Causality in crude oil prices

Economic media inform on prices of three well established crude oil benchmarks: Brent, WTI and Dubai Fateh. The relevance of these is however declining with their low output - motivating investigation of the pricing dynamics. We apply Granger causality tests to study the price dependencies of 32 crude oils. The aim is to establish what crudes are setting the prices and what crudes are just following the general market trends. The investigation is performed globally as well as for different quality, geographical and organisational segments. The results indicate that crude oil price analysts should follow at least four different crudes that are good price indicators. WTI and Brent still lead the market, but they are not the only crude prices worth paying attention to. In particular, Russian Urals drives global prices in a significant way, and Iran Seri Kerir is a significant price setter within OPEC. Dubai Fateh does not display any significant influence as a price setter, which confirms the lack of dominant benchmark within the segment of medium quality crudes.

A assimetria na volatilidade das rendibilidades do preço do crude

Dissertação de Mestrado em Contabilidade e Análise Financeira

The emergence of biofuels and the co-movement between crude oil and agricultural prices

Biofuels are becoming an alternative to non-renewable energy sources but we know little about the economic mechanisms influencing their prices. This paper studies the interrelationships between the spot prices of oil and those of agricultural commodities used as biofuel feedstocks. Using daily data since 1988, we identify a co-movement after 2005 that does not appear for other food-related commodities and is not due to general economic variables. We also find traces of the co-movement in the prices of a large biofuel stock. The results amount to the first systematic piece of empirical evidence linking spot oil and agricultural markets via the emergence of biofuels.

Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

Causality in crude oil prices

Crude oil markets witness growing disparity between the quality of crudes supplied and demanded in the market. The market share of low-quality crudes is increasing due to the depletion of old fields and increasing demand. This is unnerving the practitioners and affecting the relevance of the traditional benchmark crudes due to the lack of lower quality benchmarks (Montepeque, 2005). In this article, we apply Granger causality tests to study the price dependence of 32 crudes in order to establish which crudes drive other prices and which ones simply follow general market trends. Our results indicate that some of the old benchmarks are still relevant while others can be disregarded. Our results also interestingly show that the low-quality Mediterranean Russian Urals crude, introduced in the late 1990s, has emerged recently as a significant driver of global prices. © 2011 Taylor & Francis.

Modelling Long-Run Relationship between Spot and Future Prices of Different Commodities

The purpose of this study is to investigate whether there exists any kind of relationship between the spot and future prices of the different commodities or not. Commodities like cocoa, coffee, crude oil, gold, natural gas and silver are considered from January 3, 2000 to December 31, 2012. For this purpose, ADF test and KPSS test are used in testing the stationarity whereas Johansen Cointegration test is used in testing the long-run relationship. Johansen co-integration test exhibits that there at least 5 co-integrating pairs out of 6 except crude oil. Moreover, the result of Granger Causality supports the fact that if two or more than two time series tend to be co-integrated there exists either uni-directional or bi-directional relationship. However, our results reveled that although there exists the co-integration between the variable, one might not granger causes another .VAR model is also used to measure the proportion of effects. These findings will help the derivative market and arbitragers in developing the strategies to gain the maximum profit in the financial market.

Glycerol: Production, consumption, prices, characterization and new trends in combustion

The demand for petroleum has been rising rapidly due to increasing industrialization and modernization. This economic development has led to a huge demand for energy, most of which is derived from fossil fuel. However, the limited reserve of fossil fuel has led many researchers to look for alternative fuels which can be produced from renewable feedstock. Increasing fossil fuel prices have prompted the global oil industry to look at biodiesel, which is from renewable energy sources. Biodiesel is produced from animal fats and vegetable oils and has become more attractive because it is more environmentally friendly and is obtained from renewable sources. Glycerol is the main by-product of biodiesel production; about 10% of the weight of biodiesel is generated in glycerol. The large amount of glycerol generated may become an environmental problem, since it cannot be disposed of in the environment. In this paper, an attempt has been made to review the different approaches and techniques used to produce glycerol (hydrolysis, transesterification, refining crude glycerol). The world biodiesel/glycerol production and consumption market, the current world glycerin and glycerol prices as well as the news trends for the use of glycerol mainly in Brazil market are analyzed. The technological production and physicochemical properties of glycerol are described, as is the characterization of crude glycerol obtained from different seed oil feedstock. Finally, a simple way to use glycerol in large amounts is combustion, which is an advantageous method as it does not require any purification. However, the combustion process of crude glycerol is not easy and there are technological difficulties. The news and mainly research about the combustion of glycerol was also addressed in this review. © 2013 Elsevier Ltd.

Modeling for the world crude oil and natural gas markets

Crude oil and natural gas have been essential energy sources and play a crucial role in the world economy. Changes in energy prices significantly impact economic growth. This study builds an econometric model to illustrate the substitute relation between crude oil and natural gas markets. Additionally, the determination of the oil and natural gas prices are endogenized, assuming imperfect competition to reflect a real market strategy. Our empirical results show that the overall performance of this system is acceptable, and the model can be applied to policy analysis for determining monetary or energy policy by introducing this model to the more comprehensive system.

