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Modeling and forecasting spot oil price

Author

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  • Latife Ghalayini

    (Lebanese University)

Abstract

The aim of this paper is to explore the reasons of oil price volatility. It analyses the information function of oil future market and investigates the relation between speculation and spot oil price in the short run. Furthermore, the paper constructs a model for long run equilibrium able to produce reliable and reasonable oil price forecasts. Findings prove that in the short run, changes in oil inventories Granger cause changes in oil price. In the long run however, findings prove that, the oil demand, the oil supply, the $/SDR exchange rate, the speculation in oil future market (New York Mercantile Exchange) and the oil inventories are associated in a long run relationship.

Suggested Citation

  • Latife Ghalayini, 2017. "Modeling and forecasting spot oil price," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 7(3), pages 355-373, December.
    • Handle: RePEc:spr:eurasi:v:7:y:2017:i:3:d:10.1007_s40821-016-0058-0
    DOI: 10.1007/s40821-016-0058-0
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    Cited by:

    1. Gülin Vardar & Yener Coşkun & Tezer Yelkenci, 2018. "Shock transmission and volatility spillover in stock and commodity markets: evidence from advanced and emerging markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 231-288, August.
    2. A. Can Inci, 2018. "Financials sector intraday volatility characteristics in the emerging Turkish economy," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 215-229, August.
    3. Victoriia Alekhina & Naoyuki Yoshino, 2019. "Exogeneity of world oil prices to the Russian Federation’s economy and monetary policy," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 9(4), pages 531-555, December.
    4. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
    5. Krzysztof Drachal, 2018. "Some Novel Bayesian Model Combination Schemes: An Application to Commodities Prices," Sustainability, MDPI, vol. 10(8), pages 1-27, August.

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    More about this item

    Keywords

    Oil supply; Open interest; Spot oil price; Oil demand; Exchange rate; Future oil markets; Oil inventories;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • G1 - Financial Economics - - General Financial Markets

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