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- Title
Leading indicators for Arabian Gulf oil tanker rates.
- Authors
Tham, Eric
- Abstract
In this paper, price drivers for the Arabian Gulf oil tanker rates were derived from the Bayesian logistic regression to form a leading indicator. A universe of price drivers was filtered based on statistical criteria and speculative backtest results. Results showed that refining margins in Asia, crude production in the Arabian Gulf, the vessel utilisation rate and Brent–Dubai spreads were the most significant price drivers of TD3. A time series of these drivers indicates that Arabian Gulf production has a declining importance relative to the Brent–Dubai spreads since 2004. A vector error correction mechanism analysis of the TD1 and TD3 benchmarks indicates that TD1 returns lag behind TD3 rates.
- Subjects
PERSIAN Gulf; ASIA; PETROLEUM industry; SPREAD (Finance); PETROLEUM; ECONOMIC indicators; REGRESSION analysis; TOTAL quality management; ECONOMICS
- Publication
OPEC Energy Review, 2008, Vol 32, Issue 2, p139
- ISSN
1753-0229
- Publication type
Article
- DOI
10.1111/j.1753-0237.2008.00147.x