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dc.contributor.authorWestgaard, Sjur
dc.contributor.authorOsmundsen, Petter
dc.contributor.authorStenslet, Lord Olav Daniel
dc.contributor.authorRingheim, Jo Kogstad
dc.date.accessioned2018-03-26T08:38:58Z
dc.date.available2018-03-26T08:38:58Z
dc.date.created2017-12-20T16:15:16Z
dc.date.issued2017-06
dc.identifier.citationWestgaard, S. et al. (2017) Modeling superior predictors for crude oil prices. Journal of Energy Markets. 2017, 10 (2), 77-99.nb_NO
dc.identifier.issn1756-3615
dc.identifier.urihttp://hdl.handle.net/11250/2492049
dc.description.abstractA common perception in the literature is that oil price dynamics are most adequately explained by fundamental supply-and-demand factors. We use a general-to-specific approach and find that financial indicators are even more significant at modeling and predicting oil prices. We demonstrate empirically that the futures spreads level, high-yield bond spreads and PHLX Oil Service Sector (OSX) index are the best predictors of oil prices in the period February 2000–June 2013. (The OSX index is designed to track the performance of a set of companies involved in the oil services sector.) The OSX index is particularly interesting, as no study has analyzed its predictive power prior to our analysis. The relationship is intuitively meaningful, as stock prices, which strongly depend on the oil price, are determined in a market with well-informed investors that have strong incentives to gather correct market information. Moreover, the share prices serve as strong proxies or price signals, as they reflect future oil price expectations at any point of time. Furthermore, we demonstrate through an out-of-sample analysis that our most parsimonious model is superior to relevant benchmarks at forecasting oil price changes (two benchmarks were used: (1) a random walk and (2) ARIMA.2; 0; 2/, which was optimized in-sample by minimizing the Akaike information criterion). Our findings do not necessarily imply that the financial sector determines oil prices. On the contrary, we take the view that fundamental information is traceable from financial markets, and, hence, financial predictors serve as indicators for oil price fundamentals.nb_NO
dc.language.isoengnb_NO
dc.publisherIncisive Risk Information (IP) Limitednb_NO
dc.subjectoljeprisernb_NO
dc.subjectøkonominb_NO
dc.subjectråoljenb_NO
dc.subjectforecast evaluationnb_NO
dc.subjectfutures spreadsnb_NO
dc.titleModeling superior predictors for crude oil pricesnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionpublishedVersionnb_NO
dc.rights.holder© 2017 Incisive Risk Information (IP) Limitednb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210nb_NO
dc.source.pagenumber77-99nb_NO
dc.source.volume10nb_NO
dc.source.journalJournal of Energy Marketsnb_NO
dc.source.issue2nb_NO
dc.identifier.doi0.21314/JEM.2017.162
dc.identifier.cristin1530608
dc.relation.projectNorges forskningsråd: 237674 PETROSAMnb_NO
cristin.unitcode217,8,3,0
cristin.unitnameInstitutt for industriell økonomi, risikostyring og planlegging
cristin.ispublishedtrue
cristin.fulltextoriginal
cristin.qualitycode1


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