Forecasting the term structure of volatility of crude oil price changes

Peer reviewed

Petroleomics By Electrospray Ionization Ft-icr Mass Spectrometry Coupled To Partial Least Squares With Variable Selection Methods: Prediction Of The Total Acid Number Of Crude Oils.

Negative-ion mode electrospray ionization, ESI(-), with Fourier transform ion cyclotron resonance mass spectrometry (FT-ICR MS) was coupled to a Partial Least Squares (PLS) regression and variable selection methods to estimate the total acid number (TAN) of Brazilian crude oil samples. Generally, ESI(-)-FT-ICR mass spectra present a power of resolution of ca. 500,000 and a mass accuracy less than 1 ppm, producing a data matrix containing over 5700 variables per sample. These variables correspond to heteroatom-containing species detected as deprotonated molecules, [M - H](-) ions, which are identified primarily as naphthenic acids, phenols and carbazole analog species. The TAN values for all samples ranged from 0.06 to 3.61 mg of KOH g(-1). To facilitate the spectral interpretation, three methods of variable selection were studied: variable importance in the projection (VIP), interval partial least squares (iPLS) and elimination of uninformative variables (UVE). The UVE method seems to be more appropriate for selecting important variables, reducing the dimension of the variables to 183 and producing a root mean square error of prediction of 0.32 mg of KOH g(-1). By reducing the size of the data, it was possible to relate the selected variables with their corresponding molecular formulas, thus identifying the main chemical species responsible for the TAN values.

Effects of croton urucurana extracts and crude resin on Anagasta kuehniella (Lepidoptera: Pyralidae)

Hundreds of plant species have been studied in order to find out the active ingredient responsible for their insecticidal activity against the pests of economic importance. To verify the insecticidal activity in the husk of stem of Croton urucurana Baillon 1864 (Euphorbiaceae) against Anagasta kuehniella Zeller 1879 (Lepidoptera: Pyralidae), the methanolic (EMeOH) extract, dichloromethane fraction (FDM), ethyl acetate fraction (FAE) and crude resin, incorporated into an artificial diet were evaluated. EMeOH (0.5, 1.0 and 2.0%) and crude resin (2.0%) interfered with neither the weight nor the survival of fourth instar larvae and other analyzed parameters. FDM (2.0%) fraction caused mortality of 65%, and the artificial diet containing 2.0, 1.0 and 0.5% FAE caused 100, 55 and 68% mortality respectively when compared with the control, confirming the least efficiency rates of food conversion for FDM(2.0%) and FAE(1.0%). The tryptic analysis performed with the midgut fluid of fourth-instar larvae demonstrated that tryptic and chymiotryptic activities for the larvae fed artificial diet containing EMeOH and crude resin were not different.

Simultaneous determination of Cr, Fe, Ni and V in crude oil by emulsion sampling graphite furnace atomic absorption spectrometry

In this work a simple and reliable method for the simultaneous determination of Cr, Fe, Ni and V in crude oil, using emulsion sampling graphite furnace atomic absorption spectrometry is proposed. Under the best conditions, sample masses around 50 mg were weighed in polypropylene tubes and emulsified in a mixture of 0.5% (v v(-1)) hexane + 6% (m v(-1)) Triton X-100 (R). Considering the compromised conditions, the pyrolysis an atomization temperatures for the simultaneous determination of Cr, Fe, Ni and V were 1400 degrees C and 2500 degrees C, respectively. Aliquots of 20 mu L of reference solution and sample emulsion were co-injected into the graphite tube with 10 mu L of 1.0 g L(-1) Mg(NO(3))(2) as chemical modifier. The detection limits (n = 10, 3 sigma) and characteristic masses were, respectively: 0.07 mu g g(-1) and 19 pg for Cr; 2.15 mu g g(-1) and 31 pg for Fe; 1.25 mu g g(-1) and 44 pg for Ni; and 1.15 mu g g(-1) and 149 pg for V. The reliability of the proposed method was checked by fuel oil Standard Reference Material (SRMTriton X-100 (R) 1634c - NIST) analysis. The concentrations found presented no statistical differences compared to the certified values at 95% confidence level.

Application of Fluorescence to the Study of Crude Petroleum

Crude petroleum oils are complex mixtures of different compounds (mainly organic), which are obtained from an extensive range of different geological sources. The fluorescence of crude petroleum oils derives largely from the aromatic hydrocarbon fraction, and this fluorescence emission is strongly influenced by the chemical composition (e.g., fluorophore and quencher concentrations) and physical characteristics (e.g., viscosity and optical density) of the oil. The fluorescence spectroscopy (FS) is increasingly used in petroleum technology due the availability of better optical detection techniques, because FS offers high sensitivity, good diagnostic potential, and relatively simple instrumentation. In this work we analyzed crude petroleum at different dilution in Nujol, a transparent mineral oil. The main objective of this work was to verify the possibility to measure crude oil emission spectroscopic without use of volatile solvents. The mixtures of nujol with different -crude oil concentrations were measured with a 10 mm optical path cuvette thus simplifying the fluorescence spectroscopy signal detection. The emission spectra were obtained by exciting the samples with a 400 W Xenon lamp at 350 nm, 450 nm and 532 nm. The emissions of the samples were collected perpendicularly with the excitation axis.