LEADER 04531oam 22009254 450 001 9910818879503321 005 20240402044550.0 010 $a1-4623-9010-2 010 $a1-4519-9637-3 010 $a1-282-84085-1 010 $a1-4518-6992-4 010 $a9786612840852 035 $a(CKB)3170000000055033 035 $a(SSID)ssj0000944009 035 $a(PQKBManifestationID)11544308 035 $a(PQKBTitleCode)TC0000944009 035 $a(PQKBWorkID)10982172 035 $a(PQKB)10539268 035 $a(OCoLC)252906501 035 $a(MiAaPQ)EBC1605815 035 $a(IMF)WPIEE2008133 035 $a(EXLCZ)993170000000055033 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCrude Oil Prices : $eTrends and Forecast /$fNoureddine Krichene 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 215 $a1 online resource (25 pages) $cillustrations 225 1 $aIMF Working Papers 225 0$aIMF working paper ;$vWP/08/133 300 $aBibliographic Level Mode of Issuance: Monograph 311 $a1-4519-1445-8 320 $aIncludes bibliographical references. 327 $aIntro -- 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. 330 3 $aFollowing record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of observed trends, as market fundamentals and underlying monetary policies were supportive of these trends. Market expectations derived from option prices anticipated further surge in oil prices and allowed significant probability for right tail events. Given explosive trends in other commodities prices, depreciating currencies, and weakening financial conditions, recent trends in oil prices might not persist further without triggering world economic recession, regressive oil supply, as oil producers became wary about inflation. Restoring stable oil markets, through restraining monetary policy, is essential for durable growth and price stability. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/133 606 $aPetroleum products$xPrices$xForecasting 606 $aInvestments: Energy$2imf 606 $aInflation$2imf 606 $aMacroeconomics$2imf 606 $aEnergy: Demand and Supply$2imf 606 $aPrices$2imf 606 $aPrice Level$2imf 606 $aDeflation$2imf 606 $aEnergy: General$2imf 606 $aCommodity Markets$2imf 606 $aInvestment & securities$2imf 606 $aOil prices$2imf 606 $aAsset prices$2imf 606 $aOil$2imf 606 $aCommodity prices$2imf 606 $aPetroleum industry and trade$2imf 607 $aUnited States$2imf 615 0$aPetroleum products$xPrices$xForecasting. 615 7$aInvestments: Energy 615 7$aInflation 615 7$aMacroeconomics 615 7$aEnergy: Demand and Supply 615 7$aPrices 615 7$aPrice Level 615 7$aDeflation 615 7$aEnergy: General 615 7$aCommodity Markets 615 7$aInvestment & securities 615 7$aOil prices 615 7$aAsset prices 615 7$aOil 615 7$aCommodity prices 615 7$aPetroleum industry and trade 676 $a338.232820112 700 $aKrichene$b Noureddine$0861994 801 0$bDcWaIMF 906 $aBOOK 912 $a9910818879503321 996 $aCrude Oil Prices$93920738 997 $aUNINA