Showing papers on "Brent Crude published in 2011"
TL;DR: In this article, the authors examined long-term relationships and short-term dynamics between National 100, National 50 and National 30 Index of Istanbul Stock Exchange (ISE) and international Brent oil price by using various econometric techniques.
Abstract: The present study examined long-term relationships and short-term dynamics between National 100, National 50 and National 30 Index of Istanbul Stock Exchange (ISE) and international Brent oil price by using various econometric techniques. The study, in which relationships of three index with oil price are sought separately, encompasses the period between 04.01.2000 and 04.01.2010 and was performed with data consisting of 2437 days. As a result of applied Johansen cointegration test, it was determined that there was a cointegrated relationship between each index and oil price, with other words, there was a long term relationship between each of the three index and oil price. As a result of Granger causality analysis, it was observed that there was one way causality relationship from all index of the stock exchange market to oil price, but oil price was not the causal of each of the three index.
49 citations
TL;DR: In this paper, the relationship between Gas oil and Brent Crude oil futures prices is investigated based on daily price series for five different contract lengths traded on ICE Futures Europe, and their first differences are tested for stationarity.
38 citations
TL;DR: In this paper, a threshold vector error-correction (TVECM) model was used to evaluate the degree and dynamics of transaction costs resulting from various market imperfections, and they found that BRENT crude spot and futures are cointegrated, though two regimes are clearly identified.
24 citations
TL;DR: A novel hybrid optimum model based on artificial intelligent (AI) is proposed for world crude oil spot price forecasting and shows that optimized model has advantages in comparison with conventional ANN in terms of accuracy, variability, model creation and model examination.
Abstract: Crude oil is one of the most critical energy commodities while with coal and natural gas are projected to provide roughly the 86% share of the total US primary energy supply in 2030. In this study, a novel hybrid optimum model based on artificial intelligent (AI) is proposed for world crude oil spot price forecasting. A three-layer feed forward neural network (FNN) model was used to model the oil price forecasting. Genetic algorithm (GA) is employed not only to improve the learning algorithm, but also to reduce the complexity in parameter space. GA optimizes simultaneously, the connection weights between layers and the thresholds. In addition, GA reduces the dimension of the feature space and eliminates irrelevant factors. For verification and testing, two main crude oil price series, West Texas intermediate (WTI) crude oil spot price, Brent crude oil spot price and Iran crude oil are used to test the effectiveness of the proposed optimized neural network. Results show that optimized model has advantages in comparison with conventional ANN in terms of accuracy, variability, model creation and model examination. Both simulated and actual data sets are used for comparison.
Key word: Artificial neural network, crude oil, genetic algorithm, optimization.
20 citations
TL;DR: A MCA based hybrid methodology for analyzing and forecasting the risk evolution in the crude oil market is proposed and the reliability and stability of Value at Risk estimated improve as a result of finer modeling procedure in the multi frequency and time domain.
16 citations
TL;DR: In this article, the authors adopt stochastic unit root (STUR) to examine the properties of oil spot and futures prices, and employ stochiastic cointegration to investigate the long term equilibrium relationship between them during financial crisis.
11 citations
TL;DR: In this article, the relationship between monetary policy and price of oil, in broader sense price of commodities, is discussed and the existence of transmission channels through which monetary policy can be propagated into oil prices.
Abstract: The article discusses the relationship between monetary policy and price of oil, in broader sense price
of commodities. Firstly it focuses on describing the relationship of key macroeconomic variables,
gas prices and other commodities against oil prices. Subsequently, it discusses the existence of
a „transmission channels“ through which monetary policy can be propagated into oil prices (or prices
of commodities). Secondly it provides further insight into the forecasting process of the CNB, in both
a retrospective look back at the prospects of oil prices in the past and the analysis of transitory and
permanent shock (the rise in oil prices of 30 USD/b). Simulated oil price shock is calculated from the
average level of Brent oil prices in the fi rst quarter of 2010, i.e. 77.50 USD/b.
8 citations
Posted Content•
31 Oct 2011
TL;DR: In this article, the price linkage among the U.S. major energy sources, considering structural breaks in time series, was tested using the Johansen cointegration method and found that only weak linkage sustains among the NYMEX WTI crude oil, Brent crude oil and gasoline, heating oil, coal, natural gas, uranium and ethanol futures prices.
Abstract: This study tests the price linkage among the U.S. major energy sources, considering structural breaks in time series. We use the Johansen cointegration method and find that only weak linkage sustains among the NYMEX WTI crude oil, Brent crude oil, gasoline, heating oil, coal, natural gas, uranium, and ethanol futures prices. Our tests reveal that the uranium and ethanol futures prices have very weak linkage with other U.S. major energy source prices. This indicates that the U.S. energy market is still at a stage where none of the probable alternative energy source markets are playing the role as a substitute or a complement market for the fossil fuel energy markets and that the U.S. major energy source markets are not integrated as one primary energy market.
