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Crude Oil Prices : : Trends and Forecast / / Noureddine Krichene



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Autore: Krichene Noureddine Visualizza persona
Titolo: Crude Oil Prices : : Trends and Forecast / / Noureddine Krichene Visualizza cluster
Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2008
Edizione: 1st ed.
Descrizione fisica: 1 online resource (25 pages) : illustrations
Disciplina: 338.232820112
Soggetto topico: 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
Soggetto geografico: United States
Note generali: Bibliographic Level Mode of Issuance: Monograph
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: 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.
Sommario/riassunto: 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.
Titolo autorizzato: Crude Oil Prices  Visualizza cluster
ISBN: 1-4623-9010-2
1-4519-9637-3
1-282-84085-1
1-4518-6992-4
9786612840852
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910818879503321
Lo trovi qui: Univ. Federico II
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Serie: IMF Working Papers; Working Paper ; ; No. 2008/133