil. This paper reports that oil prices and government policies for fuel industries shift from the U.S. If we've learned anything in the past decade it's that we're not very good at predicting oil prices. We can build economic models of supply and demand but we can't build models for political events in the Middle East or the actions of someone like Saddam Hussein. As we look to 2000 our best estimate is that oil will remain at about $20 for the near term and move upward very gradually during the rest of the decade. Of course, rising demand eventually should cause oil prices to break out and show some strength. But not soon. We don't see oil prices overcoming inflation until the latter part of the decade. And we aren't expecting oil prices much above $25 in inflation adjusted terms until the next century

  17. Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria

    Directory of Open Access Journals (Sweden)

    Adedoyin I. Lawal

    2016-09-01

    Full Text Available The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in time when investment decisions are being made.

  18. World oil demand's shift toward faster growing and less price-responsive products and regions

    International Nuclear Information System (INIS)

    Dargay, Joyce M.; Gately, Dermot

    2010-01-01

    Using data for 1971-2008, we estimate the effects of changes in price and income on world oil demand, disaggregated by product - transport oil, fuel oil (residual and heating oil), and other oil - for six groups of countries. Most of the demand reductions since 1973-74 were due to fuel-switching away from fuel oil, especially in the OECD; in addition, the collapse of the Former Soviet Union (FSU) reduced their oil consumption substantially. Demand for transport and other oil was much less price-responsive, and has grown almost as rapidly as income, especially outside the OECD and FSU. World oil demand has shifted toward products and regions that are faster growing and less price-responsive. In contrast to projections to 2030 of declining per-capita demand for the world as a whole - by the U.S. Department of Energy (DOE), International Energy Agency (IEA) and OPEC - we project modest growth. Our projections for total world demand in 2030 are at least 20% higher than projections by those three institutions, using similar assumptions about income growth and oil prices, because we project rest-of-world growth that is consistent with historical patterns, in contrast to the dramatic slowdowns which they project. (author)

  19. Oil Price and Equity Markets: Modeling Co-Movement and Conditional Value at Risk

    OpenAIRE

    Solvang, Jørn; Aarø, Thomas

    2017-01-01

    Master's thesis in Finance This paper studies the co-movement between oil prices and stock markets during the period 2006 – 2017 utilizing quantile regression. The studied stock indices are AEX, BOVESPA, CAC40, DAX30, EUROSTOXX50, FTSE100, SMI, S&P500 and TSX60, and the United States Oil Fund ETF represents the oil price. We investigate the co-movement and find a positive and significant co-movement between oil returns and stock market returns across quantiles for the stock market return d...

  20. China's optimal stockpiling policies in the context of new oil price trend

    International Nuclear Information System (INIS)

    Xie, Nan; Yan, Zhijun; Zhou, Yi; Huang, Wenjun

    2017-01-01

    Optimizing the size of oil stockpiling plays a fundamental role in the process of making national strategic petroleum reserve (SPR) policies. There have been extensive studies on the operating strategies of SPR. However, previous literatures have paid more attention to a booming or stable international oil market, while few studies analyzed the impact of a long-term low oil price on SPR policy. As a supplement, this paper extends a static model to study China's optimal stockpiling policy under different oil price trends, and in response to different current oil prices. A new variable “FC”, which demonstrates the appreciation and depreciation of the reserved oil economic value, has been taken into account to assess the optimal size of SPR. In this paper, a more multi-perspective of view is provided to consider the policies of China's SPR, especially under the different trend of international oil price fluctuations. - Highlights: • We extended a static model to study optimal stockpiling size of China's SPR. • A new variable “FC” was applied to illustrate the shifting financial value of SPR. • We analyzed how current oil price and varied prediction influence optimal size. • Operational measures could be adjusted at the end of each decision-making period. • A more multifaceted of view might be provided for China's SPR policy-making.

  1. Identifying the oil price-macroeconomy relationship. An empirical mode decomposition analysis of US data

    International Nuclear Information System (INIS)

    Oladosu, Gbadebo

    2009-01-01

    This paper employs the empirical mode decomposition (EMD) method to filter cyclical components of US quarterly gross domestic product (GDP) and quarterly average oil price (West Texas Intermediate - WTI). The method is adaptive and applicable to non-linear and non-stationary data. A correlation analysis of the resulting components is performed and examined for insights into the relationship between oil and the economy. Several components of this relationship are identified. However, the principal one is that the medium-run component of the oil price has a negative relationship with the main cyclical component of the GDP. In addition, weak correlations suggesting a lagging, demand-driven component and a long-run component of the relationship were also identified. Comparisons of these findings with significant oil supply disruption and recession dates were supportive. The study identifies a number of lessons applicable to recent oil market events, including the eventuality of persistent oil price and economic decline following a long oil price run-up. In addition, it was found that oil market related exogenous events are associated with short- to medium-run price implications regardless of whether they lead to actual supply losses. (author)

  2. Relationship between oil prices, interest rate, and unemployment. Evidence from an emerging market

    International Nuclear Information System (INIS)

    Dogrul, H. Guensel; Soytas, Ugur

    2010-01-01

    While the interrelation between oil price changes, economic activity and employment is an important issue that has been studied mainly for developed countries, little attention has been devoted to inquiries on fluctuations in the price of crude oil and its impact on employment for small open economies. Adopting an efficiency wage model for equilibrium employment that does not require any assumptions regarding labor supply, this paper contributes to the literature by investigating the causality between unemployment and two input prices, namely energy (crude oil) and capital (real interest rate) in an emerging market, Turkey for the period 2005:01-2009:08. Applying a relatively new technique, the Toda-Yamamoto procedure, we find that the real price of oil and interest rate improve the forecasts of unemployment in the long run. This finding supports the hypothesis that labor is a substitute factor of production for capital and energy. (author)

  3. A reexamination of the crude oil price-unemployment relationship in the United States

    International Nuclear Information System (INIS)

    Uri, N.D.; Boyd, R.

    1996-01-01

    This study begins by asking whether fluctuations in the price of crude oil have affected employment and the rate of unemployment in the US. After reviewing previous assessments of the issue, the existence of an empirical relationship between the rate of unemployment and crude oil price volatility is established using Granger causality. Subsequently, the nature of the relationship is estimated with the results suggesting that at least three full years are required before the measurable impact of a percentage change in the real price of crude oil on the change in unemployment is exhausted. Finally, the structural stability of the functional relationship between the change in unemployment and the volatility of the price of crude oil and the percentage change in gross national product is examined

  4. The U.S. Trade Deficit, The Dollar, and The Price of Oil

    National Research Council Canada - National Science Library

    Jackson, James K

    2008-01-01

    .... In mid-2008 as the price of oil rose to unprecedented heights and then dropped sharply, the international exchange value of the dollar fell and then rose relative to a broad basket of currencies...

  5. The impact of crude oil price volatility on agricultural employment in the United States

    International Nuclear Information System (INIS)

    Uri, N.D.

    1996-01-01

    This study addresses the question of whether fluctuations in the price of crude oil have affected agricultural employment in the United States. After reviewing previous assessments of the issue, the existence of an empirical relationship between agricultural employment and crude oil price volatility is established using cointegration tests. Subsequently, the nature of the relationship is estimated with the results suggesting that at least three full years are required before the measurable impacts of a percentage change in the real price of crude oil on the change in agricultural employment are exhausted. Finally, the structural stability of the functional relationship between the change in agricultural employment and the volatility of the price of crude oil, the percentage changes in expected net farm income, realized technological innovation, and the wage rate is examined. (author)

  6. Crude oil price shocks and stock returns. Evidence from Turkish stock market under global liquidity conditions

    Energy Technology Data Exchange (ETDEWEB)

    Berk, Istemi [Koeln Univ. (Germany). Energiewirtschaftliches Inst.; Aydogan, Berna [Izmir Univ. of Economics (Turkey). Dept. of International Trade and Finance

    2012-09-15

    The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression (V AR) model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index (ISE- 1 00) returns for the period between January 2, 1990 and November 1, 2011. We have also tested the relationship between oil prices and stock market returns under global liquidity conditions by incorporating a liquidity proxy variable, Chicago Board of Exchange's (CBOE) S and P 500 market volatility index (VIX), into the model. Variance decomposition test results suggest little empirical evidence that crude oil price shocks have been rationally evaluated in the Turkish stock market. Rather, it was global liquidity conditions that were found to account for the greatest amount of variation in stock market returns.

  7. The macroeconomic effects of oil price fluctuations on a small open oil-producing country. The case of Trinidad and Tobago

    International Nuclear Information System (INIS)

    Lorde, Troy; Thomas, Chrystol; Jackman, Mahalia

    2009-01-01

    Using vector autoregressive (VAR) methodology, this paper empirically investigates the macroeconomic effects of oil price fluctuations on Trinidad and Tobago. Overall, we find that the price of oil is a major determinant of economic activity of the country. Our impulse response functions suggest that following a positive oil price shock, output falls within the first two years followed by positive and growing response. We also investigate the macroeconomic impact of oil price volatility. Results suggest that an unanticipated shock to oil price volatility brings about random swings in the macroeconomy; however, only government revenue and the price level exhibit significant responses. With regard to the magnitude of the responses, shocks to oil price volatility tend to yield smaller macroeconomic impacts in comparison to shocks to oil prices. Variance decompositions suggest that the price of oil is a major component of forecast variation for most macroeconomic variables. Finally, Granger-causality tests indicate causality from oil prices to output and oil prices to government revenue. (author)

  8. Does Climate Change Mitigation Activity Affect Crude Oil Prices? Evidence from Dynamic Panel Model

    OpenAIRE

    Dike, Jude C.

    2014-01-01

    This paper empirically investigates how climate change mitigation affects crude oil prices while using carbon intensity as the indicator for climate change mitigation. The relationship between crude oil prices and carbon intensity is estimated using an Arellano and Bond GMM dynamic panel model. This study undertakes a regional-level analysis because of the geographical similarities among the countries in a region. Regions considered for the study are Africa, Asia and Oceania, Central and Sout...

