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Forecasting short-run crude oil price using high- and low-inventory variables

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  • Ye, Michael
  • Zyren, John
  • Shore, Joanne

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  • Ye, Michael & Zyren, John & Shore, Joanne, 2006. "Forecasting short-run crude oil price using high- and low-inventory variables," Energy Policy, Elsevier, vol. 34(17), pages 2736-2743, November.
    • Handle: RePEc:eee:enepol:v:34:y:2006:i:17:p:2736-2743
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    References listed on IDEAS

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    1. Robert S. Pindyck, 1994. "Inventories and the Short-Run Dynamics of Commodity Prices," RAND Journal of Economics, The RAND Corporation, vol. 25(1), pages 141-159, Spring.
    2. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399, September.
    3. Bessembinder, Hendrik, et al, 1995. "Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-375, March.
    4. Angus Deaton & Guy Laroque, 1992. "On the Behaviour of Commodity Prices," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 59(1), pages 1-23.
    5. Miranda, Mario J & Glauber, Joseph W, 1993. "Estimation of Dynamic Nonlinear Rational Expectations Models of Primary Commodity Markets with Private and Government Stockholding," The Review of Economics and Statistics, MIT Press, vol. 75(3), pages 463-470, August.
    6. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    7. Bryan R. Routledge & Duane J. Seppi & Chester S. Spatt, 2000. "Equilibrium Forward Curves for Commodities," Journal of Finance, American Finance Association, vol. 55(3), pages 1297-1338, June.
    8. Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators," Journal of Econometrics, Elsevier, vol. 96(2), pages 231-266, June.
    9. A. Arize, 2000. "U.S. petroleum consumption behavior and oil price uncertainty: Tests of cointegration and parameter instability," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 28(4), pages 463-477, December.
    10. Michael Ye & John Zyren & Joanne Shore, 2003. "Short-run elasticity of relative demand for petroleum inventory," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(1), pages 87-87, February.
    11. Chambers, Marcus J & Bailey, Roy E, 1996. "A Theory of Commodity Price Fluctuations," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 924-957, October.
    12. Michael Ye & John Zyren & Joanne Shore, 2003. "Elasticity of demand for relative petroleum inventory in the short run," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(1), pages 87-102, March.
    13. Husted, Steven & Kollintzas, Tryphon, 1987. "Linear Rational Expectations Equilibrium Laws of Motion for Selected U.S. Raw Material Imports," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 651-670, October.
    14. Robert S. Pindyck, 2001. "The Dynamics of Commodity Spot and Futures Markets: A Primer," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-30.
    15. Walter N. Thurman, 1988. "Speculative Carryover: An Empirical Examination of the U.S. Refined Copper Market," RAND Journal of Economics, The RAND Corporation, vol. 19(3), pages 420-437, Autumn.
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