An introduction to oil market volatility analysis

Matar, Walid; Al-Fattah, Saud M.; Atallah, Tarek; Pierru, Axel

doi:10.1111/opec.12007

Cited by 18 publications

(8 citation statements)

References 52 publications

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“…Oil-price volatility impacts the hedging and contracting of projects whose cash flows are influenced by the expected price of the commodity. Long-term uncertainty in future oil prices can alter the incentives to develop new fields in producing countries, and can also bring projects to a sudden halt if prices drop suddenly (Matar et al, 2013). Research in this area finds few promising avenues for forecasting oil prices, leading to on-going project uncertainty in the operational procurement and project management environment.…”

Section: Introductionmentioning

confidence: 99%

The role of effective relationship management in successful large oil and gas projects

Handfield

Primo²,

Oliveira

2015

Journal of Strategic Contracting and Negotiation

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Project success has been a central topic in the project management literature. The high volatility attended with oil and gas upstream projects has enhanced the need for relational contracting approaches. Successful Large International Engineering and Construction Projects can deliver value to project parties (clients, sponsors, contractors, subcontractors, etc.) and other stakeholders (users, investors, communities affected by the project, etc.) in the project supply chain. Supply chain and procurement strategies play a significant role in project success, due to their impact on project value and on the way project risks are managed. In this study, we review insights gleaned from 13 oil and gas senior procurement executives, from which we derive a set of propositions and some preliminary results related to the success of these elements. In general, we find that relationship management plays a critical role in the outcomes associated with oil and gas project success. Procurement relationship management practices affect the way the needs of project stakeholders outside the contract (users, suppliers, communities affected by the project, etc.) are attended as well as the way project relationships are managed inside and outside project teams. As a result, those strategies are also related to important drivers of project success, such as relationship and stakeholder management.

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Section: Introductionmentioning

confidence: 99%

The role of effective relationship management in successful large oil and gas projects

Handfield

Primo²,

Oliveira

2015

Journal of Strategic Contracting and Negotiation

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“…We define daily returns as logarithmic differences of price indices: where R t is the Brent oil price log return; P t the price of oil in period t and P t −1 the price of oil in ( t −1). Even though the Brent crude oil produced in the North Sea and the WTI are highly correlated; however, they report small spreads as a result of differences in the production base, transportation/delivery costs, oil quality and trading times (Matar et al , 2013). We use the log returns of the Europe Brent as the dependent variable because they are more prone to fluctuate subject to chaos and geopolitical situation in the Middle East and North Africa compared to the WTI produced and traded mostly in the USA (Zhang and Zhang, 2015).…”

Section: Methodsmentioning

confidence: 99%

Terrorism in OPEC countries and oil prices

Bassil

Hamadi

Bteich

2018

IJOEM

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Purpose The purpose of this paper is to examine the impact of terrorism in the Organization of the Petroleum Exporting Countries (OPEC) on the return and volatility of world price of oil. Design/methodology/approach GARCH models and daily data from 1987 till 2015 will be used. Findings The empirical results reveal that terrorism in the OPEC affects positively oil returns and negatively its volatility. Results also show that the different characteristics of the attacks are likely to have different impact on the return and volatility of oil prices. In overall terms, terrorism has a much larger positive impact on the return of oil prices and negative impact on its volatility if it targets the oil industry in the OPEC. This marginal effect is even greater if those attacks were successful. Originality/value The distinguishing feature of this paper is that the authors use a framework that takes into account different attributes for terrorism the success of the attacks, the intensity of the attacks and the associated targets.

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“…As a proxy of economic policy uncertainty, we utilized the EPU index in this study, which was compiled by three economists: Baker, Bloom, and Davis [45]. This US index includes three components with different weights.…”

Section: Data Descriptionmentioning

confidence: 99%

“…As per the international crude oil trading practices, the benchmark is the international energy market, which mainly includes WTI oil, Brent crude oil, and Dubai crude oil [45]. Among them, the price of WTI is the most important price benchmark in the world.…”

Section: Data Descriptionmentioning

confidence: 99%

Unveiling the Effect of Mean and Volatility Spillover between the United States Economic Policy Uncertainty and WTI Crude Oil Price

Shahzad

et al. 2020

Sustainability

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Grounded in the Granger causality test, vector autoregression (VAR) model, and BEKK-GARCH model, our current study aims to examine the effect of mean and volatility spillover between the United States (US) economic policy uncertainty (EPU) and West Texas Intermediate (WTI) crude oil price. Using the US EPU monthly index and WTI spot price data from 1996 to 2019, we revealed that there is a one-way Granger causality link between the US EPU and spot price of WTI crude oil. The VAR model not only illustrated that there is a mean spillover effect between WTI oil price and US EPU, but they will also be affected by its memory, as well as the other’s past. At the same time, it also pointed out that this correlation has positive and negative directions. The BEKK-GARCH model test yielded similar conclusions to the VAR model and, importantly, proved a two-way volatility spillover effect between the US EPU and WTI spot price fluctuations. In conclusion, US economic policy has a substantial influence on the variation of global crude oil prices, as an essential strategic reserve resource and will also influence the government’s economic policy formulation. Understanding the association between WTI crude oil price and policy uncertainty not only helps investors to manage assets allocations and mitigate losses but also guides US policymakers to adjust the energy structure for economic sustainability.

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An introduction to oil market volatility analysis

Cited by 18 publications

References 52 publications

The role of effective relationship management in successful large oil and gas projects

The role of effective relationship management in successful large oil and gas projects

Terrorism in OPEC countries and oil prices

Unveiling the Effect of Mean and Volatility Spillover between the United States Economic Policy Uncertainty and WTI Crude Oil Price

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