  9. Planning for Higher Oil Prices : Power Sector Impact in Latin America and the Caribbean

    OpenAIRE

    Yépez-García, Rigoberto Ariel; San Vicente Portes, Luis; García, Luis Enrique

    2013-01-01

    A scenario with higher oil prices has important implications for diverting from oil-based technologies to renewables, as well as gas, coal, and nuclear alternatives. By 2030, energy demand in Latin America and the Caribbean (LAC) is expected to double from 2008 levels. A key issue is deciding on the most appropriate mix of fuels for power generation, given the various prices of energy sour...

  10. How Do Oil Prices, Macroeconomic Factors and Policies Affect the Market for Renewable Energy?:Oil Price, Macroeconomic Factors and Renewable Energy

    OpenAIRE

    Shah, Imran; Hiles, Carlie; Morley, Bruce

    2017-01-01

    The aim of this study is to determine the nature of any relationship between renewable energy investment, oil prices, GDP and the interest rate, using a time series approach. We concentrate on three countries with different relationships to the renewable energy industry, with Norway and the UK being oil-exporters for most of the sample and the USA an importer. Following estimation using a VAR model, the results provide evidence of considerable heterogeneity across the countries, with the USA ...

  11. Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices

    OpenAIRE

    Ghassan, Hassan B.; Alhajhoj, Hassan R.

    2015-01-01

    Understanding the long-run dynamics of OPEC and non-OPEC crude oil prices is important in an era of increased financialization of petroleum markets. Utilizing an ECM within a threshold cointegration and CGARCH errors framework, we provide evidence on the cointegrating relationship and estimate how and to what extent the respective prices adjust to eliminate disequilibrium. Our findings suggest that the adjustment process of OPEC prices to the positive discrepancies is slow which implies that ...

  12. Production Costs of Alternative Transportation Fuels. Influence of Crude Oil Price and Technology Maturity

    Energy Technology Data Exchange (ETDEWEB)

    Cazzola, Pierpaolo; Morrison, Geoff; Kaneko, Hiroyuki; Cuenot, Francois; Ghandi, Abbas; Fulton, Lewis

    2013-07-01

    This study examines the production costs of a range of transport fuels and energy carriers under varying crude oil price assumptions and technology market maturation levels. An engineering ''bottom-up'' approach is used to estimate the effect of the input cost of oil and of various technological assumptions on the finished price of these fuels. In total, the production costs of 20 fuels are examined for crude oil prices between USD 60 and USD 150 per barrel. Some fuel pathways can be competitive with oil as their production, transport and storage technology matures, and as oil price increases. Rising oil prices will offer new opportunities to switch to alternative fuels for transport, to diversify the energy mix of the transport sector, and to reduce the exposure of the whole system to price volatility and potential distuption of supply. In a time of uncertainty about the leading vehicle technology to decarbonize the transport sector, looking at the fuel cost brings key information to be considered to keep mobility affordable yet sustainable.

  13. The fixing of prices by the oil companies during the Gulf war

    International Nuclear Information System (INIS)

    1991-01-01

    Developments in the global oil market and changes in the structure of the Danish market during the nineteen eighties are described. Price notation on world market spot markets had a significant influence on the fixing of prices in the consumer countries. The influence of the OPEC lands has been reduced. One must note the over-capacity which followed the two oil crises. On the Danish market many of the larger international companies have withdrawn from the scene. Reduction in the number of independent Danish oil companies continues. These factors have led to increased market concentration. Denmark's recovery of oil covers 70% of domestic consumption. It is evaluated whether oil companies have taken advantage of the Gulf War for monetary gain and whether they have changed their buying practices in order to take advantage of holding less stock. It was found that companies are very quick to follow Rotterdam prices (three days) and that more price reductions are given than before the Gulf War. Danish prices are quick to follow the rises and falls in the European market and did not differ much from the European ones during 1990. Only raw oil producers seem to have gained economically from the Gulf War, but this is not judged as speculation. Refinery and import companies have acted in a similar way to each other and have not seemed to decease their stock after the Gulf War in order to buy at a lower price. (AB)

  14. Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm

    International Nuclear Information System (INIS)

    Yu, Lean; Wang, Shouyang; Lai, Kin Keung

    2008-01-01

    In this study, an empirical mode decomposition (EMD) based neural network ensemble learning paradigm is proposed for world crude oil spot price forecasting. For this purpose, the original crude oil spot price series were first decomposed into a finite, and often small, number of intrinsic mode functions (IMFs). Then a three-layer feed-forward neural network (FNN) model was used to model each of the extracted IMFs, so that the tendencies of these IMFs could be accurately predicted. Finally, the prediction results of all IMFs are combined with an adaptive linear neural network (ALNN), to formulate an ensemble output for the original crude oil price series. For verification and testing, two main crude oil price series, West Texas Intermediate (WTI) crude oil spot price and Brent crude oil spot price, are used to test the effectiveness of the proposed EMD-based neural network ensemble learning methodology. Empirical results obtained demonstrate attractiveness of the proposed EMD-based neural network ensemble learning paradigm. (author)

  15. Pricing Policy and Strategies for Consumer High-Tech Products

    Directory of Open Access Journals (Sweden)

    Dovleac, L.

    2014-06-01

    Full Text Available This paper highlights the complex process of price setting for consumer high-tech products. These prices are highly influenced by some external factors from the economic and social environment. The main objective of this paper is to establish the most effective pricing policies and strategies used by high-tech companies of various sizes. Decisions about price fixing for consumer high-technology products are largely influenced by consumer behaviour, too.

  16. Price and income elasticities of crude oil import demand in South Africa: A cointegration analysis

    Energy Technology Data Exchange (ETDEWEB)

    Ziramba, Emmanuel, E-mail: zirame@unisa.ac.z [Department of Economics, University of South Africa, P.O Box 392, Unisa 0003 (South Africa)

    2010-12-15

    This paper examines the demand for imported crude oil in South Africa as a function of real income and the price of crude oil over the period 1980-2006. We carried out the Johansen co integration multivariate analysis to determine the long-run income and price elasticities. A unique long-run cointegration relationship exists between crude oil imports and the explanatory variables. The short-run dynamics are estimated by specifying a general error correction model. The estimated long-run price and income elasticities of -0.147 and 0.429 suggest that import demand for crude oil is price and income inelastic. There is also evidence of unidirectional long-run causality running from real GDP to crude oil imports. - Research Highlights: {yields}The paper examines the demand for imported crude oil in South Africa over the period 1980-2006. {yields} The estimated long-run price and income elasticities are -0.147 and 0.429, respectively. {yields} There is evidence of unidirectional long-run causality running from real GDP to crude oil imports.

  17. Price and income elasticities of crude oil import demand in South Africa: A cointegration analysis

    International Nuclear Information System (INIS)

    Ziramba, Emmanuel

    2010-01-01

    This paper examines the demand for imported crude oil in South Africa as a function of real income and the price of crude oil over the period 1980-2006. We carried out the Johansen co integration multivariate analysis to determine the long-run income and price elasticities. A unique long-run cointegration relationship exists between crude oil imports and the explanatory variables. The short-run dynamics are estimated by specifying a general error correction model. The estimated long-run price and income elasticities of -0.147 and 0.429 suggest that import demand for crude oil is price and income inelastic. There is also evidence of unidirectional long-run causality running from real GDP to crude oil imports. - Research Highlights: →The paper examines the demand for imported crude oil in South Africa over the period 1980-2006. → The estimated long-run price and income elasticities are -0.147 and 0.429, respectively. → There is evidence of unidirectional long-run causality running from real GDP to crude oil imports.

  18. 75 FR 49411 - Consumer Price Index Adjustments of Oil Pollution Act of 1990 Limits of Liability-Vessels and...

    Science.gov (United States)

    2010-08-13

    ... Consumer Price Index Adjustments of Oil Pollution Act of 1990 Limits of Liability--Vessels and Deepwater... ports to reflect significant increases in the Consumer Price Index. The amendment triggered information... interim rule entitled ``Consumer Price Index Adjustments of Oil Pollution Act of 1990 Limits of Liability...

  19. Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle

    International Nuclear Information System (INIS)

    Sadorsky, Perry

    2008-01-01

    Recent empirical research has found evidence of a relationship between oil price movements and stock prices. Most published research investigates the relationship between oil price movements and stock prices using either economy-wide measures of stock prices or industry sector measures of stock prices. An important question that has largely gone unanswered relates to the relationship between oil prices and stock prices when the size of firms is allowed to vary. Relative to large firms, do oil price movements have larger or smaller impacts on the stock prices of small- or medium-sized firms? The answer to this question could have important policy implications that affect economic growth and prosperity. In this paper, a panel of firms is followed over a 17-year period to investigate the relationship between oil price movements, firm size, and stock prices. Evidence is found that shows the relationship between oil price movements and stock prices does vary with firm size and the relationship is strongest for medium-sized firms

  20. Middle distillate price monitoring system. Interim validation report. [No. 2 heating oil

    Energy Technology Data Exchange (ETDEWEB)

    Hopelain, D.G.; Freedman, D.; Rice, T.H.; Veitch, J.G.; Finlay, A.

    1978-12-01

    The Middle Distillate Price Monitoring System collects data on prices and gross margins for No. 2 heating oil from a sample of refiners, resellers, and retailers. The data is used to evaluate the level of competition and the reasonableness of prices in the heating oil market. It is concluded that the data does not provide a basis for determining whether a market is competitive, and that there is serious doubt as to the accuracy of the information collected by the system. Some recommendations are given for improving the quality of the information. (DLC)

  1. Weak oil prices seen hindrance to pace of increase in gas use

    International Nuclear Information System (INIS)

    Anon.

