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Physical market determinants of the price of crude oil and the market premium

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  • Chevillon, Guillaume
  • Rifflart, Christine

Abstract

We analyze the determinants of the real price of crude oil by means of an equilibrium correction model over the last two decades where we focus on the aspects of the physical market that impact on the clearing price. We find that two cointegrating relations affect the changes in prices: one refers to OPEC's behavior, attempting to control prices using its market power and quotas; the other to the coverage rate of OECD expected future demand using inventory behaviors. We derive a forecasting equation for the change in oil prices which we use to assess the speculative elements of the price increases of the period 2000-05. We show that worries alien to the physical markets were the causes of the increase in oil prices and we quantify their overall impact.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 31 (2009)
Issue (Month): 4 (July)
Pages: 537-549

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Handle: RePEc:eee:eneeco:v:31:y:2009:i:4:p:537-549

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Web page: http://www.elsevier.com/locate/eneco

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Keywords: Oil price Market premium Forecasting Cointegration;

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Citations

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Cited by:
  1. Ellen, Saskia ter & Zwinkels, Remco C.J., 2010. "Oil price dynamics: A behavioral finance approach with heterogeneous agents," Energy Economics, Elsevier, vol. 32(6), pages 1427-1434, November.
  2. 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.
  3. Isabel Vansteenkiste, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
  4. Robert Czudaj & Joscha Beckmann, 2012. "Spot and futures commodity markets and the unbiasedness hypothesis - evidence from a novel panel unit root test," Economics Bulletin, AccessEcon, vol. 32(2), pages 1695-1707.
  5. Ekins, Paul & Pollitt, Hector & Barton, Jennifer & Blobel, Daniel, 2011. "The implications for households of environmental tax reform (ETR) in Europe," Ecological Economics, Elsevier, vol. 70(12), pages 2472-2485.
  6. Harsem, Øistein & Eide, Arne & Heen, Knut, 2011. "Factors influencing future oil and gas prospects in the Arctic," Energy Policy, Elsevier, vol. 39(12), pages 8037-8045.
  7. Sueyoshi, Toshiyuki, 2010. "An agent-based approach equipped with game theory: Strategic collaboration among learning agents during a dynamic market change in the California electricity crisis," Energy Economics, Elsevier, vol. 32(5), pages 1009-1024, September.

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