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Assessing the factors behind oil price changes

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  • Dées, Stéphane
  • Gasteuil, Audrey
  • Kaufmann, Robert K.
  • Mann, Michael

Abstract

The rapid rise in the price of crude oil between 2004 and the summer of 2006 are the subject of debate. This paper investigates the factors that might have contributed to the oil price increase in addition to demand and supply for crude oil, by expanding a model for crude oil prices to include refinery utilization rates, a non-linear effect of OPEC capacity utilization, and conditions in futures markets as explanatory variables. Together, these factors allow the model to perform well relative to forecasts implied by the far month contracts on the New York Mercantile Exchange and are able to account for much of the rise in crude oil prices between 2004 and 2006. JEL Classification: C53, Q41

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Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 0855.

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Date of creation: Jan 2008
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Handle: RePEc:ecb:ecbwps:20080855

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Keywords: Oil prices; OPEC; Refinery industry;

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Cited by:
  1. Marc Gronwald, 2009. "Zur empirischen Analyse des Ölpreises – ein Überblick über aktuelle Forschungsergebnisse," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 62(01), pages 16-19, 01.
  2. Thai-Ha Le & Youngho Chang, 2012. "Oil Price Shocks and Gold Returns," Economie Internationale, CEPII research center, issue 131, pages 71-104.
  3. Robert J. Brecha, 2013. "Ten Reasons to Take Peak Oil Seriously," Sustainability, MDPI, Open Access Journal, vol. 5(2), pages 664-694, February.
  4. Meyler, Aidan, 2009. "The pass through of oil prices into euro area consumer liquid fuel prices in an environment of high and volatile oil prices," Energy Economics, Elsevier, Elsevier, vol. 31(6), pages 867-881, November.
  5. Morana, Claudio, 2013. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 206-226.
  6. Paul J.J. Welfens, 2009. "Explaining oil price dynamics," EIIW Discussion paper disbei169, Universitätsbibliothek Wuppertal, University Library.
  7. Marc Gronwald & Johannes Mayr & Sultan Orazbayev, 2009. "Estimating the effects of oil price shockson the Kazakh economy," Ifo Working Paper Series Ifo Working Paper Nr. 81, Ifo Institute for Economic Research at the University of Munich.
  8. Marc Gronwald, 2009. "Jumps in Oil Prices- Evidence and Implications," Ifo Working Paper Series Ifo Working Paper No. 75, Ifo Institute for Economic Research at the University of Munich.
  9. M.I. Ahmad, 2012. "Modelling and forecasting Oman crude oil prices using Box-Jenkins techniques," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(1), pages 24-30.

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