Explaining the so-called "price premium" in oil markets
AbstractThis paper explores the information content of several variables on the so-called "oil price premium over fundamentals". We define this premium as the difference between the market oil price and the estimated price consistent with the OECD's relative industry stock level. By using Granger causality tests and extended regressions we test the systematic ability of a broad set of variables to explain the premium. We find that speculation in the oil market - measured by non-commercial long positions - can improve the traditional model, reducing the premium significantly during some parts of the sample. Copyright 2005 Organization of the Petroleum Exporting Countries.
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Bibliographic InfoArticle provided by Organization of the Petroleum Exporting Countries in its journal OPEC Review.
Volume (Year): 29 (2005)
Issue (Month): 2 (06)
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Web page: http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291753-0237
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- Claudio Dicembrino & Pasquale Lucio Scandizzo, 2012. "The Fundamental and Speculative Components of the Oil Spot Price: A Real Option Value Approach," CEIS Research Paper 229, Tor Vergata University, CEIS, revised 18 Apr 2012.
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