    1994-01-01

    World demand for gas is expected to rocket, yet future natural gas and liquefied natural gas projects remain threatened by the link of gas prices to crude oil prices. This is the main message that emerged from the 19th World Gas Conference in Milan last week. A number of reports predicted regional demand for gas. All foresaw a rise. International Gas Union (IGU), organizer of the conference, and said world natural gas production has continued to rise despite a significant downturn in industrial production. The paper discusses gas demand in Europe, the correlation between oil and gas prices, the natural gas industry in Indonesia, Russia, and southern Europe

  2. STRUCTURAL BREAKS, COINTEGRATION, AND CAUSALITY BY VECM ANALYSIS OF CRUDE OIL AND FOOD PRICE

    Directory of Open Access Journals (Sweden)

    Aynur Pala

    2013-01-01

    Full Text Available This papers investigated form of the linkage beetwen crude oil price index and food price index, using Johansen Cointegration test, and Granger Causality by VECM. Empirical results for monthly data from 1990:01 to 2011:08 indicated that evidence for breaks after 2008:08 and 2008:11. We find a clear long-run relationship between these series for the full and sub sample. Cointegration regression coefficient is negative at the 1990:01-2008:08 time period, but adversely positive at the 2008:11-2011:08 time period. This results represent that relation between crude oil and food price chanced.

  3. A Game Theory Analysis of the OPEC's Influence on World Oil Price

    Institute of Scientific and Technical Information of China (English)

    2006-01-01

    Most studies concerning OPEC's behavior were based on traditional market microstructure. However, the assumptions about oil market structure are either very rigorous or rather fuzzy. This paper demonstrates the rationality and necessity of OPEC's price band policy by using the game theory. We conclude that OPEC has the incentive to limit its price within a specific range if the game period is sufficiently long. This incentive comes either from preference for long-term interest or from future expectations. In such a way, OPEC tries its best to maximize its profit with the quotaprice dual policy and plays a price stabilizing role in the future world oil market.

  4. Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors

    Directory of Open Access Journals (Sweden)

    Chul-Yong Lee

    2017-01-01

    Full Text Available In the long-term, crude oil prices may impact the economic stability and sustainability of many countries, especially those depending on oil imports. This study thus suggests an alternative model for accurately forecasting oil prices while reflecting structural changes in the oil market by using a Bayesian approach. The prior information is derived from the recent and expected structure of the oil market, using a subjective approach, and then updated with available market data. The model includes as independent variables factors affecting oil prices, such as world oil demand and supply, the financial situation, upstream costs, and geopolitical events. To test the model’s forecasting performance, it is compared with other models, including a linear ordinary least squares model and a neural network model. The proposed model outperforms on the forecasting performance test even though the neural network model shows the best results on a goodness-of-fit test. The results show that the crude oil price is estimated to increase to $169.3/Bbl by 2040.

  5. On the link between oil price and exchange rate: A time-varying VAR parameter approach

    International Nuclear Information System (INIS)

    Bremond, Vincent; Razafindrabe, Tovonony; Hache, Emmanuel

    2015-07-01

    The aim of this paper is to study the relationship between the effective exchange rate of the dollar and the oil price dynamics from 1976 to 2013. In this context, we propose to explore the economic literature dedicated to financial channels factors (exchange rate, monetary policy, and international liquidity) that could affect the oil price dynamics. In addition to oil prices and the effective exchange rate of the dollar, we use the dry cargo index as a proxy for the real economic activity and prices for precious and industrial raw materials. Using a Bayesian time-varying parameter vector auto-regressive estimation, our main results show that the US Dollar effective exchange rate elasticity of the crude oil prices is not constant across the time and remains negative from 1989. It then highlights that a depreciation of the effective exchange rate of the dollar leads to an increase of the crude oil prices. Our paper also demonstrates the growing influence of financial and commodities markets development upon the global economy. (authors)

  6. Oil prices and the rise and fall of the U.S. real exchange rate

    International Nuclear Information System (INIS)

    Amano, R.A.; Norden, S. van.

    1993-12-01

    It is examined whether a link exists between oil price shocks and the U.S. real effective exchange rate. Data used for the study are described and their time series properties and the long-run explanatory power of oil prices for the real exchange rate are examined. Apparent causal relationships between exchange rates and oil prices are examined. An unrestricted error correction model is reduced until an error correction model with reasonable properties is derived. Results show that the two variables appear to be cointegrated and that causality runs from oil prices to the exchange rate and not vice-versa. The single equation error correction model linking these two variables is stable and captures much of the in- and out-of-sample movement in the exchange rate in dynamic simulation. Tests are presented to show that the error correction model has significant post-sample predictive ability for both the size and sign of changes in the real effective exchange rate. The results suggest that oil prices may have been the dominant source of persistant real exchange rate shocks over the post-Bretton Woods period and that energy prices may have important implications for future work on exchange rate behaviour. 61 refs., 3 figs., 7 tabs

  7. Macro economy, stock market and oil prices. Do meaningful relationships exist among their cyclical fluctuations?

    International Nuclear Information System (INIS)

    Filis, George

    2010-01-01

    This paper examines the relationship among consumer price index, industrial production, stock market and oil prices in Greece. Initially we use a unified statistical framework (cointegration and VECM) to study the data in levels. We then employ a multivariate VAR model to examine the relationship among the cyclical components of our series. The period of the study is from 1996:1 to 2008:6. Findings suggest that oil prices and the stock market exercise a positive effect on the Greek CPI, in the long run. Cyclical components analysis suggests that oil prices exercise significant negative influence to the stock market. In addition, oil prices are negatively influencing CPI, at a significant level. However, we find no effect of oil prices on industrial production and CPI. Finally, no relationship can be documented between the industrial production and stock market for the Greek market. The findings of this study are of particular interest and importance to policy makers, financial managers, financial analysts and investors dealing with the Greek economy and the Greek stock market. (author)

  8. Is there dependence and systemic risk between oil and renewable energy stock prices?

    International Nuclear Information System (INIS)

    Reboredo, Juan C.

    2015-01-01

    We study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value-at-risk as a measure of systemic risk. We found significant time-varying average and symmetric tail dependence between oil returns and several global and sectoral renewable energy indices. Our evidence on systemic risk indicates that oil price dynamics significantly contributes around 30% to downside and upside risk of renewable energy companies. These results have important implications for risk management and renewable energy policies. - Highlights: • We study systemic risk and dependence between oil and renewable energy markets. • Dependence and conditional value-at-risk is obtained through copulas. • Oil and renewable energy displayed time-varying average and symmetric tail dependence. • Oil price contribution to the downside and upside risks of renewable energy companies was around 30%

  9. The Effects of Oil Price Shocks on IIP and CPI in Emerging Countries

    Directory of Open Access Journals (Sweden)

    Yukino Sakashita

    2016-09-01

    Full Text Available In this paper, we investigate the effects of oil price shocks on the production and price level in five emerging countries through comparison with the United States, using a two-block structural VAR model of the global crude oil market proposed by Kilian and Park (see International Economic, vol. 50, 2009, pp. 1267–1287. Our main finding is that the effect of oil price shocks on the index of the industrial production (IIP and consumer price index (CPI in emerging countries also depends on where the changes fundamentally come from (this is also the case for the United States. We also found that some emerging countries showed unique impulse response patterns, the shapes of which are different from those of the United States and there are differences in impulse response patterns among emerging countries.

  10. EFFECTS OF OIL AND NATURAL GAS PRICES ON INDUSTRIAL PRODUCTION IN THE EUROZONE MEMBER COUNTRIES

    Directory of Open Access Journals (Sweden)

    Yılmaz BAYAR

    2014-04-01

    Full Text Available Industrial production is one of the leading indicators of gross domestic product which reflects the overall economic performance of a country. In other words decreases or increases in industrial production point out a contracting or expanding economy. Therefore, changes in prices of oil and natural gas which are the crucial inputs to the industrial production are also important for the overall economy. This study examines the effects of changes in oil and natural gas prices on the industrial production in the 18 Eurozone member countries during the period January 2001-September 2013 by using panel regression. We found that oil prices and natural gas prices had negative effect on industrial production in the Eurozone member countries.

  11. Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price

    Directory of Open Access Journals (Sweden)

    Kaijian He

    2016-04-01

    Full Text Available Recent empirical studies reveal evidence of the co-existence of heterogeneous data characteristics distinguishable by time scale in the movement crude oil prices. In this paper we propose a new multivariate Empirical Mode Decomposition (EMD-based model to take advantage of these heterogeneous characteristics of the price movement and model them in the crude oil markets. Empirical studies in benchmark crude oil markets confirm that more diverse heterogeneous data characteristics can be revealed and modeled in the projected time delayed domain. The proposed model demonstrates the superior performance compared to the benchmark models.

  12. Firm grip: the Canadian top 100 climb out of the oil price crater

    International Nuclear Information System (INIS)

    Jaremko, G.

    1999-01-01

    New price forecasts and corporate plans for Canadian oil and gas companies were presented. Since the fall of 1997 Canadian oil prices have been on a continuous and long downward slide to as low as US$11-12 for the 1998-99 winter. However, by the end of February 1999, oil prices projections have averaged $13. As the market grows stronger, it is believed that oil prices will be strong enough for the rest of 1999 to pull the annual average up at least to US$16, then stay firm at $18 or more in year 2000. It is also believed that natural gas prices will be the best since the onset in 1985 of energy free trade. Even Canadian heavy oil, the most depressed sector in 1997-98, will bounce back as Mexico and Venezuela shut theirs in while U.S. refineries add processing capacity. In western Canada there will be 9,200 wells in 1999 and 14,400 in 2000. Industry spending might almost double to $18.6 billion. It is also predicted that the Toronto Stock Exchange's oil and gas index will top 8,000 for the first time. 1 fig

  13. Forecasting Crude Oil Price Using EEMD and RVM with Adaptive PSO-Based Kernels

    Directory of Open Access Journals (Sweden)

    Taiyong Li

    2016-12-01

    Full Text Available Crude oil, as one of the most important energy sources in the world, plays a crucial role in global economic events. An accurate prediction for crude oil price is an interesting and challenging task for enterprises, governments, investors, and researchers. To cope with this issue, in this paper, we proposed a method integrating ensemble empirical mode decomposition (EEMD, adaptive particle swarm optimization (APSO, and relevance vector machine (RVM—namely, EEMD-APSO-RVM—to predict crude oil price based on the “decomposition and ensemble” framework. Specifically, the raw time series of crude oil price were firstly decomposed into several intrinsic mode functions (IMFs and one residue by EEMD. Then, RVM with combined kernels was applied to predict target value for the residue and each IMF individually. To improve the prediction performance of each component, an extended particle swarm optimization (PSO was utilized to simultaneously optimize the weights and parameters of single kernels for the combined kernel of RVM. Finally, simple addition was used to aggregate all the predicted results of components into an ensemble result as the final result. Extensive experiments were conducted on the crude oil spot price of the West Texas Intermediate (WTI to illustrate and evaluate the proposed method. The experimental results are superior to those by several state-of-the-art benchmark methods in terms of root mean squared error (RMSE, mean absolute percent error (MAPE, and directional statistic (Dstat, showing that the proposed EEMD-APSO-RVM is promising for forecasting crude oil price.

