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Assessing the factors behind oil price changes

Author

Listed:
  • 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

Suggested Citation

  • Dées, Stéphane & Gasteuil, Audrey & Kaufmann, Robert K. & Mann, Michael, 2008. "Assessing the factors behind oil price changes," Working Paper Series 855, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:2008855
    Note: 2544114
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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp855.pdf
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    Citations

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    Cited by:

    1. Peter Y. Jang & Mario G. Beruvides, 2020. "Time-Varying Influences of Oil-Producing Countries on Global Oil Price," Energies, MDPI, vol. 13(6), pages 1-22, March.
    2. Marc Gronwald, 2009. "Jumps in Oil Prices- Evidence and Implications," ifo Working Paper Series 75, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    3. Ludovic Gauvin & Cyril C. Rebillard, 2018. "Towards recoupling? Assessing the global impact of a Chinese hard landing through trade and commodity price channels," The World Economy, Wiley Blackwell, vol. 41(12), pages 3379-3415, December.
    4. 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.
    5. Kegomoditswe Koitsiwe & Tsuyoshi Adachi, 2018. "The Role of Financial Speculation in Copper Prices," Applied Economics and Finance, Redfame publishing, vol. 5(4), pages 87-94, July.
    6. repec:cii:cepiei:2012-q3-131-4 is not listed on IDEAS
    7. Gauvin, Ludovic & Rebillard, Cyril, 2013. "Towards Recoupling? Assessing the Impact of a Chinese Hard Landing on Commodity Exporters: Results from Conditional Forecast in a GVAR Model," MPRA Paper 65457, University Library of Munich, Germany.
    8. Marc Gronwald, 2009. "Zur empirischen Analyse des Ölpreises – ein Überblick über aktuelle Forschungsergebnisse," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(01), pages 16-19, January.
    9. Clostermann, Jörg & Keis, Nikolaus & Seitz, Franz, 2010. "Short-term oil models before and during the financial market crisis," Arbeitsberichte – Working Papers 18, Technische Hochschule Ingolstadt (THI).
    10. 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, vol. 31(6), pages 867-881, November.
    11. Marc Gronwald & Johannes Mayr & Sultan Orazbayev, 2009. "Estimating the effects of oil price shocks on the Kazakh economy," ifo Working Paper Series 81, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    12. Koto, Prosper Senyo, 2015. "Are retail prices of ethanol, gasoline and natural gas in the midwest cointegrated? An asymmetric threshold cointegration analysis," Journal of Economics and Business, Elsevier, vol. 77(C), pages 79-93.
    13. Robert J. Brecha, 2013. "Ten Reasons to Take Peak Oil Seriously," Sustainability, MDPI, vol. 5(2), pages 1-31, February.
    14. Haryo Kuncoro, 2011. "The volatility of world crude oil prices," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 3(1), pages 1-15, April.
    15. Paul J.J. Welfens, 2009. "Explaining oil price dynamics," EIIW Discussion paper disbei169, Universitätsbibliothek Wuppertal, University Library.
    16. 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.
    17. Fan, Ying & Xu, Jin-Hua, 2011. "What has driven oil prices since 2000? A structural change perspective," Energy Economics, Elsevier, vol. 33(6), pages 1082-1094.
    18. Pazouki, Azadeh & Zhu, Xiaoxian, 2022. "The dynamic impact among oil dependence volatility, the quality of political institutions, and government spending," Energy Economics, Elsevier, vol. 115(C).
    19. D'Ecclesia, Rita L. & Magrini, Emiliano & Montalbano, Pierluigi & Triulzi, Umberto, 2014. "Understanding recent oil price dynamics: A novel empirical approach," Energy Economics, Elsevier, vol. 46(S1), pages 11-17.
    20. Ibrahim A. Onour, 2016. "Can OPEC Cartel Reverse Crude Oil Price Downfall?," International Journal of World Policy and Development Studies, Academic Research Publishing Group, vol. 2(12), pages 90-93, 12-2016.
    21. Kumar Rishabh & Somnath Sharma, 2015. "Global Liquidity, Financialization and Commodity Price Inflation," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-40.

    More about this item

    Keywords

    oil prices; OPEC; Refinery industry;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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