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

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4 Author(s)
Weiqi Li ; School of Automation, Beijing Institute of Technology University, 100081, China ; Linwei Ma ; Yaping Dai ; Pei Liu

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.

Published in:

Control Conference (CCC), 2011 30th Chinese

Date of Conference:

22-24 July 2011