7 citations
TL;DR: In this article, the authors show that British spot market prices for gas follow the same pattern as the global oil price, i.e., they have an integrated market for energy, and they test whether oil and gas prices in the UK still are cointegrated.
Abstract: Previous analyses show that British spot market prices for gas follow the same pattern as the global oil price, i.e., we have an integrated market for energy. In recent years there are several developments in the British gas market that may call for a different price relationship. The spot market for gas has become more liquid, and an increasing fraction of gas is used for electricity generation - thus competing against coal and nuclear power. Moreover, there is an increasing LNG import, and there may have been a change in the perception of relative scarcity of oil and natural gas as well as the effectiveness of the OPEC cartel. Analysing more recent data and applying newer analytical tools that allow for endogenous structural shifts, we test whether oil and gas prices in the UK still are cointegrated. We find structural shifts in 2006 and 2007, and after the second structural shift, the evidence for oil and gas markets being cointegrated are much weaker. Specifically the stochastic trend in Brent oil seems less predominant in the movement of NBP gas price.
6 citations
Proceedings Article•
22 Jul 2011TL;DR: In this paper, a structural econometric model of the Brent crude spot price using the explanatory variable of defined relative inventory and OPEC production was developed to analyze and forecast short-run oil price.
Abstract: In the competitive petroleum markets, oil price forecasting is becoming increasingly relevant to producers and consumers. This paper develops a structural econometric model of the Brent crude spot price using the explanatory variable of defined relative inventory and OPEC production to analyze and forecast short-run oil price. A Hodrick-Prescott filter method presented obtains the relative inventory variables caused by the short-run supply and demand fluctuations in the crude oil market. A case study using the proposed method is provided, and the results indicate that the model developed in this work is helpful to industry and government in making oil-related decisions and investigating the changes in inventory and OPEC production on price.
6 citations
TL;DR: This paper examined the degree of price integration between aggregate equity market indices of Hong Kong, the Chinese Shanghai and Shenzhen A and B share markets, and the international Brent crude oil price.
Abstract: This study examines the degree of price integration between aggregate equity market indices of Hong Kong, the Chinese Shanghai and Shenzhen A and B share markets, and the international Brent crude oil price. The application of Vector Autoregressive (VAR) methods reveals that the regions' markets are generally price-segmented, with the prominent exception of Shanghai B market which is price-integrated with the domestic A share markets in both Shanghai and Shenzhen. The evidence would suggest that Chinese markets are more heavily influenced by domestic events in the long term than external influences.
TL;DR: In this article, the authors investigated the day-of-the-week effect in the UK Brent crude oil market using the GARCH (1, 5) and GJR-GARCH ( 1, 5).
Abstract: In this study the author investigated the day-of-the-week effect in the UK Brent crude oil market using the GARCH (1, 5) and GJR-GARCH (1, 5) models. The backdrop of the study is the Asian and global financial crises of 1997 and 2008, respectively. Daily data were used over the period of January 2, 1997, to May 27, 2009. Results show the presence of the day-of-the-week effect in both return and volatility in the oil market. More specifically, there are significant positive Thursday and Friday effects in return and significant Thursday effects in volatility.
Posted Content•
TL;DR: Oglend et al. as mentioned in this paper analyzed more recent data and applying newer analytical tools that allow for endogenous structural shifts, test whether oil and gas prices in the UK still are cointegrated.
Abstract: Previous analyses show that British spot market prices for gas follow the same pattern as the global oil price, i.e., we have an integrated market for energy. In recent years there are several developments in the British gas market that may call for a different price relationship. The spot market for gas has become more liquid, and an increasing fraction of gas is used for electricity generation thus competing against coal and nuclear power. Moreover, there is an increasing LNG import, and there may have been a change in the perception of relative scarcity of oil and natural gas as well as the effectiveness of the OPEC cartel. Analysing more recent data and applying newer analytical tools that allow for endogenous structural shifts, we test whether oil and gas prices in the UK still are cointegrated. We find structural shifts in 2006 and 2007, and after the second structural shift, the evidence for oil and gas markets being cointegrated are much weaker. Specifically the stochastic trend in Brent oil seems less predominant in the movement of NBP gas price. Address for correspondence: Atle Oglend, University of Stavanger, Department of Industrial Economics, 4036 Stavanger, Norway. Email: atle.oglend@uis.no, phone: +47 41 44 64 14. 1 We would like to express our thanks for rewarding conversations with and comments on the article itself from a number of key specialists in the oil sector, government and the academic community. Funding from the Norwegian Research Council is appreciated.
01 Jan 2011
TL;DR: Dey et al. as mentioned in this paper argued that while deregulation of fuel prices can have inflationary tendencies in the short run, the long-run effect of a pricing regime that reflects the economic value of oil, is not maleficent for the economy.