  14. The transitory and permanent volatility of oil prices: What implications are there for the US industrial production?

    International Nuclear Information System (INIS)

    Ali Ahmed, Huson Joher; Bashar, Omar H.M.N.; Wadud, I.K.M. Mokhtarul

    2012-01-01

    Highlights: ► This study examines the impact of oil price uncertainty on the US industrial production (IPI). ► The transitory component of the oil price volatility has an adverse impact on the US IPI. ► The transitory oil price volatility induces higher volatility in CPI, commodity prices and IPI. -- Abstract: This study examines the impact of oil price uncertainty on the US industrial production by decomposing oil price volatility into permanent and transitory components. The decompositions provide important evidence on sources and asymmetric effects of oil price volatility. To estimate the component structure of volatility and to analyse the dynamic impacts of the volatility components, the study uses a threshold based CGARCH and VAR modelling over a period from 1980 to 2010 for the US economy. The CGARCH model estimates show significant asymmetric effect of oil price shock on the transitory oil price volatility. Dynamic impulse response functions obtained from the estimated VAR models reveal that there is a significant and prolonged dampening impact of increased transitory oil price volatility on industrial production. The results also suggest that shocks to transitory component induce increased volatility in the general price level and non-fuel commodity prices in the US. Variance decomposition analysis reconfirms that the transitory volatility is the second most important factor to explain the variance of industrial production. These results provide additional insights on the sources of oil price uncertainty and point to the need to direct US energy policies towards stabilising short-term uncertainties in oil prices.

  15. OPEC's production under fluctuating oil prices. Further test of the target revenue theory

    International Nuclear Information System (INIS)

    Ramcharran, H.

    2001-01-01

    Oil production cutbacks in recent years by OPEC members to stabilize price and to increase revenues warrant further empirical verification of the target revenue theory (TRT). We estimate a modified version of Griffin (1985) target revenue model using data from 1973 to 2000. The sample period, unlike previous investigations, includes phases of both price increase (1970s) and price decrease (1980s-1990s), thus providing a better framework for examining production behavior. The results, like the earlier study, are not supportive of the strict version of the TRT, however, evidence (negative and significant elasticity of supply) of the partial version are substantiated. Further empirical estimates do not support the competitive pricing model, hypothesizing a positive elasticity of supply. OPEC's loss of market share and the drop in the share of oil-based energy should signal an adjustment in pricing and production strategies

  16. Exploring the oil price and real GDP nexus for a small island economy, the Fiji Islands

    International Nuclear Information System (INIS)

    Prasad, Arti; Narayan, Paresh Kumar; Narayan, Jashwini

    2007-01-01

    The goal of this paper is to examine the relationship between real GDP and oil prices using time series data for the period 1970-2005. Our main finding is that an increase in oil has a positive, albeit inelastic, impact on real GDP, inconsistent with the bulk of the literature. We argue that this is not a surprising result for the Fiji Islands. Our central argument focuses on two aspects of the Fijian economy: (1) the fact that actual output in Fiji has been around 50 per cent less than potential output; thus, Fiji's actual output has not reached a threshold level at which oil prices can negatively impact output; and (2) a rise in oil prices filters through to value added, which in turn is reflected in a larger actual output

  17. Is there co-movement of agricultural commodities futures prices and crude oil?

    International Nuclear Information System (INIS)

    Natanelov, Valeri; Alam, Mohammad J.; McKenzie, Andrew M.; Van Huylenbroeck, Guido

    2011-01-01

    Even though significant attempts have appeared in literature, the current perception of co-movement of commodity prices appear inadequate and static. In particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures. A comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed. Our results indicate that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Furthermore we show that biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold. - Highlights: → We show that co-movement of commodity futures is a temporal concept. → A variation in parallel movement between 2 large periods occurs. → Biofuel policy buffers parallel movement of corn and crude oil futures

  18. Is there co-movement of agricultural commodities futures prices and crude oil?

    Energy Technology Data Exchange (ETDEWEB)

    Natanelov, Valeri, E-mail: valeri.natanelov@ugent.be [Department of Agricultural Economics, Ghent University, Coupure links 653, 9000 Ghent (Belgium); Alam, Mohammad J. [Department of Agricultural Economics, Ghent University, Coupure links 653, 9000 Ghent (Belgium); Department of Agribusiness and Marketing, Bangladesh Agricultural University (Bangladesh); McKenzie, Andrew M. [Department of Agricultural Economics and Agribusiness, University of Arkansas, AR (United States); Van Huylenbroeck, Guido [Department of Agricultural Economics, Ghent University, Coupure links 653, 9000 Ghent (Belgium)

    2011-09-15

    Even though significant attempts have appeared in literature, the current perception of co-movement of commodity prices appear inadequate and static. In particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures. A comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed. Our results indicate that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Furthermore we show that biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold. - Highlights: > We show that co-movement of commodity futures is a temporal concept. > A variation in parallel movement between 2 large periods occurs. > Biofuel policy buffers parallel movement of corn and crude oil futures

  19. Political problems in the Middle-East and the oil barrel price

    International Nuclear Information System (INIS)

    Saidy, Brahim

    2010-04-01

    After having briefly evoked the evolution of oil prices until April 2010, the author explains these variations in relationship with a market logics, notably by an unbalanced rate between production and consumption as it has been noticed in different countries and by different institutions, and by a slowing down of the supply rate. In the next part, the author addresses and comments the influence of the geopolitical context, or the political logics of oil price, by discussing the prevailing importance of the Middle-East in terms of oil reserves and production, and the impact of geopolitical tensions and events on oil price since the 1970's. The author finally outlines how lower geopolitical tensions would result in a better energy security

  20. The influence of oil price shocks on china’s macro-economy: A perspective of international trade

    Directory of Open Access Journals (Sweden)

    Dengke Chen

    2015-09-01

    Full Text Available This paper is aimed at investigating and understanding the relationship between China’s macro-economy and oil price from a new perspective—the international trade perspective. We find strong evidence to suggest that the increase of China’s price level, resulting from oil price shocks, is statistically less than that of its main trade partners’. This helps us to understand the confused empirical results estimated within the SVAR framework. More specifically, SVAR results suggest that China’s output level is positively correlated with the oil price. Positive correlation between China’s output and oil price shocks presumably results from the drop in China’s relative price induced by oil price shocks, which is inclined to stimulate China’s goods and service exports.

  1. The world energy demand in 2005: confirmed increase in energy consumptions, despite soaring crude oil prices

    International Nuclear Information System (INIS)

    Chateau, Bertrand

    2006-01-01

    The world energy demand growth remains strong: 2004 experienced the highest growth since 19987, and brent prices had moderate impact in 2005: Very strong rise of energy consumptions despite high oil prices, Economic situation still favorable, Evolutions principally due to China. 2005 world energy consumption: 11,4 Gtoe: Asia accounts for 35% of the world energy consumption, China's weight (15%) continues to increase by one point every year (+5 points since 2000). Asia increases its pressure on the world energy growth in 2005: China accounts for almost half of the world energy consumption increase in 2005, the whole Asia accounts for 70%; The European consumption growth represents less than 5% of China's Growth; The American energy consumption decreases for the first time. 2005 world consumption by energy: With an increasing market share by 0,7 points, coal penetration increases; The oil market has lost 0,4 point, with an accelerating relative decrease; The relative weight of gas remains stable, with 21%. Energy efficiency and energy intensity of GDP: Slow-down of the world energy intensity decrease since 2001, whereas the economic growth is faster, due to changes in trends in China (increase in the recent years). Increase less sharp in China in 2005 (price effect). Energy intensity trends of GDP: Fast decrease in CIS since the recovery of the economic growth; Slow-down of the decrease in EU since 2000 and recovery in 2005 whereas the decrease has accelerated in the USA. Since 2000, the energy consumption increases less rapidly than the GDP almost everywhere, except for the Middle East. Projections until 2020: China and India could represent one third of the world energy growth, the whole of Asia more than 50%; Growth prospects for energy demand are low in the EU and CIS; America would account for 20% of the world energy growth (8% USA); In the rest of the world, high growth in Africa and in the Middle East. Gas could cover more than 40% of the world energy

  2. Determining Optimal Crude Oil Price Benchmark in Nigeria: An Empirical Approach

    Directory of Open Access Journals (Sweden)

    Saibu Olufemi Muibi

    2015-12-01

    Full Text Available This paper contributes to on-going empirical search for an appropriate crude oil price benchmark that ensures greater financial stability and efficient fiscal management in Nigeria. It adopted the seasonally adjusted ARIMA forecasting models using monthly data series from 2000m01 to 2012m12 to predict future movement in Nigeria crude oil prices. The paper derived a more robust and dynamic framework that accommodates fluctuation in crude oil price and also in government spending. The result shows that if the incessant withdrawal from the ECA fund and the increasing debt profile of government in recent times are factored into the benchmark, the real crude oil numerical fiscal rule is (US$82.3 for 2013 which is higher than the official benchmark of $75 used for 2013 and 2014 budget proposal. The paper argues that the current long run price rule based on 5-10 year moving average approach adopted by government is rigid and inflexible as a rule for managing Nigerian oil funds. The unrealistic assumption of the extant benchmark accounted for excessive depletion and lack of accountability of the excess crude oil account. The paper concludes that except the federal government can curtail its spending profligacy and adopts a more stringent fiscal discipline rules, the current benchmark is unrealistic and unsuitable for fiscal management of oil revenue in the context of Nigerian economic spending profile.

