Forecasting short-run crude oil price using high- and low-inventory variables
| Autor: | Joanne Shore, John Zyren, Michael Ye |
|---|---|
| Rok vydání: | 2006 |
| Předmět: |
Engineering
Short run business.industry West Texas Intermediate Fossil fuel Commodity Management Monitoring Policy and Law chemistry.chemical_compound General Energy Petroleum industry chemistry Economy Order (exchange) Econometrics Petroleum business Energy source health care economics and organizations |
| Zdroj: | Energy Policy. 34:2736-2743 |
| ISSN: | 0301-4215 |
| DOI: | 10.1016/j.enpol.2005.03.017 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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