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OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil

Celso Brunetti, Bahattin Buyuksahin, Michel A. Robe, and Kirsten R. Soneson

Year: 2013
Volume: Volume 34
Number: Number 4
DOI: 10.5547/01956574.34.4.5
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Abstract:
OPEC producers, individually or collectively, often make statements regarding the "fair price" of crude oil. In some cases, the officials commenting are merely affirming the market price prevailing at the time. In many cases, however, we document that they explicitly disagree with contemporaneous oil futures prices. A natural question is whether these "fair price" pronouncements contain information not already reflected in the market price of crude oil. To find the answer, we collect "fair price" statements made from 2000 through 2010 by officials from OPEC or OPEC member countries. Visually, the "fair price" series looks like a sampling discretely drawn (with a lag) from the daily futures market price series. Formally, we use two primary methodologies to establish that "fair price" pronouncements have little influence on the market price of crude oil and provide little or no new news to oil futures market participants.



Understanding the Determinants of Electricity Prices and the Impact of the German Nuclear Moratorium in 2011

Stefan Thoenes

Year: 2014
Volume: Volume 35
Number: Number 4
DOI: 10.5547/01956574.35.4.3
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Abstract:
This paper shows how the effect of fuel prices varies with the level of electricity demand. It analyzes the relationship between daily prices of electricity, natural gas and carbon emission allowances with a semiparametric varying smooth coefficient cointegration model. Different electricity generation technologies have distinct fuel price dependencies, which allows estimating the structure of the power plant portfolio by exploiting market prices. The semiparametric model indicates a technology switch from coal to gas at roughly 85% of maximum demand. This model is used to analyze the market impact of the nuclear moratorium by the German Government in March 2011. Futures prices of electricity, natural gas and emission allowances are used to show that the market efficiently accounts for the suspended capacity and correctly expects that several nuclear plants will not be switched on after the moratorium.





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