  3. A Comparative Anatomy of Oil Price Routs: A Review of Four Price Routs between 1985 and 2014

    Directory of Open Access Journals (Sweden)

    Robert Skinner

    2015-11-01

    Full Text Available With layoffs and cutbacks in the oilpatch and the ripple effects spreading out through Canada’s economy, it may seem as though the latest drop in oil prices could stall the economic engine in Alberta for a long time. This paper argues, however, that the current rout is unlike the other three major ones (when the price of oil dropped 60 per cent or more experienced in the last 30 years. The factors affecting the oil price drop and its potential for rebound differ significantly. The routs of 2008 and 1997 were mostly demand-driven, triggered by credit crises in key markets. Both 2014 and 1985 started as demand-driven, too, but significantly, they changed to supply-driven crashes. There, however, the similarities end between today and 30 years ago. Fears that we may be in for a long-term rout, similar to that of 1985, which lasted more than a decade, may be allayed by examining the very different circumstances surrounding the contemporary situation. Given an uninspiring macroeconomic outlook, a supply-side solution will be imperative. A critical difference lies in the security of spare productive capacity. In 1985, OPEC’s spare capacity approached twenty per cent of world demand. Today, it is closer to two per cent. Moreover, today’s producer of the disruptive non-OPEC barrels in the shale oil industry in particular is far more reliant on external financing than were companies developing, for example, the North Sea 30 years ago. Then, with much higher prime rates, firms largely self-generated their financing. In addition, there was considerable room for cost-cutting, enabling increased production and therefore prolongation of the crash. If any silver lining can be found in the roiling storm clouds of the current rout, it is that the pendulum could swing sharply back by decade’s end. Natural production declines in old fields and investment cutbacks and cancellations around the world will eventually register in market balances once record

  4. Macroeconomic effects of oil price shocks in Brazil and in the United States

    International Nuclear Information System (INIS)

    Cavalcanti, Tiago; Jalles, João Tovar

    2013-01-01

    Highlights: ► We find that output growth volatility in the US has been decreasing over time. ► The contribution of oil price shocks to such volatility has also been decreasing. ► In Brazil, oil shocks do not seem to have a clear impact on growth. ► They account for a small fraction of the Brazilian inflation and output volatility. ► Counterfactuals show US output would be 10% less volatile with Brazil’s oil import share. - Abstract: This paper studies the effects of oil price shocks in the last 30 years on the Brazilian and American inflation rate and rhythm of economic activity. The Brazilian and the United States economies are interesting polar cases, since they had a completely different path on the oil import dependence rate. While the oil import dependence rate has increase sharply in the United States (US), it has decreased substantially in Brazil. We found that output growth volatility in the United States has been decreasing over time as well as the contribution of oil price shocks to such volatility, despite the increase in oil import dependence. Inflation volatility has also been decreasing but oil price shocks are accounting for a larger fraction of this volatility in the US. In Brazil, such shocks do not seem to have a clear impact on output growth and they account for a very small fraction of the Brazilian inflation and output growth rate volatility. We finally run some counterfactual experiments to analyze how real output growth in the United States would had been if net oil import share in the United States behaved similarly to what was observed in Brazil. We conclude that output level would be roughly the same, however, it would be about 10% less volatile if the US had the actual Brazilian oil import share

  5. A Study on the Determination of the World Crude Oil Price and Methods for Its Forecast

    Energy Technology Data Exchange (ETDEWEB)

    Kim, J.K. [Korea Energy Economics Institute, Euiwang (Korea)

    2001-11-01

    The primary purpose of this report is to provide the groundwork to develop the methods to forecast the world crude oil price. The methodology is used by both literature survey and empirical study. For this purpose, first of all, this report reviewed the present situation and the outlook of the world oil market based on oil demand, supply and prices. This analysis attempted to provide a deeper understanding to support the development of oil forecasting methods. The result of this review, in general, showed that the oil demand will be maintained annually at an average rate of around 2.4% under assumption that oil supply has no problem until 2020. The review showed that crude oil price will be a 3% increasing rate annually in the 1999 real term. This report used the contents of the summary review as reference data in order to link the KEEIOF model. In an effort to further investigate the contents of oil political economy, this report reviewed the articles of political economy about oil industry. It pointed out that the world oil industry is experiencing the change of restructuring oil industry after the Gulf War in 1990. The contents of restructuring oil industry are characterized by the 'open access' to resources not only in the Persian Gulf, but elsewhere in the world as well - especially the Caspian Sea Basin. In addition, the contents showed that the oil industries are shifted from government control to government and industry cooperation after the Gulf War. In order to examine the characters and the problems surrounding oil producing countries, this report described the model of OPEC behavior and strategy of oil management with political and military factors. Among examining the models of OPEC behavior, this report focused on hybrid model to explain OPEC behavior. In reviewing political and religious power structure in the Middle East, the report revealed that US emphasizes the importance of the Middle East for guaranteeing oil security. However, three

  6. The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective

    Directory of Open Access Journals (Sweden)

    Huiming Zhu

    2016-08-01

    Full Text Available This paper uses a quantile impulse response approach to investigate the impact of oil price shocks on Chinese stock returns. This process allows us to uncover asymmetric effects of oil price shocks on stock market returns by taking into account the different quantiles of oil price shocks. Our results show that the responses of Chinese stock market returns to oil price shocks differ greatly, depending on whether the oil and stock market is in a bust or boom state and whether the shock is driven by demand or supply. The impacts of oil price shocks on Chinese stock returns present asymmetric features. In particular during a bust phase, oil supply and demand shocks significantly depress stock market returns, while during a boom period, the aggregate demand shock enhances stock market returns. These results suggest some important implications for investors and decision makers.

  7. THE LONG-RUN AND SHORT-RUN EFFECTS OF CRUDE OIL PRICE ON METHANOL MARKET IN IRAN

    Directory of Open Access Journals (Sweden)

    Akbar Komijani

    2013-01-01

    Full Text Available Substituting crude oil exports with value-added petrochemical products is one of the main strategies for policy makers in oil-driven economies to isolating the real sectors of economy from oil price volatility. This policy inclination has led to a body of literature in energy economics in recent decades. As a case study, this paper investigates the short-run and long-run relationship between Iran’s oil price and methanol price which is one of the most important non-oil exports of the oil-exporting country. To do so, the weekly data from 18 Jan. 2009 to 18 Sep. 2011 in a VECM framework is applied. The results show that in the long-run, oil price hikes leads to proportional increase in methanol price while in the short-run, this impact is not significant.

  8. Energy prices and the post oil/energy crisis Brazilian inflation: an input-output study

    Energy Technology Data Exchange (ETDEWEB)

    Lara-Resende, M.deM.

    1982-01-01

    This study is an attempt to understand the implications of the OPEC-induced severalfold increase in the international price of oil for average and sectoral domestic prices in Brazil, a large oil-importing open developing economy. Rather than using a Keynesian model (focusing on the universal characteristics of an economy), the study makes use of an open-price input-output model (capturing the structural characteristics of the Brazilian economy). The first three chapters, descriptive in nature, place in perspective the following three, which detail the model and the empirical results. The main conclusion is that, despite the significant increase observed in the post-crisis period, the relative percentage contribution of primary energy to wholesale inflation in Brazil is still relatively minor. A conservative estimate suggests that, in the years of substantial acceleration (1974 and 1979), approximately 15% of the wholesale inflation was due to energy (basically crude oil and oil derivatives). Though such low estimates are partly due to the limitations and assumptions underlying input-output analysis, it seems that the acceleration of inflation is related to more than cost increases originating in energy prices. It also seems to be related to agricultural and labor prices, as well as to the government's decision to abruptly and inopportunely raise several important product prices.

  9. Impact of speculator's expectations of returns and time scales of investment on crude oil price behaviors

    International Nuclear Information System (INIS)

    He, Ling-Yun; Fan, Ying; Wei, Yi-Ming

    2009-01-01

    Based on time series of crude oil prices (daily spot), this paper analyses price fluctuation with two significant parameters τ (speculators' time scales of investment) and ε (speculators' expectations of return) by using Zipf analysis technique, specifically, by mapping τ-returns of prices into 3-alphabeted sequences (absolute frequencies) and 2-alphabeted sequences (relative frequencies), containing the fundamental information of price fluctuations. This paper empirically explores parameters and identifies various types of speculators' cognition patterns of price behavior. In order to quantify the degree of distortion, a feasible reference is proposed: an ideal speculator. Finally, this paper discusses the similarities and differences between those cognition patterns of speculators' and those of an ideal speculator. The resultant analyses identify the possible distortion of price behaviors by their patterns. (author)

  10. The Effect on the Indicators of Unemployment of International Crude Oil Price Volatility: Empirical Findings on the Case of Turkey

    Directory of Open Access Journals (Sweden)

    Birol Erkan

    2011-12-01

    Full Text Available Oil prices may have an impact on economic activity through various transmission channels. A number of recent studies have emphasized the role of oil prices and macro-economic variables. The aim of this paper is to study the short-term/longterm relationship between oil prices and unemployment in Turkey. The most common cause of increasing oil prices over the last thirty years has been a decrease in supply. Prices increased during the early 1970s as OPEC reduced supply. Again prices increased in the late 1970s and early 1980s as the collapse of the government of the Shah of Iran and subsequent war between Iran and Iraq threatened supply. We applied Granger causal modals to determine if oil prices “Granger Caused” unemployment for data between 2005:01 and 2009:12 in Turkey. However, we performed Vector Autoregressive Model (VAR to determine the relationship between to variables in question, to estimate these relationships and to determine the delay values. As a result, long-term relationship between oil prices and unemployment rate are available in Turkey, and changes in the unemployment rate do not affect oil prices, oil prices changes affect the unemployment rate (this effect is the opposite direction

  11. The Share Price and Investment: Current Footprints for Future Oil and Gas Industry Performance

    Directory of Open Access Journals (Sweden)

    Ionel Jianu

    2018-02-01

    Full Text Available The share price has become a very important indicator for shareholders, banks, and financial institutions evaluating the performance of companies. The oil and gas industry seems to be in a difficult era of development, due to the market prices for its products. Moreover, climate change and renewable energies are barriers for fossil energy. This state of affairs, and the fact that oil and gas shares are considered one of the most solid and reliable shares on the London Stock Exchange (LSE, have drawn our attention. International institutions encourage the investment in the oil and gas economic sector. This study investigates how investments of oil and gas companies in long-term assets influence the share price. Using the Ohlson share price model for a sample of 51 listed companies on the LSE proves that investments in long-term assets influence the share price in the case of companies which record losses. Investments in long-term assets are responsible for the attractiveness of the oil and gas company shares.

