NDLI: An econometric modeling approach to short-term crude oil price forecasting

Content Provider	IEEE Xplore Digital Library
Author	Li Weiqi Ma Linwei Dai Yaping Liu Pei
Copyright Year	2011
Description	Author affiliation: State Key Laboratory of Power Systems, Department of Thermal Engineering, Tsinghua-BP Clean Energy Center, Tsinghua University, Beijing 100084, China (Ma Linwei; Liu Pei) \|\| School of Automation, Beijing Institute of Technology University, 100081, China (Li Weiqi; Dai Yaping)
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.
Starting Page	1582
Ending Page	1585
File Size	91708
Page Count	4
File Format	PDF
ISBN	9781457706776
ISSN	21612927
e-ISBN	9789881725592
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2011-07-22
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Chinese Assoc of Automati
Subject Keyword	Economics Crude Oil Price Correlation Production Predictive models Econometric Model Forecasting Petroleum Autoregressive processes
Content Type	Text
Resource Type	Article

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