Abstract: Crude oil prices have started demonstrating accelerating rise, reminding large users, like India, of the pitfalls of indefinitely postponing deregulation of oil prices. While deregulation of fuel prices can have inflationary tendencies in the short run, the long-run effect of a pricing regime that reflects the economic value of oil, is not maleficent for the economy. On the other hand, providing openended fuel subsidies of huge quantum is fiscally unsustainable, while having distortionary effects at the macro level. Hence, there is little alternative to deregulating oil prices. Deregulation would also release resources for the government to not only invest in provision of socially productive goods, but also commercializing alternative energy usage. But some issues need to be addressed before effecting deregulation, viz. rationalising the taxation structure, promoting hedging against oil price volatility and educating stakeholders of the efficiency gains of deregulation which outweigh the costs. International experience suggests that these are, indeed, possible. * Debojyoti Dey is an Economist at the Multi Commodity Exchange of India. He can be reached at debojyoti.dey@mcxindia.com Niteen Jain is Senior Analyst at the Multi Commodity Exchange of India. He can be reached at niteen.jain@mcxindia.com Introduction After trading in double digits for the entire year 2010, the global crude oil benchmark, Brent crude, breached the psychologically important $100 a barrel mark in February 2011 for the first time since 2008. While the current sudden spike in oil prices can be attributed to the unstable geopolitical situation in the West Asia North Africa (WANA) region, the global economic recovery after the crisis of 2008-2009 appears to be providing floor support to high prices. Corroborating this trend, global oil demand was up 3% year-on-year in 2010 with inventories in developed countries remaining relatively low. Interestingly though, U.S. and Europe have not seen any significant increase in oil consumption and the entire incremental demand for crude oil post2008 seems to have emanated from emerging economies, especially in Asia. The increasing share of emerging economies, particularly China and India, only strengthens the two-decade long structural shift in the global oil economy which is now being driven more by the appetite for oil in these economies. India is, justifiably, worried. This is not only on account of our high O il P ol ic ie s in In di a – S til l a L on g W ay to G o
TL;DR: In this article, the impact of bio-fuel policies on oil and food futures prices from December 6, 2004 to August 1, 2008 was studied using the vector error correction model.
Abstract: Purpose – This paper seeks to study the impact of bio‐fuel policies on oil and food futures prices from December 6, 2004 to August 1, 2008.Design/methodology/approach – The daily closing prices of brent crude oil, light sweet crude oil, corn, wheat, soybeans, and rough rice futures from December 6, 2004 to August 1, 2008 are used in this research. The vector error correction model is applied in order to study the impact of bio‐fuel policies on oil and agricultural futures prices.Findings – Unit root and cointegration tests show that the brent crude oil, light sweet crude oil, wheat, corn, soybeans, and rough rice futures are stationary and have a long‐run equilibrium relationship. Granger causality tests of the four periods shows that the causality relationship between oil futures and food futures changes over time. The first period result shows many Granger causes on several variables at a 5 percent significance level. The second period has more Granger causes at the 5 percent significance level. However...
TL;DR: It is shown that withdrawal of Nigerian Qua Iboe Brent crude oil from exposed rats did not reverse the splenic damage and the haematologic changes associated with this environmental pollutant.
Abstract: Possible amelioration of splenic damage and hematological changes in Nigerian Qua Iboe Brent crude oil-exposed rats following its withdrawal was investigated. A total of 56 male albino rats weighing between 200–250 g were used for this study. The rats received oral administration of 165 mg/kg body weight (low-dose), 330 mg/kg body weight (medium-dose) and 660 mg/kg body weight (high-dose) of Nigerian Quo Iboe Brent crude oil every 48 h for 28 days. Later, the crude oil was withdrawn from some rats for a period of 8 weeks. Hematological parameters and spleen morphology of rats that received crude oil and the rats from which the crude oil was withdrawn were compared with the controls that did not receive crude oil treatment. Administration of Nigerian Qua Iboe Brent crude oil significantly (p < 0.05) reduced the PCV levels in low-dose, low-dose crude oil-withdrawn, medium-dose crude oil-withdrawn, high-dose, and high-dose crude oil-withdrawn groups of rats. The EC was also reduced significantly (p < 0.05) in the medium- and high-dose groups of rats. In the same manner, TWBC was significantly (p < 0.05) reduced in the medium-dose crude oil-withdrawn, high-dose, and high-dose crude oil-withdrawn rats. It was only at low-dose level, after 8 weeks of crude oil withdrawal that there was a reduction in splenic weight. Splenic section (histopathology) of rats exposed to different doses of crude oil over 28-day period showed reticuloendothelial hyperpasia of the red pulp and variable degree of haemosiderin deposits. These changes were not completely ameliorated after 8 weeks of crude oil withdrawal. This study has shown that withdrawal of Nigerian Qua Iboe Brent crude oil from exposed rats did not reverse the splenic damage and the haematologic changes associated with this environmental pollutant.
TL;DR: The spot prices of West Texas Intermediate and Brent crude oil recently diverged as discussed by the authors, and if this divergence persists, economists and energy analysts may want to focus on Brent prices when predicting the level of gasoline prices.
Abstract: The spot prices of West Texas Intermediate and Brent crude oil recently diverged. If this divergence persists, economists and energy analysts may want to focus on Brent prices when predicting the level of gasoline prices.