Showing papers on "Brent Crude published in 2004"

Efficient estimation and testing of oil futures contracts in a mutual offset system

Abstract: With the globalization of financial and commodity markets, it is becoming increasingly important to recognize price linkages between markets beyond national boundaries. Models of futures pricing that incorporate such price linkages into the information set can be expected to be superior empirically. Test results obtained in the paper support this proposition strongly in the case of Brent crude oil futures contracts traded in a mutual offset system between the Singapore International Monetary Exchange (SIMEX) and the International Petroleum Exchange (IPE). Augmented models of SIMEX Brent futures contracts are obtained by incorporating the previous day's IPE Brent futures price into the equation system for the unbiased expectations and the cost-of-carry hypotheses, whereas augmented models of IPE Brent futures contracts are obtained by incorporating the same day's SIMEX Brent futures price in the system for the two hypotheses. On the basis of tests of zero restrictions, the system for the augmented unbiased...

Information and Noise in U.K. Futures Markets

Abstract: This paper examines the extent to which futures price changes are driven by noise and information for three U.K. futures contracts by utilizing T. Andersen's (1996) specification of the mixture of distributions hypothesis. Use of the generalized method of moments approach demonstrates that the link between futures volume and volatility can be attributed to the flow of information. More importantly, it is shown that price movements are dominated by informed rather than noise trading for the FTSE-100, the Long Gilt, and the Brent Oil futures contracts. The results suggest that further regulation based on the notion that noise traders dominate futures trading is unwarranted.

Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants

Abstract: The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of returns of oil companies stock prices, relevant stock market indexes and oil spot and futures prices are high or low, and positively or negatively correlated. This paper investigates the correlations of volatilities in the stock price returns and their determinants for the most important integrated oil companies, namely Bp (BP), Chevron-Texaco (CVX), Eni (ENI), Exxon-Mobil (XOM), Royal Dutch (RD) and Total-Fina Elf (TFE). We measure the actual co-risk in stock returns and their determinants "within" and "between" the different oil companies, using multivariate cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We focus first on the determinants of the market value of each company using the cointegrated VAR/VECM methodology. Then we specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The "within" and "between" DCC indicate low to high/extreme interdependence between the volatilities of companies' stock returns and the relevant stock market indexes or Brent oil prices.

Oil and gas market in the UK: evidence from a cointegration approach

Abstract: The paper examines the relationship between UK wholesale gas prices and the Brent oil price over the period 1996-2003 Tests for Unit Roots and Cointegration are carried out and it is discovered that a long run equilibrium relationship between UK gas and oil prices predates the opening of the UK-Mainland Europe Inter-connector Following a recursive methodology (Hansen & Johansen 1999), it was found that the cointegrating relationship is present throughout the sample period However, the long run solutions seem to be more volatile Evidence is provided that the short run relationship is linear and impulse response functions are used to examine the effects that a shock in oil would have on gas

Complex patterns in the oil market

Abstract: The time series pattern for the prices and volumes of Brent crude oil sold in the London International Exchange was analyzed using non linear analysis tec...

Rhamnolipid assisted dispersion and biodegradation of crude oil spilled on water

Abstract: An oil spill caused by ship, pipeline, or oil platform disaster is a significant threat to marine and shoreline ecosystems. Booms and skimmer systems have proven to be ineffective responses. Chemical dispersants have proven effective, but they do not work on weathered oil and may pose health hazards. To reduce the toxicity and enhance biodegradation of the dispersed oil, biosurfactants can be used as opposed to chemical surfactants for open water oil spill response applications. This study examined the effect of rhamnolipid biosurfactant, JBR 425(TM), on the dispersion and biodegradation of BRENT crude oil spilled on surface water. Crude oil dispersion and biodegradation experiments were conducted according to the methods currently required for listing dispersants on the National Contingency Planning schedule (USEPA 1996). (Abstract shortened by UMI.)

