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

Weiqi Li; Linwei Ma; Yaping Dai; Pei Liu

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

Weiqi Li^*, Linwei Ma, Yaping Dai, Pei Liu

^*Corresponding author for this work

School of Automation

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

3 Citations (Scopus)

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.

Original language	English
Title of host publication	Proceedings of the 30th Chinese Control Conference, CCC 2011
Pages	1582-1585
Number of pages	4
Publication status	Published - 2011
Event	30th Chinese Control Conference, CCC 2011 - Yantai, China Duration: 22 Jul 2011 → 24 Jul 2011

Publication series

Name	Proceedings of the 30th Chinese Control Conference, CCC 2011

Conference

Conference	30th Chinese Control Conference, CCC 2011
Country/Territory	China
City	Yantai
Period	22/07/11 → 24/07/11

Keywords

Crude Oil Price
Econometric Model
Forecasting

Cite this

@inproceedings{d2124c86597746f4a28697022ee43fb8,

title = "An econometric modeling approach to short-term crude oil price forecasting",

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.",

keywords = "Crude Oil Price, Econometric Model, Forecasting",

author = "Weiqi Li and Linwei Ma and Yaping Dai and Pei Liu",

year = "2011",

language = "English",

isbn = "9789881725592",

series = "Proceedings of the 30th Chinese Control Conference, CCC 2011",

pages = "1582--1585",

booktitle = "Proceedings of the 30th Chinese Control Conference, CCC 2011",

note = "30th Chinese Control Conference, CCC 2011 ; Conference date: 22-07-2011 Through 24-07-2011",

}

An econometric modeling approach to short-term crude oil price forecasting. / Li, Weiqi; Ma, Linwei; Dai, Yaping et al.
Proceedings of the 30th Chinese Control Conference, CCC 2011. 2011. p. 1582-1585 6001153 (Proceedings of the 30th Chinese Control Conference, CCC 2011).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - An econometric modeling approach to short-term crude oil price forecasting

AU - Li, Weiqi

AU - Ma, Linwei

AU - Dai, Yaping

AU - Liu, Pei

PY - 2011

Y1 - 2011

N2 - 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.

AB - 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.

KW - Crude Oil Price

KW - Econometric Model

KW - Forecasting

UR - http://www.scopus.com/inward/record.url?scp=80053080257&partnerID=8YFLogxK

M3 - Conference contribution

AN - SCOPUS:80053080257

SN - 9789881725592

T3 - Proceedings of the 30th Chinese Control Conference, CCC 2011

SP - 1582

EP - 1585

BT - Proceedings of the 30th Chinese Control Conference, CCC 2011

T2 - 30th Chinese Control Conference, CCC 2011

Y2 - 22 July 2011 through 24 July 2011

ER -

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

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Publication series

Conference

Keywords

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