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Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]

Author

Listed:
  • Fernando Antonio Lucena Aiube

    (UERJ)

  • Ariel Levy

    (UFF)

Abstract

Os movimentos recentes dos preços do petróleo trouxeram várias especulações sobre as previsões futuras. Este é um fato normal pois o petróleo é a fonte de energia mais relevante no mundo e teve uma enorme queda em seus preços após 2014. Este artigo examina as probabilidades de cenários para o preço à vista. Os preços foram modelados por processos estocásticos usando o modelo de Schwartz e Smith. A calibração do modelo é baseada na estrutura a termo dos preços futuros. A partir do fato de que a distribuição do preço à vista é log-normal, definimos as probabilidades de valores do preço à vista para diferentes horizontes de tempo. Concluímos que a recuperação dos preços será lenta nos próximos quato anos. Além disso, a probabilidade de preços inferiores a US$ 20/barril é a mesma que a probabilidade de preços superiores a US$ 50/barril. A metodologia tem várias aplicações práticas para autoridades no planejamento do setor de energia e para empresas de petróleo no processo de aprovação de projetos de investimento.

Suggested Citation

  • Fernando Antonio Lucena Aiube & Ariel Levy, 2019. "Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 29(1), pages 223-248, January-A.
    • Handle: RePEc:nov:artigo:v:29:y:2019:i:1:p:223-248
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    More about this item

    Keywords

    preços do petróleo; modelos para commodities; filtro de Kalmanr;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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