A time series is estimated of in-ground prices of U.S. oil and natural gas reserve prices for the period 1982–2003, usingmarket transaction data. Reserves sold are considered as proved; errors in this respectmay affect estimates, in either direction. The data are also used to examine the impact of reserve status, production rate, andwell head prices, on reserve prices. Both oil and gas current ...

in this paper, a novel hybrid model based on neural network and game theory is proposed to support the analyzers in oil market. in this model, first the neural network is utilized to learn the oil prices associated with opec production level and usa imports level. then the learned neural network is applied by a game model. finally the nash equilibrium points of the game present the optimum deci...

In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for business cycle fluctuations this link exists especially at low frequencies. Thus, short-run phenomena like...

When the U.S. invaded Iraq in March 2003, many economists feared that the war would lead to a sharp decline in Iraqi oil production, a spike in oil prices, and a woeful economy that would follow the scripts of the oil shocks of 1973, 1978, and 1990. There was in fact a moderate decline in world oil production, and real oil prices increased from $20 in 2001:4 to $62 in 2006:3. But the ailments a...

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-theart methodologies, we …nd little systematic relation between oil prices and the exchange rate at the monthly and quarterly frequencies. In contrast, the main contribution is to show the existence of a very short-term relationshi...

In this paper the relationships between crude oil and refined product prices are investigated in a multivariate framework. This allows us to test several (partly competing) assumptions of earlier studies. In particular, we find that the crude oil price is weakly exogenous and that the spread is constant in some but not all relationships. Moreover, the multivariate analysis shows that the link b...

in general, energy prices, such as those of crude oil, are affected by deterministic events such as seasonal changes as well as non-deterministic events such as geopolitical events. it is the non-deterministic events which cause the prices to vary randomly and makes price prediction a difficult task. one could argue that these random changes act like noise which effects the deterministic variat...

In this paper, we propose a commodity pricing model that extends Gibson-Schwartz two-factor model to incorporate the effect of linear relations among commodity prices, which include co-integration under certain conditions. We derive futures and call option pricing formulae, and show that unlike Duan and Pliska (2004), the linear relations among commodity prices, or the error correction term, sh...

The paper estimates the effect of oil price fluctuations on GDP growth, using linear and nonlinear VAR models with data from 12 countries. It reports strong significance for the existence of non-linear moderator effects caused by a decline in the oil-to-energy share, which weakens the causal effect of oil prices on economic growth. A consideration of the relationship of oil prices and GDP over ...