The British North Sea: The Importance Of And Factors Affecting Tax Revenue From Oil Production

Abstract: THE BRITISH NORTH SEA: THE IMPORTANCE OF AND FACTORS AFFECTING TAX REVENUE FROM OIL PRODUCTION Mark Thomas Hill The David M. Kennedy Center for International Studies Master of Arts The oil industry is the richest and most influential industry in the world. The industry has moved the fates of nations. Oil is required to fight wars and exert power, and the restriction of this energy source is paramount to the restriction of movement, control, and in the end, power. Management of this resource and the tax revenue it generates are of serious strategic importance, both domestically and internationally. Understanding the results of taxation for this important commodity is important to international relations as well. The tax system affects tax revenue, government actions, oil company actions, and the oil supply itself. Each of these is important to international relations. The North Sea came to prominence as a major producer of oil during the shortages in the early 1970’s, when the price of oil tripled, and the world scrambled to find new, stable sources of oil outside the grasp of the OPEC cartel. In 1971, the Brent oil field was discovered, and the British sector of the North Sea was suddenly politically important. Coinciding with first production in 1975, the government of the United Kingdom introduced a complex fiscal system to tax and regulate crude oil production in the North Sea. The British government has changed the fiscal system several times. The goals have always been for the government to receive a fair rent for production of the oil resources, without causing undue stress to the industry. In this project I have developed and tested a model to show the effects of different variables on the amount of tax revenue received annually by the Exchequer of the United Kingdom directly attributable to the production of North Sea oil and gas. The model helps show the dramatic effects of the 1993 changes in the British tax code. This model should be able to serve as a predictor of future tax revenues and the comparative influence of different variables on tax revenues. The results of the model indicate that the United Kingdom could increase the tax rates on oil production and thereby increase tax revenue from that production.

Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants

Abstract: The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of returns of oil companies stock prices, relevant stock market indexes and oil spot and futures prices are high or low, and positively or negatively correlated. This paper investigates the correlations of volatilities in the stock price returns and their determinants for the most important integrated oil companies, namely Bp (BP), Chevron-Texaco (CVX), Eni (ENI), Exxon-Mobil (XOM), Royal Dutch (RD) and Total-Fina Elf (TFE). We measure the actual co-risk in stock returns and their determinants “within” and “between” the different oil companies, using multivariate cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We focus first on the determinants of the market value of each company using the cointegrated VAR/VECM methodology. Then we specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The “within” and “between” DCC indicate low to high/extreme interdependence between the volatilities of companies’ stock returns and the relevant stock market indexes or Brent oil prices.

A Crude Crude Oil Calculation

Abstract: Akey macroeconomic development during 2003 and 2004 has been the higher price of crude oil. Analysts have attributed the higher price to several possible sources, including supply disruptions in key oil-producing countries, demand increases from a global economy performing better than expected, especially in Asia, and a risk premium associated with an uncertain security environment in the Middle East. Oil prices have a long and checkered history in U.S. and global macroeconomics, with some analysts going so far as to associate every postwar U.S. recession with sharp increases in oil prices. In this context, it is important to try to assess the impact of the present episode. Has the recent price behavior in this market changed significantly from what it was over the previous 15 years? The chart shows the monthly average price of a barrel of West Texas intermediate crude oil from 1988 through June 2004, deflated by the U.S. consumer price index (CPI) to obtain the price in constant 2004 dollar terms. The mean plus and minus two raw standard deviations of these prices, calculated from 1988-2002, are indicated in the chart. The twostandard-deviation rule of thumb is one simple way to separate unusually large movements from ordinary fluctuations. Prices consistently outside the two-standard-deviation band might indicate that the market has undergone some type of structural shift and that the inflationadjusted mean price might be substantially higher in the future. The chart indicates that, as a first approximation, this market displayed a constant mean price of about $27 per barrel in 2004 dollars through the period 1988 to 2002. Since 2002, the real price has increased, recently moving outside the two-standard-deviation band. This price is higher than any observed since 1988, except for the brief period of $50-per-barrel oil during the run-up to the first Gulf War. So even taking normal volatility into account, today’s prices are high. The question is, should we expect this price level to be sustained? One way to answer this is to consider the futures market prices for this commodity. The December contracts for 2004 through 2008 stipulate an expected future price, which we can then convert into 2004 dollars by guessing an expected rate of CPI inflation in the U.S. over the life of the contract. The University of Michigan monthly survey of household expectations suggests this longer-run expected inflation rate is currently about 3.0 percent, and we will assume it is constant through December 2008. The diamonds in the chart indicate the real price of crude oil expected in futures markets according to this measure. The calculation suggests that the price of crude oil will return to its 1988-2002 mean gradually over the next several years. By this measure, the market does not foresee a substantially higher long-run real price of oil. A Crude Crude Oil Calculation