Ökonometrische Modellierung des Rohölmarktes (English shop)

Preisbildungsmechanismen und Prognose der Entwicklung bis 2030

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The crude oil market not only forms the basis for trading the world’s most important primary energy source, but at the same time constitutes a kind of lead market for fossil fuels in general. At the same time, the oil price is subject to strong fluctuations.

This work examines price formation on the basis of a long-term history. To this end, a fundamental econometric market model is developed which explains historical market developments primarily on the basis of investment cycles in interaction with inelastic demand. The model is presented as an Autoregressive Distributed Lag (ADL) model in error correction form, with the long-term fundamental market dynamics being demonstrated by means of the bounds testing procedure.

Building on the findings of the empirical modelling, a stochastic forecast of market developments up to 2030 is then carried out using Monte Carlo simulation. Particular attention is paid to the origins and effects of the high degree of uncertainty in oil price forecasts.