Posts Tagged ‘Petroleo


Gráfico du Jour: Algunos pronósticos 2012…

(Fuente: JP Morgan, via FT Alphaville)



Exploración Offshore y Valor de opción

The BP Gulf Coast Oil Spill, Option Value, and the Of shore Drilling Debate

In the wake of recent unrest in the Middle East, rising gasoline prices have politicians from both parties  scrambling to ramp up domestic oil production. Perhaps ironically, this scramble coincides with the one  year anniversary of the BP Gulf Coast Oil Spill, the single largest of shore oil spill in history.
This regulatory report examines the economics of increased domestic oil drilling, in light of large uncertainties associated with this activity. Many of the most important factors for making smart choices about oil drilling are uncertain: future oil prices cannot be perfectly forecasted; science has a limited understanding of the scope and consequence of environmental damages from oil exploration, production, and accidents; and the rates of technological innovation for both production improvements and cleanup  technologies are dii cult to predict.
The primary finding of this report is that, unless uncertainty is incorporated into the economic models used to determine whether oil drilling is appropriate, the United States will allow too much drilling, too soon, and with too much risk. h is reality should be rel ected in how the Department of the Interior structures the sale of leases to extract of shore oil—but presently, it is not.
A major l aw with the rhetoric currently dominating both sides of the political debate over domestic oil drilling is the focus on gasoline prices. In fact, expanding domestic drilling will have practically no ef ect on, and so should not be motivated by, gasoline prices. Economic analysis of oil markets shows that expanding domestic oil production is “not likely [to] have a signii cant impact on prices that consumers pay at the gasoline pump now or in the future.” Because the United States is engaged in global oil markets, even relatively large domestic changes in production will be swallowed by the larger global supply and demand,  leading to only negligible changes in price.
If increasing domestic oil production is economically justifier, it will not be as an ef ective or ei cient  response to rising gasoline prices. Rather, the choice would only be justified because the benei ts of  drilling (namely, revenue from the operation) outweigh the costs (like the production costs and the risks  of environmental damage from accidents). Consequently, to make that choice, the full extent of both the benefits and costs of drilling must be examined.

Link al Paper


Gráfico du Jour: Pronostico del Petroleo

(Fuente: Bloomberg, via Infectious Greed)


Paper: Tasa 0 y los Shocks de Petroleo

Oil Shocks and the Zero Bound on Nominal Interest Rates


Beginning in 2009, in many advanced economies, policy rates reached their zero lower bound (ZLB). Almost at the same time, oil prices started rising again. We analyze how the ZLB affects the propagation of oil shocks. As these shocks move inflation and output in opposite directions, their effects on economic activity are cushioned when monetary policy is constrained. The burst of inflation from an oil price increase lowers real interest rates at the ZLB and stimulates the interest-sensitive component of GDP, offsetting the usual contractionary effects. In fact, if the increase in oil prices is gradual, the persistent rise in inflation can cause a GDP expansion.

Link al Paper


Paper: Precios del petroleo y sus efectos macros

Nonlinearities and the Macroeconomic Effects of Oil Prices

This paper reviews some of the literature on the macroeconomic effects of oil price shocks with a particular focus on possible nonlinearities in the relation and recent new results obtained by Kilian and Vigfusson (2009).

Link al Paper


Paper: Petroleo y PBI

Oil and US GDP: A Real-Time Out-of-Sample Examination

We study the real-time Granger-causal relationship between crude oil prices and US GDP growththrough an out-of-sample (OOS) forecasting exercise; we do so after providing strong evidence ofin-sample (IS) predictability from oil prices to GDP. Comparing our benchmark model “withoutoil” against those “with oil” by way of both point and density forecasts, we find strong evidencein favor of OOS predictability from oil prices to GDP via our point forecast comparisons whenwe adjust our MSPEs to account for noise introduced under the null hypothesis that the parsimoniousbenchmark is the true data generating process. These results are consistent withwell-known IS results covering part of our OOS period, and also suggest that, in the 1990s and2000s, oil prices have had greater predictive content for GDP than in the mid to late 1980s. Byway of density forecast OOS comparisons, while we do not find statistically significant evidenceof such predictability from oil prices to GDP for the full 1970-2008 OOS period, our results qualitativelyalso suggest substantial time variation in this relationship; predictability from 1970 to1985, and increasing predictability near the onset of the Great Recession.
Link al Paper