  12. Does climate policy make the EU economy more resilient to oil price rises? A CGE analysis

    International Nuclear Information System (INIS)

    Maisonnave, Hélène; Pycroft, Jonathan; Saveyn, Bert; Ciscar, Juan-Carlos

    2012-01-01

    The European Union has committed itself to reduce greenhouse gas (GHG) emissions by 20% in 2020 compared with 1990 levels. This paper investigates whether this policy has an additional benefit in terms of economic resilience by protecting the EU from the macroeconomic consequences due to an oil price rise. We use the GEM-E3 computable general equilibrium model to analyse the results of three scenarios. The first one refers to the impact of an increase in the oil price. The second scenario analyses the European climate policy and the third scenario analyses the oil price rise when the European climate policy is implemented. Unilateral EU climate policy implies a cost on the EU of around 1.0% of GDP. An oil price rise in the presence of EU climate policy does imply an additional cost on the EU of 1.5% of GDP (making a total loss of 2.5% of GDP), but this is less than the 2.2% of GDP that the EU would lose from the oil price rise in the absence of climate policy. This is evidence that even unilateral climate policy does offer some economic protection for the EU.

  13. Interdependence between crude oil and world food prices: A detrended cross correlation analysis

    Science.gov (United States)

    Pal, Debdatta; Mitra, Subrata K.

    2018-02-01

    This article explores the changing interdependence between crude oil and world food prices at varying time scales using detrended cross correlation analysis that would answer whether the interdependence (if any) differed significantly between pre and post-crisis period. Unlike the previous studies that exogenously imposed break dates for dividing the time series into sub-samples, we tested whether the mean of the crude oil price changed over time to find evidence for structural changes in the crude oil price series and endogenously determine three break dates with minimum Bayesian information criterion scores. Accordingly, we divided the entire study period in four sample periods - January 1990 to October 1999, November 1999 to February 2005, March 2005 to September 2010, and October 2010 to July 2016, where the third sample period coincided with the period of food crisis and enabled us to compare the fuel-food interdependence across pre-crisis, during the crisis, and post-crisis periods. The results of the detrended cross correlation analysis extended corroborative evidence for increasing positive interdependence between the crude oil price and world food price index along with its sub-categories, namely dairy, cereals, vegetable oil, and sugar. The article ends with the implications of these results in the domain of food policy and the financial sector.

  14. East African governments' responses to high cereal prices

    NARCIS (Netherlands)

    Meijerink, G.W.; Roza, P.; Berkum, van S.

    2009-01-01

    This study analyses the responses of governments in four East African countries (Kenya, Tanzania, Uganda and Ethiopia) with respect to price formation and price transmission in the cereal sector. All four countries were confronted with high cereal prices in 2008. Government policies applied largely

  15. The effect of OPEC policy decisions on oil and stock prices

    International Nuclear Information System (INIS)

    Guidi, Marco G.D.; Russell, Alexander; Tarbert, Heather

    2006-01-01

    This paper presents evidence of the effects of OPEC policy decisions on the US and UK stock markets, as well as on oil prices, during periods of conflict and non-conflict from 1986 to 2004. The outcomes of this study are potentially valuable in assessing future strategies for OPEC policy decisions on oil production targets for its Members. This paper also adds to the strong body of evidence supporting the hypothesis that market returns are influenced by factors that affect business conditions, such as oil price shocks. The key findings are that there are asymmetric reactions to OPEC policy decisions during conflict periods for the US and UK stock markets. During conflict periods, oil markets require time to incorporate OPEC decisions. Conversely, in non-conflict periods the evidence suggests that the oil markets incorporate OPEC decisions efficiently. (Author)

  16. Planning Oil Prices In The World Market And Preventive Policies In Energy Sector Of Iran

    International Nuclear Information System (INIS)

    Raees Dana, Fariborz

    1999-01-01

    The planning of oil prices in the world can not be analyzed by means of the market-competition theory or the game theory. The current prices seem to be influenced greatly by large energy consuming industries of developed countries, oil producing corporations and cartels, and oil productions outside of OPEC. There is a lack of necessary long term policies and planning so that drastic changes in market prices can be avoided. The goal of this paper is to suggest new policies by means of discussing in following issues: 1.Initiating some form of a financial support for OPEC with the necessary follow up. 2. Utilization of oil income in sectors organized to have the least susceptibility against income loss and the lowest impact on other sectors. 3. Reducing of oil production level in the local and global framework and starting in industrialization process. 4. Replacement of oil with natural gas at a faster rate. 5. improving the oil industry infrastructure for lowering production costs and increasing variety in products in light of country economic policies and occupational strategies. 6. Imposing self-reliance on development of oil-production technology

  17. A CAUSAL RELATIONSHIP BETWEEN OIL PRICES CURRENT ACCOUNT DEFICIT, AND ECONOMIC GROWTH: AN EMPIRICAL ANALYSIS FROM FRAGILE FIVE COUNTRIES

    Directory of Open Access Journals (Sweden)

    Yuksel BAYRAKTAR

    2016-09-01

    Full Text Available The main objective of this study is to determine the impact of oil prices in the Fragile-Five countries (Brazil, Indonesia, South Africa, India, and Turkey on current account deficit and growth. In this study, the method of panel data analysis was used and the period of 1980-2014 was examined. The Levin, Lin, & Chu panel; Im, Pesaran, and Shin W-stat; ADF-Fisher Chi-square; and PP-Fisher Chi-square unit root tests were used to determine the stability of data before panel data analysis. The results of the study can be expressed as follows. i There was a statistically meaningful relationship in oil prices with both GDP and the current account deficit. While there was a positive correlation between oil prices and GDP, there was a negative relationship between oil prices and current account deficit. ii No long-term relationship was found between GDP and oil prices; there was a long-term relationship between current account deficit and oil prices as determined by the cointegration tests. iii Causality test also showed the presence of a bidirectional relationship between GDP and oil prices.  Causality between oil prices and the current account deficit was one-way from the variable of oil price to the variable of current account deficit.

  18. OPEC and the world oil prices: Is the genie back in the bottle

    International Nuclear Information System (INIS)

    Griffin, J.M.

    1992-01-01

    After reviewing and analyzing OPEC's behavior in the past two decades, a simulation model is employed to explore plausible paths for oil prices. OPEC's members are subdivided into analytically convenient maximizing groups. Lener index analysis is applied to measure observed market power and the potential monopoly power for the cartel core. Price paths for the 1990s under alternative OPEC configurations are presented, and it is suggested that the return to monopolization is large. Price levels of the 1970s were not sustainable even with a perfectly disciplined cartel core. Long run supply and demand elasticities were much greater than OPEC expected. Even though cheating contributed to OPEC's predicament in the 1980s, the primary determinant of oil price decline was external market forces. Future price instability is possible for both political and economic reasons, with a likely scenario of prices oscillating around the cartel core's optimum price path that features prices in the present range rising moderately. 8 refs., 6 tabs., 3 figs

  19. On the Impact of Policy Uncertainty on Oil Prices: An Asymmetry Analysis

    Directory of Open Access Journals (Sweden)

    Mohsen Bahmani-Oskooee

    2018-01-01

    Full Text Available Previous research has assessed the impact of policy uncertainty on a few macro variables. In this paper, we consider its impact on oil prices. Oil prices are usually determined in global markets by the law of demand and supply. Our concern in this paper is to determine which country’s policy uncertainty measure has an impact on oil prices. Using both the linear and the nonlinear Autoregressive Distributed Lag (ARDL methods, we find that while policy uncertainty measures of Canada, China, Europe, Japan, Russia, South Korea, and the U.S. have short-run effects, short-run effects last into the long-run asymmetric effects only in the case of China. This may reflect the importance and recent surge in China’s engagement in world trade.

  20. The Effects of Oil Price Changes And Exchange Rate Volatility On Unemployment: Evidence From Malaysia

    Directory of Open Access Journals (Sweden)

    Mohd Shahidan Shaari

    2016-01-01

    Full Text Available The study aims to examine the effects of oil price and exchange rate on unemployment in Malaysia. The empirical analysis commence by analyzing the time series property of data. The Johansen VAR-based co-integration technique was applied to examine the long run relationship between exchange rate, oil price and unemployment and found the long run relationship does exist. The vector error correction model was performed to check the short run dynamics and found that the short run dynamics are influenced by the estimated long run equilibrium. Granger causality was done and found that oil price does not affect unemployment but exchange rate has an influence on unemployment. Therefore, putting the exchange rate under control should be implemented to control unemployment.

  1. A Threshold Cointegration Analysis of Asymmetric Adjustment of OPEC and non-OPEC Monthly Crude Oil Prices

    OpenAIRE

    Ghassan, Hassan B.; Banerjee, Prashanta K.

