04531oam 22009254 450 991081887950332120240402044550.01-4623-9010-21-4519-9637-31-282-84085-11-4518-6992-49786612840852(CKB)3170000000055033(SSID)ssj0000944009(PQKBManifestationID)11544308(PQKBTitleCode)TC0000944009(PQKBWorkID)10982172(PQKB)10539268(OCoLC)252906501(MiAaPQ)EBC1605815(IMF)WPIEE2008133(EXLCZ)99317000000005503320020129d2008 uf 0engurcnu||||||||txtccrCrude Oil Prices : Trends and Forecast /Noureddine Krichene1st ed.Washington, D.C. :International Monetary Fund,2008.1 online resource (25 pages) illustrationsIMF Working PapersIMF working paper ;WP/08/133Bibliographic Level Mode of Issuance: Monograph1-4519-1445-8 Includes bibliographical references.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.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.IMF Working Papers; Working Paper ;No. 2008/133Petroleum productsPricesForecastingInvestments: EnergyimfInflationimfMacroeconomicsimfEnergy: Demand and SupplyimfPricesimfPrice LevelimfDeflationimfEnergy: GeneralimfCommodity MarketsimfInvestment & securitiesimfOil pricesimfAsset pricesimfOilimfCommodity pricesimfPetroleum industry and tradeimfUnited StatesimfPetroleum productsPricesForecasting.Investments: EnergyInflationMacroeconomicsEnergy: Demand and SupplyPricesPrice LevelDeflationEnergy: GeneralCommodity MarketsInvestment & securitiesOil pricesAsset pricesOilCommodity pricesPetroleum industry and trade338.232820112Krichene Noureddine861994DcWaIMFBOOK9910818879503321Crude Oil Prices3920738UNINA