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Brent Crude
About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.
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TL;DR: In this article, the authors quantitatively analyzed the specific contribution ratios of the complex factors influencing international crude oil prices and established crude oil price models to forecast long-term international crudeoil prices.
25 citations
TL;DR: This paper found that the short-run deleterious effects of the export ban on U.S. crude oil production may have been exaggerated and that the mismatch between domestic refining configurations and domestic crude characteristics contributed significantly to this deviation.
Abstract: Over the past decade the primary U.S. crude benchmark, WTI, diverged considerably from its foreign counterpart, Brent, sometimes selling at a steep discount. Some studies pointed to the ban on exporting U.S. crude oil production as the main culprit for this divergence. We find that scarce domestic pipeline capacity explains half to three quarters of the deviation of mid-continent crude oil prices from their long-run relationship with Brent crude. We are unable to find evidence that mismatch between domestic refining configurations and domestic crude characteristics contributed significantly to this deviation. This implies that the short-run deleterious effects of the export ban may have been exaggerated.
24 citations
TL;DR: In this paper, the authors extend the call option model of Milonas and Thomadakis (1997) to estimate oil convenience yields with futures prices and find that the convenience yield for crude oil exhibits seasonal behavior.
Abstract: This paper extends the call option model of Milonas and Thomadakis (1997) to estimate oil convenience yields with futures prices. We define the business cycle of a seasonal commodity with demand/supply shocks and find that the convenience yield for crude oil exhibits seasonal behavior. The convenience yield for West Texas Intermediate (WTI) crude oil is the highest in the summer, while that for Brent crude oil is the highest in the winter. This implies that WTI crude oil is more sensitive to high summer demand and that Brent crude oil is more sensitive to shortages in winter supply. Convenience yields are negatively related to the inventory level of the underlying crude oil and positively related to interest rates due to the business cycle. We also show that convenience yields may explain price spread between WTI crude oil and Brent crude oil. Our computed convenience yields are consistent with Fama and French (1988) in that oil prices are more volatile than futures prices at low inventory level, verifying the Samuelson (1965) hypothesis that future prices are less variables than spot prices at lower inventory levels.
24 citations
TL;DR: In this article, the authors tried to measure oil price uncertainty based on the conditional standard deviations which are derived from univariate (G)ARCH models and the measure of uncertainty they choose is the within-year high-low range of the Conditional Standard Deviation.
Abstract: In this paper we try to measure oil price uncertainty. The measure of uncertainty is based on the conditional standard deviations which are derived from univariate (G)ARCH models. The measure of uncertainty we choose is the within-year high-low range of the conditional standard deviations. It is likely that the higher the uncertainty, the higher the high-low range within a year will be. We focus on volatility of the price of a barrel Brent crude, over the period 5 January, 1982 to 23 April, 2002 representing 5296 observations. The preferred model is a symmetric GARCH(1,3) model. Asymmetric leverage effects are not found. We also examine the volatility in monthly time series for the period January, 1970 to April, 2002. For this time span and frequency we prefer the GARCH(1,1) model.
24 citations