    2013-01-01

    The purpose of this paper is to analyze the dynamics of crude oil prices of OPEC and non-OPEC countries using threshold cointegration. To capture the long run asymmetric price transmission mechanism, we develop an error correction model within a threshold cointegration and CGARCH errors framework. The empirical contribution of our paper specifies the cointegrating relation between OPEC price and non-OPEC prices and estimates how and to what extent the respective prices adjust to eliminate dis...

  2. Effects of an oil price rise on inflation, output, and the exchange rate in the case of subsidization policy

    Energy Technology Data Exchange (ETDEWEB)

    Zandi, F R

    1982-01-01

    Since the Organization of Petroleum Exporting Countries raised the price of oil by 400% in 1974, the theory of supply inflation has received a great deal of attention. This study analyses the short and long run effects of an oil price rise on output, inflation, and the exchange rate. The study also analyses dynamic adjustments to the oil price rise in cases where oil-price subsidies are provided and where no subsidies are provided. In the no-subsidy case it is shown that the oil price rise can be inflationary or deflationary. The implications of the policy of subsidizing the price of oil is highlighted by taking account of a government budget constraint which in turn leads to the possibility of monetization as a source of financing the deficit, and thereby to higher output relative to the no subsidy case. As to the price level, the possibility is illustrated that subsidization can actually be more inflationary. The important element giving rise to the above possibility is the subsidy induced increase in the money supply. Exchange-rate flexibility is shown not to insulate the domestic price level against an oil price rise. In the long run the rate of inflation and exchange-rate variations are determined by the rate of growth of the money supply. The dynamic adjustment path of price and output is shown to be determined by the rate of adjustment of inflationary expectations.

  3. Asymmetry in retail gasoline and crude oil price movements in the United States. An application of hidden cointegration technique

    International Nuclear Information System (INIS)

    Honarvar, Afshin

    2009-01-01

    There is a common belief that gasoline prices respond more quickly to crude oil price increases than decreases. Some economists and politicians believe that asymmetry in oil and gasoline price movements is the outcome of a non-competitive gasoline market requiring that governments take policy action to address 'unfair pricing'. There is no consensus as to the existence, or nature, of the asymmetric relationship between prices of gasoline and crude oil. Much of this literature specifies asymmetry in the speed of adjustment and short-run adjustment coefficients. In contrast, Granger and Yoon's [Granger, C.W. and Yoon, G. 'Hidden Cointegration', University of California, San Diego, Department of Economics Working Paper, (2002).] Crouching Error Correction Model (CECM) identifies asymmetry of the cointegrating vectors between components (cumulative positive and negative changes) of the series. Applying the CECM to retail gasoline and crude oil prices for the U.S., we find that there is only evidence of cointegration between positive components of crude oil prices and negative components of gasoline prices. In contrast to the literature which attributes asymmetric price movements to market power of refiners, these findings suggest that gasoline prices -in the long run- are more influenced by the technological changes on the demand side than crude oil price movements on the supply side. (author)

  4. Density forecasts of crude-oil prices using option-implied and ARCH-type models

    DEFF Research Database (Denmark)

    Høg, Esben; Tsiaras, Leonicas

    2011-01-01

    of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well...... obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark...

  5. Reform of refined oil product pricing mechanism and energy rebound effect for passenger transportation in China

    International Nuclear Information System (INIS)

    Lin, Boqiang; Liu, Xia

    2013-01-01

    Improving energy efficiency is the primary method adopted by the Chinese government in an effort to achieve energy conservation target in the transport sector. However, the offsetting effect of energy rebound would greatly reduce its real energy-saving potentials. We set up a Linear Approximation of the Almost Ideal Demand System Model (LA-AIDS model) to estimate the rebound effect for passenger transportation in China. Real energy conservation effect of improving energy efficiency can also be obtained in the process. The result shows that the rebound effect is approximately 107.2%. This figure signifies the existence of ‘backfire effect’, indicating that efficiency improvement in practice does not always lead to energy-saving. We conclude that one important factor leading to the rebound effect, is the refined oil pricing mechanism. China's refined oil pricing mechanism has been subjected to criticism in recent years. The results of simulation analysis show that the rebound could be reduced to approximately 90.7% if the refined oil pricing mechanism is reformed. In this regard, we suggest further reforms in the current refined oil pricing mechanism. - Highlights: ► We set up the LA-AIDS model to estimate traffic service demand for urban residents. ► The size of the rebound effect for passenger transportation in China is evaluated. ► The rebound effect for passenger transportation in China is 107.2%. ► Reform of oil pricing could reduced the rebound to 90.7%. ► Reform of oil pricing might be an effective method for mitigating rebound effect

  6. The impact of Oil Prices on the International Economic Arena: The Economic Factors and International Players

    Directory of Open Access Journals (Sweden)

    MA. Arben Salihu

    2014-06-01

    Full Text Available Throughout history the new technologies and discoveries revolutionized the way we live. The discovery, the oil, has been critical for society, becoming the world’s most profitable and essential industry transforming itself from domestic to international business. The aim of this paper, above all is to analyze the role of oil and its price volatility in world economy. The ongoing changes and transformations in world oil industry tend to have a great effect not only on the oilimporting countries but also on oil-exporting nations. The demand or supply-triggered oil price volatility differ in its effects to world economic activity. Although it may have different effect for the oil importing nations in comparison to oil exporting nations, still inflationary pressure may be a common feature. A number of points relevant to the study are put forward highlighting pros and cons of issues discussed. The paper also elaborates the environmental concerns, deriving from the increase of oil consumption and the necessity (globally to increase efforts in finding a decent,(environmentally friendly replacement for oil.

  7. The crude oil market mechanism in the light of the 1990-91 price crisis

    International Nuclear Information System (INIS)

    Memarian, M.S.

    1992-01-01

    This paper is an attempt to forecast crude oil prices in the 1990-91 crisis. The methodology used is based on the standard supply/demand apparatus, with respect to the possible political circumstances which prevailed during the crisis. The paper begins by modelling crude oil prices. Then the application of the model to the oil market will be discussed. The exclusive findings of this study concern the method of estimating that crude oil prices would grow to a maximum level of $32 per barrel just before the start of the (military) war in January 1991 -and, at the same time, that total excess demand would be around 2.5 million barrels per day, and that, in the case of an injection of about 2.5 mb/d of crude into the market, prices would collapse to their pre-crisis levels of approximately $19/b. It also shows how the effects of political deterioration on prices can be divided into a shift in the slope of the demand curve and a shift in the demand curve itself. (author)

  8. Oil price shocks and their short- and long-term effects on the Chinese economy

    International Nuclear Information System (INIS)

    Tang, Weiqi; Wu, Libo; Zhang, ZhongXiang

    2010-01-01

    A considerable body of economic literature shows the adverse economic impacts of oil-price shocks for the developed economies. However, there has been a lack of similar empirical study on China and other developing countries. This paper attempts to fill this gap by answering how and to what extent oil-price shocks impact China's economy, emphasizing on the price transmission mechanisms. To that end, we develop a structural vector auto-regressive model. Our results show that an oil-price increase negatively affects output and investment, but positively affects inflation rate and interest rate. However, with price control policies in China, the impact on real economy, represented by real output and real investment, lasts much longer than that to price/monetary variables. Our decomposition results also show that the short-term impact, namely output decrease induced by the cut in capacity-utilization rate, is greater in the first 6 periods (namely half a year), but the portion of the long-term impact, defined as the impact realized through an investment change, increases steadily and exceeds that of short-term impact in the 7th period. Afterwards, the long-term impact dominates, and maintains for quite some time. (author)

  9. Forward curves, scarcity and price volatility in oil and natural gas markets

    International Nuclear Information System (INIS)

    Geman, Helyette; Ohana, Steve

    2009-01-01

    The role of inventory in explaining the shape of the forward curve and spot price volatility in commodity markets is central in the theory of storage developed by Kaldor [Kaldor, N. (1939) ''Speculation and Economic Stability'', The Review of Economic Studies 7, 1-27] and Working [Working, H. (1949) ''The theory of the price of storage'', American Economic Review, 39, 1254-1262] and has since been documented in a vast body of financial literature, including the reference paper by Fama and French [Fama, E.F. and K.R. French (1987) ''Commodity futures prices: some evidence on forecast power, premiums and the theory of storage'', Journal of Business 60, 55-73] on metals. The goal of this paper is twofold: 1. validate in the case of oil and natural gas the use of the slope of the forward curve as a proxy for inventory (the slope being defined in a way that filters out seasonality); 2. analyze directly for these two major commodities the relationship between inventory and price volatility. In agreement with the theory of storage, we find that: 1. the negative correlation between price volatility and inventory is globally significant for crude oil; 2. this negative correlation prevails only during those periods of scarcity when the inventory is below the historical average and increases importantly during the winter periods for natural gas. Our results are illustrated by the analysis of a 15 year-database of US oil and natural gas prices and inventory. (author)

  10. Analysis of the Dynamic Evolutionary Behavior of American Heating Oil Spot and Futures Price Fluctuation Networks

    Directory of Open Access Journals (Sweden)

    Huan Chen

    2017-04-01

    Full Text Available Heating oil is an extremely important heating fuel to consumers in northeastern United States. This paper studies the fluctuations law and dynamic behavior of heating oil spot and futures prices by setting up their complex network models based on the data of America in recent 30 years. Firstly, modes are defined by the method of coarse graining, the spot price fluctuation network of heating oil (HSPFN and its futures price fluctuation network (HFPFN in different periods are established to analyze the transformation characteristics between the modes. Secondly, several indicators are investigated: average path length, node strength and strength distribution, betweeness, etc. In addition, a function is established to measure and analyze the network similarity. The results show the cumulative time of new nodes appearing in either spot or futures price network is not random but exhibits a growth trend of straight line. Meanwhile, the power law distributions of spot and futures price fluctuations in different periods present regularity and complexity. Moreover, these prices are strongly correlated in stable fluctuation period but weak in the phase of sharp fluctuation. Finally, the time distribution characteristics of important modes in the networks and the evolution results of the topological properties mentioned above are obtained.

