Recent movement of oil prices and future scenarios

Detalhes bibliográficos
Autor(a) principal: Aiube, Fernando Antônio Lucena
Data de Publicação: 2019
Outros Autores: Levy, Ariel
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Nova Economia (Online)
Texto Completo: https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4159
Resumo: 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 define 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.
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spelling Recent movement of oil prices and future scenariosMovimentos recentes dos preços do petróleo e os cenários futurosThe 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 define 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.Os movimentos recentes dos preços do petróleo trouxeram várias especulações sobre as previsões futuras. Este é um fato normal pois o petróleo é a fonte de energia mais relevante no mundo e teve uma enorme queda em seus preços após 2014. Este artigo examina as probabilidades de cenários para o preço à vista. Os preços foram modelados por processos estocásticos usando o modelo de Schwartz e Smith. A calibração do modelo é baseada na estrutura a termo dos preços futuros. A partir do fato de que a distribuição do preço à vista é log-normal, definimos as probabilidades de valores do preço à vista para diferentes horizontes de tempo. Concluímos que a recuperação dos preços será lenta nos próximos quato anos. Além disso, a probabilidade de preços inferiores a US$ 20/barril é a mesma que a probabilidade de preços superiores a US$ 50/barril. A metodologia tem várias aplicações práticas para autoridades no planejamento do setor de energia e para empresas de petróleo no processo de aprovação de projetos de investimento.Departamento de Ciências Econômicas da UFMG2019-05-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttps://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4159Nova Economia; Vol. 29 No. 1 (2019); 223-248Nova Economia; v. 29 n. 1 (2019); 223-2481980-53810103-6351reponame:Nova Economia (Online)instname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMGenghttps://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4159/2867Copyright (c) 2018 Nova Economiainfo:eu-repo/semantics/openAccessAiube, Fernando Antônio LucenaLevy, Ariel2020-10-04T22:23:34Zoai:ojs.pkp.sfu.ca:article/4159Revistahttps://revistas.face.ufmg.br/index.php/novaeconomiaPUBhttps://revistas.face.ufmg.br/index.php/novaeconomia/oai||ne@face.ufmg.br1980-53810103-6351opendoar:2020-10-04T22:23:34Nova Economia (Online) - Universidade Federal de Minas Gerais (UFMG)false
dc.title.none.fl_str_mv Recent movement of oil prices and future scenarios
Movimentos recentes dos preços do petróleo e os cenários futuros
title Recent movement of oil prices and future scenarios
spellingShingle Recent movement of oil prices and future scenarios
Aiube, Fernando Antônio Lucena
title_short Recent movement of oil prices and future scenarios
title_full Recent movement of oil prices and future scenarios
title_fullStr Recent movement of oil prices and future scenarios
title_full_unstemmed Recent movement of oil prices and future scenarios
title_sort Recent movement of oil prices and future scenarios
author Aiube, Fernando Antônio Lucena
author_facet Aiube, Fernando Antônio Lucena
Levy, Ariel
author_role author
author2 Levy, Ariel
author2_role author
dc.contributor.author.fl_str_mv Aiube, Fernando Antônio Lucena
Levy, Ariel
description 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 define 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.
publishDate 2019
dc.date.none.fl_str_mv 2019-05-10
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4159
url https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4159
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4159/2867
dc.rights.driver.fl_str_mv Copyright (c) 2018 Nova Economia
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2018 Nova Economia
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Departamento de Ciências Econômicas da UFMG
publisher.none.fl_str_mv Departamento de Ciências Econômicas da UFMG
dc.source.none.fl_str_mv Nova Economia; Vol. 29 No. 1 (2019); 223-248
Nova Economia; v. 29 n. 1 (2019); 223-248
1980-5381
0103-6351
reponame:Nova Economia (Online)
instname:Universidade Federal de Minas Gerais (UFMG)
instacron:UFMG
instname_str Universidade Federal de Minas Gerais (UFMG)
instacron_str UFMG
institution UFMG
reponame_str Nova Economia (Online)
collection Nova Economia (Online)
repository.name.fl_str_mv Nova Economia (Online) - Universidade Federal de Minas Gerais (UFMG)
repository.mail.fl_str_mv ||ne@face.ufmg.br
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