ETFs, costos…

Index Universe tiene un post muy bien explicado sobre el costo de los ETFs (de energia) y como el mismo aumenta cuando hay Contango.


Let’s suppose that you (or the fund you own, such as USO) is holding the March oil contract (the “front month,” in futures terminology). As the expiration date approaches, you have to sell that contract. If you don’t, you’ll have to take delivery of physical oil in Cushing, Okla.—and let’s be honest, no one wants to do that.

So you sell the March contract and buy the April contract. This is called “rolling” the position, and it’s what most traditional commodity ETFs, including USO, do.

Now suppose that “spot” oil is trading for $75/barrel. As the March contract approaches expiration, its price will converge with the spot price. That’s the way the commodities market works. But if the markets are in contango, the April contract will cost more; say, $80/barrel.

You don’t lose any money when you sell the March contract and buy the April contract; you simply own fewer contracts at a higher price. The trouble happens over the next month. If the spot price of oil stays flat at $75/barrel, the value of that April contract will slowly decay from $80/barrel to $75/barrel.

That’s where you lose money; (…)


Especuladores y Commodities

En sintonia con el deseo de nuevas regulaciones,  esta instalada la discusión sobre el impacto de los “especuladores” en el mercado de commodities (futuros), especialmente los mercados de energía (petroleo, gas). Soluciones como la de limitar las posiciones son propuestas. Les dejo un trabajo del 2008 de la Commodity Futures Trading Commission
We identify and explain a structural change in the relation between crude oil futures prices across contract maturities. As recently as 2001, near- and long-dated futures were priced as though traded in segmented markets. In 2002, however, the prices of one-year futures started to move more in sync with the price of the nearby contract. Since mid-2004, the prices of both the one-year-out and the two-year-out futures have been cointegrated with the nearby price. We link this transformation to changes in fundamentals, as well as to sea changes in the maturity structure and trader composition of futures market activity. In particular, we utilize a unique dataset of individual trader positions in exchange-traded crude oil options and futures to show that increased market activity by commodity swap dealers, and by hedge funds and other financial traders, has helped link crude oil futures prices at different maturities.

Link al Paper.

Por ultimo, una nota de 24/7 Wall St sobre el lanzamiento de 2 ETFs que siguen el platino y paladio, y el posible impacto de estos derivados  sobre sus respectivos subyacentes:

If you have ever wondered just how much exchange traded funds and exchange traded notes can run a market, you can forget about wondering how much the SPDR Gold Shares (NYSE: GLD) has helped to run gold prices higher.  Some will say it has, and some will try to dispute this notion.  While being able to speculate on any commodity and market is good, there is always a question of how much speculation by participants not tied at all to the underlying markets should be allowed.  ETF Securities is soon to launch two ETF products: one for platinum and one for palladium.  These markets are not as large as the gold market, so floods of money in and out of these could make for volatile underlying markets.


Leasing Commodities: Petroleo

FT Alphaville tiene un post muy interesante con razones porque el petroleo parece haberse despegado de las variables reales (demanda y oferta):

(…) In other words, people became interested in off-loading dollar price risk in favour of taking on energy price risk. Anyone familiar with futures markets will see that this is directly opposite to the wish of producers wishing to ‘hedge’ energy price risk in favour of taking on dollar price risk. (…)

El BIS tiene un paper sobre este tema: Financial Investors and Commodity Markets

Fun & Finance


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"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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July 2020



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