Speculative versus Fair Price of Crude Oil

• Thesis title in Czech: Spekulativní versus fundamentální cena ropy
• Thesis title in English: Speculative versus Fair Price of Crude Oil
• English key words: Crude oil, speculation, fair price of oil
• Academic year of topic announcement: 2010/2011
• Thesis type: Bachelor's thesis
• Thesis language: angličtina
• Department: Institute of Economic Studies (23-IES)
• Supervisor: prof. PhDr. Petr Teplý, Ph.D.
• Author: hidden - assigned by the advisor
• Date of registration: 26.05.2011
• Date of assignment: 03.06.2011
• Date and time of defence: 20.06.2012 00:00
• Venue of defence: Opletalova 26
• Date of electronic submission: 17.05.2012
• Date of proceeded defence: 20.06.2012
• Opponents: PhDr. Mgr. Goran Serdarevič, M.A.

References

Fattouh, B. (2007): The Drivers of Oil Prices: The Usefulness and Limitations of Non-Structural Model, the Demand-Supply Framework and Informal Approaches, Oxford Institute for Energy Studies WPM 32.
Hamilton, J. D. (2009b): Understanding Crude Oil Prices, in: The Energy Journal 30(2), p. 179-206.
Johansen, S. (1995): Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, New York: Oxford University Press.
Kaufmann, K. K. (2011): The role of market fundamentals and speculation in recent price changes for crude oil, in: Energy Policy 39(1), p. 105-115.
Kaufmann, R. K./ Dees, S./ Gasteuil, A./ Mann, M. (2008): Oil prices: The role of refinery utilization, futures markets and non-linearities, in: Energy Economics 30(5), p. 2609-2622.
Kočenda, E./ Černý, A. (2007): Elements of Time Series Econometrics: An Applied Approach, Prague: Karolinum Press.
Lütkepohl, H./ Reimers, H.-E. (1992): Impulse response analysis of cointegrated systems, in: Journal of Economic Dynamics and Control 16(1), p. 53-78.

Preliminary scope of work

Předmětem bakalářské práce bude trh s ropou a vliv spekulace na ceny ropy. S použitím vector error correction modelu budu zkoumat, zda zvýšení objemu spekulativního obchodování nemůže zvýšit ceny ropy. V rámci modelu použiji fundamentální faktory, které mají vliv na cenu ropy, jako poptávka a nabídka, která bude nadále rozlišena podle produkce v zemích OPEC a mimo země OPEC. Jako proxy pro spekulaci či riziko na trhu bude použit open interest na trhu s ropou.

Preliminary scope of work in English

The main focus of the bachelor thesis is the crude oil market and the influence of the speculation on the crude oil prices. Employing the vector error correction estimation, it will be examined whether an increase in speculative trading can cause an increase in the oil prices. The main fundamental factors that influence the oil prices will be considered, for example the demand and the supply, where it will be distinguished between the OPEC and non-OPEC supply, and the open interest on the market will be used as a proxy for the risk or speculative factor.