A Short-Run Crude Oil Price Forecast Model with Ratchet Effect

Autor:	Michael Ye, Carol Joyce Blumberg, Joanne Shore, John Zyren
Rok vydání:	2008
Předmět:	Macroeconomics Variable (computer science) Short run Crack spread Ratchet Econometrics Economics Production (economics) Oil-storage trade Ratchet effect General Economics Econometrics and Finance health care economics and organizations Supply and demand
Zdroj:	Atlantic Economic Journal. 37:37-50
ISSN:	1573-9678 0197-4254
DOI:	10.1007/s11293-008-9158-2
Popis:	From 1992 through early 2004, crude oil prices were predictable by using OECD’s relative inventories and OPEC’s excess production capacity. However, since 2004, estimated inventories and excess production capacity under-predict crude oil prices. Using 3-D graphical analyzes, three regimes are identified in crude oil markets during the period from January 1992 to December 2007, reflecting market conditions and OPEC policy changes. These graphics show the changing relationship between crude oil price, inventories and excess production capacity. To reflect this, a ratchet variable, derived from cumulative excess production capacity, is incorporated into the forecasting model to reflect the changing behavior on both demand and supply sides. This model provides improved forecasts for the post Gulf War I time period over models without the ratchet mechanism.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::27709b3c3bad9a2fbd7ebe6b230f33e8 https://doi.org/10.1007/s11293-008-9158-2 Zobrazit plný text záznamu