  11. Historic, economic and geographic approach to the relations between economic growth and oil prices

    International Nuclear Information System (INIS)

    Girard, C.

    1992-01-01

    This paper attempts to analyze the complex relations between energy prices and economic growth. In part 1, the history of the last 30 years is used to analyze the consequences of energy price variations on world economic growth. In part 2, two interpretation schemes are described successively. One has to do with the international oil market, and the other concerns the impact of oil shocks on national economies. In part 3, an approach by type of country leads to conclusions respectively for the industrialized countries, for the developing countries and for the newly industrialized countries. 1 fig

  12. Proposed currency composite approach to pricing OPEC oil: problems and possibilities

    Energy Technology Data Exchange (ETDEWEB)

    Shaaf, M.B.

    1982-01-01

    The primary purpose of this dissertation was to explore the nature, purposes, benefits, and barriers of establishing a currency basket for OPEC as an alternative to the use the dollar for international trade in oil. The study included the construction and evaluation of three alternative currency baskets and the evaluation of two other baskets for the protection of the real price of OPEC oil from foreign-exchange fluctuations between 1971 and 1980. A secondary objective was to assess the inflationary impact on the real price of oil. Finally, the purpose was to evaluate the changes of the terms of trade of OPEC during the same period. The findings of the research are as follows: During 1971-1980, inflation and the relative weakness of the dollar have reduced the real price of oil to OPEC. In spite of this, the terms of trade of OPEC have substantially improved. This was because OPEC increased its oil prices much more than sufficient to compensate for inflation and the fluctuation of foreign-exchange rates.

  13. Forecasting of palm oil price in Malaysia using linear and nonlinear methods

    Science.gov (United States)

    Nor, Abu Hassan Shaari Md; Sarmidi, Tamat; Hosseinidoust, Ehsan

    2014-09-01

    The first question that comes to the mind is: "How can we predict the palm oil price accurately?" This question is the authorities, policy makers and economist's question for a long period of time. The first reason is that in the recent years Malaysia showed a comparative advantage in palm oil production and has become top producer and exporter in the world. Secondly, palm oil price plays significant role in government budget and represents important source of income for Malaysia, which potentially can influence the magnitude of monetary policies and eventually have an impact on inflation. Thirdly, knowledge on the future trends would be helpful in the planning and decision making procedures and will generate precise fiscal and monetary policy. Daily data on palm oil prices along with the ARIMA models, neural networks and fuzzy logic systems are employed in this paper. Empirical findings indicate that the dynamic neural network of NARX and the hybrid system of ANFIS provide higher accuracy than the ARIMA and static neural network for forecasting the palm oil price in Malaysia.

  14. The oil price crash in 2014/15: Was there a (negative) financial bubble?

    International Nuclear Information System (INIS)

    Fantazzini, Dean

    2016-01-01

    This paper suggests that there was a negative bubble in oil prices in 2014/15, which decreased them beyond the level justified by economic fundamentals. This proposition is corroborated by two sets of bubble detection strategies: the first set consists of tests for financial bubbles, while the second set consists of the log-periodic power law (LPPL) model for negative financial bubbles. Despite the methodological differences between these detection methods, they provided the same outcome: the oil price experienced a statistically significant negative financial bubble in the last months of 2014 and at the beginning of 2015. These results also hold after several robustness checks which consider the effect of conditional heteroskedasticity, model set-ups with additional restrictions, longer data samples, tests with lower frequency data and with an alternative proxy variable to measure the fundamental value of oil. - Highlights: •There was a negative bubble in oil prices in 2014/15. •This bubble decreased oil prices beyond the level justified by economic fundamentals. •Several bubble detection methods confirm this evidence.

  15. The Impact of Oil Price Volatility on Macroeconomic Activity in Russia

    Directory of Open Access Journals (Sweden)

    Katsuya Ito

    2010-07-01

    Full Text Available Since the beginning of the 1980s a large number of studies using a vector autoregressive (VAR model have been made on the macroeconomic effects of oil price changes. However, surprisingly few studies have so far focused on Russia, the world’s second largest oil exporter. The purpose of this paper is to empirically examine the impact of oil prices on the macroeconomic variables in Russia using the VAR model. The time span covered by the series is from 1994:Q1 to 2009:Q3, giving 63 observations. The analysis leads to the finding that a 1% increase (decrease in oil prices contributes to the depreciation (appreciation of the exchange rate by 0.17% in the long run, whereas it leads to a 0.46% GDP growth (decline. Likewise, we find that in the short run (8 quarters rising oil prices cause not only the GDP growth and the exchange rate depreciation, but also a marginal increase in inflation rate.

  16. Causal Relationship Between Islamic Bonds, Oil Price and Precious Metals: Evidence From Asia Pacific

    Directory of Open Access Journals (Sweden)

    Metadjer Widad

    2018-05-01

    Full Text Available Sukuk or Islamic bonds as new “Halal” securities had wildly expanded in Muslim and non-Muslim capital markets. So, this study aims to investigate the causal relationship between Islamic bonds (sukuk, oil and precious metals “silver and gold” prices in Asia pacific. This study used VAR model relying on daily data. The findings of Granger causality test and impulse-responses analysis results provide substantial evidence in favor of the relation between sukuk and the commodity market variables (oil, gold, and silver meanwhile and unlike many empirical studies, don’t we have found that oil doesn’t cause changes in precious metals prices. Therefore, the idea that Islamic financial markets provide diversification benefits and they are safe havens during oil crisis cannot be supported empirically.DOI: 10.15408/aiq.v10i2.7171

  17. Multivariate FIGARCH and long memory process: evidence of oil price markets

    Directory of Open Access Journals (Sweden)

    Nadhem Selmi

    2015-09-01

    Full Text Available Oil price markets can benefit from a better considerate of how shocks can affect volatility through time. This study assesses the impact of structural changes and outliers on volatility persistence of two crude oil markets WTI and Brent oil price between January 1, 1996 and March 17, 2014. First, we identify the FIGARCH process proposed by Baillie et al. (1996 [Baillie, R.T., Bollerslev, T., & Mikkelsen, H.O., (1996, Fractionally integrated generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 74, 3-30.] and investigate some of its statistical proprieties and then incorporate this information into the volatility modelling. We also show that outliers can bias the estimation of the persistence of the volatility. Taking into account outliers on the volatility modelling process improve the understanding of volatility in crude oil markets.

  18. Oil prices. Brownian motion or mean reversion? A study using a one year ahead density forecast criterion

    International Nuclear Information System (INIS)

    Meade, Nigel

    2010-01-01

    For oil related investment appraisal, an accurate description of the evolving uncertainty in the oil price is essential. For example, when using real option theory to value an investment, a density function for the future price of oil is central to the option valuation. The literature on oil pricing offers two views. The arbitrage pricing theory literature for oil suggests geometric Brownian motion and mean reversion models. Empirically driven literature suggests ARMA-GARCH models. In addition to reflecting the volatility of the market, the density function of future prices should also incorporate the uncertainty due to price jumps, a common occurrence in the oil market. In this study, the accuracy of density forecasts for up to a year ahead is the major criterion for a comparison of a range of models of oil price behaviour, both those proposed in the literature and following from data analysis. The Kullbach Leibler information criterion is used to measure the accuracy of density forecasts. Using two crude oil price series, Brent and West Texas Intermediate (WTI) representing the US market, we demonstrate that accurate density forecasts are achievable for up to nearly two years ahead using a mixture of two Gaussians innovation processes with GARCH and no mean reversion. (author)

  19. Oil prices. Brownian motion or mean reversion? A study using a one year ahead density forecast criterion

    Energy Technology Data Exchange (ETDEWEB)

    Meade, Nigel [Imperial College, Business School London (United Kingdom)

    2010-11-15

    For oil related investment appraisal, an accurate description of the evolving uncertainty in the oil price is essential. For example, when using real option theory to value an investment, a density function for the future price of oil is central to the option valuation. The literature on oil pricing offers two views. The arbitrage pricing theory literature for oil suggests geometric Brownian motion and mean reversion models. Empirically driven literature suggests ARMA-GARCH models. In addition to reflecting the volatility of the market, the density function of future prices should also incorporate the uncertainty due to price jumps, a common occurrence in the oil market. In this study, the accuracy of density forecasts for up to a year ahead is the major criterion for a comparison of a range of models of oil price behaviour, both those proposed in the literature and following from data analysis. The Kullbach Leibler information criterion is used to measure the accuracy of density forecasts. Using two crude oil price series, Brent and West Texas Intermediate (WTI) representing the US market, we demonstrate that accurate density forecasts are achievable for up to nearly two years ahead using a mixture of two Gaussians innovation processes with GARCH and no mean reversion. (author)

  20. The effects of oil price shocks in a new-Keynesian framework with capital accumulation

    International Nuclear Information System (INIS)

    Acurio Vásconez, Verónica; Giraud, Gaël; Mc Isaac, Florent; Pham, Ngoc-Sang

    2015-01-01

    The economic implications of oil price shocks have been extensively studied since the 1970s. Despite this huge literature, no dynamic stochastic general equilibrium model was available that captures two well-known stylized facts: (1) the stagflationary impact of an oil price shock, together with (2) the influence of the energy efficiency of capital on the depth and length of this impact. We build, estimate and simulate a New-Keynesian model with capital accumulation, which takes the case of an economy where oil is imported from abroad, and where these stylized facts can be accounted for. Moreover, the Bayesian estimation of the model on the US economy (1984–2007) suggests that the output elasticity of oil might have been above 10%, stressing the role of oil use in US growth at this time. Finally, our simulations confirm that an increase in energy efficiency significantly attenuates the effects of an oil shock—a possible explanation of why the third oil shock (1999–2008) did not have the same macro-economic impact as the first two ones. These results suggest that oil consumption and energy efficiency have been two major engines for US growth in the last three decades.