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Record Nr. |
UNINA9910818879503321 |
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Autore |
Krichene Noureddine |
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Titolo |
Crude Oil Prices : : Trends and Forecast / / Noureddine Krichene |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2008 |
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ISBN |
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1-4623-9010-2 |
1-4519-9637-3 |
1-282-84085-1 |
1-4518-6992-4 |
9786612840852 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (25 pages) : illustrations |
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Collana |
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IMF Working Papers |
IMF working paper ; ; WP/08/133 |
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Disciplina |
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Soggetti |
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Petroleum products - Prices - Forecasting |
Investments: Energy |
Inflation |
Macroeconomics |
Energy: Demand and Supply |
Prices |
Price Level |
Deflation |
Energy: General |
Commodity Markets |
Investment & securities |
Oil prices |
Asset prices |
Oil |
Commodity prices |
Petroleum industry and trade |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Intro -- Contents -- I. Introduction -- II. Recent Evolution of Oil Prices -- III. Modeling Oil Prices as Levy Process -- IV. Oil Price Process as Normal Inverse Gaussian Process -- V. Estimation of Oil Price Process as a Normal Inverse Gaussian Process -- VI. Market Incompleteness and Esscher Transform -- VII. Density Forecast of Crude Oil Prices: The Inverse Problem -- VIII. Conclusions -- Tables -- 1. Descriptive Statistics for Oil Price Returns -- 2. Oil Price as Normal Inverse Distribution, Parameterization -- 3. Oil Price as Normal Inverse Distribution, Parameterization -- Figures -- 1. Oil Daily Futures Prices, January 2000-October 2007 -- 2a. Empirical Distribution of Oil Price Returns 2000M1-2003M4 -- 2b. Empirical Distribution of Oil Price Returns, 2003M5-2007M10 -- 3. Oil Price Returns GARCH(1.1) Volatility, January 2000-October 2007 -- References. |
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Sommario/riassunto |
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Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of observed trends, as market fundamentals and underlying monetary policies were supportive of these trends. Market expectations derived from option prices anticipated further surge in oil prices and allowed significant probability for right tail events. Given explosive trends in other commodities prices, depreciating currencies, and weakening financial conditions, recent trends in oil prices might not persist further without triggering world economic recession, regressive oil supply, as oil producers became wary about inflation. Restoring stable oil markets, through restraining monetary policy, is essential for durable growth and price stability. |
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