Journal article
Oil Price, Mean Reversion and Zone Readjustments
Southern economic journal, v 62(4), pp 916-929
01 Apr 1996
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper shows the oil market price within a given target zone has inverted S-shape and exhibits mean-reversion towards target price. Zoned price is more stable than free market price. It is nondefensible at lower limit of band, and policy is imperfectly credible, if size of output ceiling is relatively 'too large.' There is the other option of shifting the target zones. With higher intervention (defense) probabilities, the turnaround (convexity) in the market price at the intervention points is sensitive to the trend drift, market risk, and changes in expectations. Those sensitivities are reversed with higher readjustment probabilities.
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Details
- Title
- Oil Price, Mean Reversion and Zone Readjustments
- Creators
- Shawkat Hammoudeh
- Publication Details
- Southern economic journal, v 62(4), pp 916-929
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:A1996UE51100007
- Scopus ID
- 2-s2.0-0030549441
- Other Identifier
- 991019167652604721
UN Sustainable Development Goals (SDGs)
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InCites Highlights
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- Web of Science research areas
- Economics