Recent movement of oil prices and future scenarios
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| Natura: | Artículo científico |
| Lingua: | en |
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Universidade Federal de Minas Gerais
2019
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| _version_ | 1876480900650237952 |
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| author | Fernando Antonio Lucena Aiube |
| author_facet | Fernando Antonio Lucena Aiube |
| contents | Recent movement of oil prices and future scenarios Fernando Antonio Lucena Aiube Ariel Levy Economía y Finanzas Oil prices Kalman filter commodity models The recent movement of oil prices has brought many forecasts about what is coming in the near future. This is natural since the plunge in prices has been dramatic after 2014 and oil is an essential source of energy worldwide. This paper examines the probabilities of spot price scenarios. We model prices through stochastic processes focusing on the Schwartz-Smith model. The calibration is based on the term structure of future prices. Since the conditional distribution is log-normal we defi ne the probability of a certain value of the spot price in a given time horizon. We found that the recovery of crude oil prices will be slow in the next four years. Moreover, the scenario of prices under US$ 20/barrel has the same probability as being greater than US$ 50/barrel. The methodology has many applications, mainly for government planning and for oil companies in their capital budget decisions. 2019 artículo científico 0103-6351 https://www.redalyc.org/articulo.oa?id=400465639012 https://www.redalyc.org/journal/4004/400465639012/ https://www.redalyc.org/journal/4004/400465639012/html/ https://www.redalyc.org/journal/4004/400465639012/400465639012.epub https://www.redalyc.org/journal/4004/400465639012/movil 10.1590/0103-6351/4159 en http://www.redalyc.org/revista.oa?id=4004 Nova Economia application/pdf Universidade Federal de Minas Gerais Nova Economia (Brasil) Num.1 Vol.29 |
| format | Artículo científico |
| id | redalyc_400465639012 |
| institution | Redalyc |
| language | en |
| publishDate | 2019 |
| publisher | Universidade Federal de Minas Gerais |
| spellingShingle | Recent movement of oil prices and future scenarios Fernando Antonio Lucena Aiube Economía y Finanzas Oil prices Kalman filter commodity models Recent movement of oil prices and future scenarios Fernando Antonio Lucena Aiube Ariel Levy Economía y Finanzas Oil prices Kalman filter commodity models The recent movement of oil prices has brought many forecasts about what is coming in the near future. This is natural since the plunge in prices has been dramatic after 2014 and oil is an essential source of energy worldwide. This paper examines the probabilities of spot price scenarios. We model prices through stochastic processes focusing on the Schwartz-Smith model. The calibration is based on the term structure of future prices. Since the conditional distribution is log-normal we defi ne the probability of a certain value of the spot price in a given time horizon. We found that the recovery of crude oil prices will be slow in the next four years. Moreover, the scenario of prices under US$ 20/barrel has the same probability as being greater than US$ 50/barrel. The methodology has many applications, mainly for government planning and for oil companies in their capital budget decisions. 2019 artículo científico 0103-6351 https://www.redalyc.org/articulo.oa?id=400465639012 https://www.redalyc.org/journal/4004/400465639012/ https://www.redalyc.org/journal/4004/400465639012/html/ https://www.redalyc.org/journal/4004/400465639012/400465639012.epub https://www.redalyc.org/journal/4004/400465639012/movil 10.1590/0103-6351/4159 en http://www.redalyc.org/revista.oa?id=4004 Nova Economia application/pdf Universidade Federal de Minas Gerais Nova Economia (Brasil) Num.1 Vol.29 |
| title | Recent movement of oil prices and future scenarios |
| topic | Economía y Finanzas Oil prices Kalman filter commodity models |
| url | https://www.redalyc.org/articulo.oa?id=400465639012 https://www.redalyc.org/journal/4004/400465639012/ https://www.redalyc.org/journal/4004/400465639012/html/ https://www.redalyc.org/journal/4004/400465639012/400465639012.epub https://www.redalyc.org/journal/4004/400465639012/movil |