Volatility in the Crude Oil and Natural Gas Markets
Title | Volatility in the Crude Oil and Natural Gas Markets PDF eBook |
Author | Duong Thuy Le |
Publisher | |
Pages | 193 |
Release | 2000 |
Genre | |
ISBN | 9781109337273 |
Volatility in Natural Gas and Oil Markets
Title | Volatility in Natural Gas and Oil Markets PDF eBook |
Author | Robert S. Pindyck |
Publisher | |
Pages | 21 |
Release | 2003 |
Genre | |
ISBN |
Using daily futures price data, I examine the behavior of natural gas and crude oil price volatility since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shocks to volatility and discuss its implications for gas-and oil-related contingent claims.
Crude Volatility
Title | Crude Volatility PDF eBook |
Author | Robert McNally |
Publisher | Columbia University Press |
Pages | 336 |
Release | 2017-01-17 |
Genre | Business & Economics |
ISBN | 0231543689 |
As OPEC has loosened its grip over the past ten years, the oil market has been rocked by wild price swings, the likes of which haven't been seen for eight decades. Crafting an engrossing journey from the gushing Pennsylvania oil fields of the 1860s to today's fraught and fractious Middle East, Crude Volatility explains how past periods of stability and volatility in oil prices help us understand the new boom-bust era. Oil's notorious volatility has always been considered a scourge afflicting not only the oil industry but also the broader economy and geopolitical landscape; Robert McNally makes sense of how oil became so central to our world and why it is subject to such extreme price fluctuations. Tracing a history marked by conflict, intrigue, and extreme uncertainty, McNally shows how—even from the oil industry's first years—wild and harmful price volatility prompted industry leaders and officials to undertake extraordinary efforts to stabilize oil prices by controlling production. Herculean market interventions—first, by Rockefeller's Standard Oil, then, by U.S. state regulators in partnership with major international oil companies, and, finally, by OPEC—succeeded to varying degrees in taming the beast. McNally, a veteran oil market and policy expert, explains the consequences of the ebbing of OPEC's power, debunking myths and offering recommendations—including mistakes to avoid—as we confront the unwelcome return of boom and bust oil prices.
A Simultaneous Equation Model for World Crude Oil and Natural Gas Markets
Title | A Simultaneous Equation Model for World Crude Oil and Natural Gas Markets PDF eBook |
Author | Noureddine Krichene |
Publisher | INTERNATIONAL MONETARY FUND |
Pages | 24 |
Release | 2005-02-01 |
Genre | |
ISBN | 9781451860511 |
A model for world crude oil and natural gas markets is estimated. It confirms low price and high income elasticities of demand for both crude oil and natural gas, which explains the market power of oil producers and price volatility following shocks. The paper establishes a relationship between oil prices, changes in the nominal effective exchange rate (NEER) of the U.S. dollar, and the U.S. interest rates, thereby identifying demand shocks arising from monetary policy. Both interest rates and the NEER are shown to influence crude prices inversely. The results imply that crude oil prices should be included in the policy rule equation of an inflation targeting model.
Long-Term Price Forecasts for European Crude Oil and Natural Gas Markets
Title | Long-Term Price Forecasts for European Crude Oil and Natural Gas Markets PDF eBook |
Author | Michael Wator |
Publisher | |
Pages | |
Release | 2014 |
Genre | |
ISBN |
This master's thesis investigates the volatility dynamics of the European crude oil benchmark Brent and the European natural gas trading hub National Balancing Point (NBP). The empirical analysis is based on daily prices and returns ranging from January 2000 to March 2014 for Brent and from September 2007 to March 2014 for NBP. This thesis provides background information on the European crude oil and natural gas markets including factors influencing oil and gas prices and the historical development of these two markets. The empirical analysis of the daily prices and returns reveals profound information on the statistical properties and on the factors influencing Brent and NBP prices during the sample period. We employ three univariate and two multivariate GARCH models. The simple GARCH and two of its asymmetric extensions, the TGARCH and EGARCH are employed in the univariate framework, whereas the Constant Conditional Correlation (CCC) and the diagonal BEKK specification are used in the multivariate setting. We find strong evidence of volatility persistence of Brent and NBP returns. The volatility is found to react more to unexpected negative returns than to positive ones, signifying the leverage effect of negative shocks. Furthermore, there exists a limited positive correlation among the volatilities of Brent and NBP, where Brent shows a stronger influence on NBP.
Volatility of Oil Prices
Title | Volatility of Oil Prices PDF eBook |
Author | Mr.Peter Wickham |
Publisher | International Monetary Fund |
Pages | 20 |
Release | 1996-08-01 |
Genre | Business & Economics |
ISBN | 1451954727 |
This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers “spot” prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets.
World Crude Oil Markets
Title | World Crude Oil Markets PDF eBook |
Author | Noureddine Krichene |
Publisher | International Monetary Fund |
Pages | 32 |
Release | 2006 |
Genre | Foreign exchange rates |
ISBN |
This paper examines the relationship between monetary policy and oil prices within a world oil demand and supply model. Low price and high income elasticities of demand and rigid supply explain high price volatilities and producers' market power. Exchange and interest rates do influence oil market equilibrium. The relationship between oil prices and interest rates is a two-way relationship that depends on the type of oil shock. During a supply shock, rising oil prices caused interest rates to increase; whereas during a demand shock, falling interest rates caused oil prices to rise. Record low interest rates led to high oil price volatility in 2005. Data shows that world economic growth and price stability require stable oil markets and therefore more prudent monetary policies.