Optimal Oil Production and the World Supply of Oil:
We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of reserve...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2012
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 12/294 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of reserves. Optimal extraction in the baseline model is found to be volatile. If the oil producer is risk averse, production is more stable, but spare capacity is much higher than what is typically observed. We show that decisions are very sensitive to expectations on the equilibrium oil price using a mean reverting model of the oil price where the equilibrium price is also a random variable. Oil production was cut during the 2008-2009 crisis, and we find that the cut in production was larger for OPEC, for countries facing a lower discount rate, as predicted by the model, and for countries whose governments' finances are less dependent on oil revenues. However, the net present value of a country's oil reserves would be increased significantly (by 100 percent, in the most extreme case) if production was cut completely when prices fall below the country's threshold price. If several producers were to adopt such strategies, world oil prices would be higher but more stable |
| Beschreibung: | 1 Online-Ressource (31 p) |
| ISBN: | 1616354836 9781616354831 |
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| index_date | 2024-07-03T20:13:16Z |
| indexdate | 2024-07-10T09:35:23Z |
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| physical | 1 Online-Ressource (31 p) |
| psigel | ZDB-1-IMF |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Aleksandrov, Nikolay Verfasser aut Optimal Oil Production and the World Supply of Oil Aleksandrov, Nikolay Washington, D.C International Monetary Fund 2012 1 Online-Ressource (31 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 12/294 We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of reserves. Optimal extraction in the baseline model is found to be volatile. If the oil producer is risk averse, production is more stable, but spare capacity is much higher than what is typically observed. We show that decisions are very sensitive to expectations on the equilibrium oil price using a mean reverting model of the oil price where the equilibrium price is also a random variable. Oil production was cut during the 2008-2009 crisis, and we find that the cut in production was larger for OPEC, for countries facing a lower discount rate, as predicted by the model, and for countries whose governments' finances are less dependent on oil revenues. However, the net present value of a country's oil reserves would be increased significantly (by 100 percent, in the most extreme case) if production was cut completely when prices fall below the country's threshold price. If several producers were to adopt such strategies, world oil prices would be higher but more stable Online-Ausg Espinoza, Raphael A. Sonstige oth Gyurko, lajos Sonstige oth http://elibrary.imf.org/view/IMF001/20153-9781616354831/20153-9781616354831/20153-9781616354831.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Aleksandrov, Nikolay Optimal Oil Production and the World Supply of Oil |
| title | Optimal Oil Production and the World Supply of Oil |
| title_auth | Optimal Oil Production and the World Supply of Oil |
| title_exact_search | Optimal Oil Production and the World Supply of Oil |
| title_exact_search_txtP | Optimal Oil Production and the World Supply of Oil |
| title_full | Optimal Oil Production and the World Supply of Oil Aleksandrov, Nikolay |
| title_fullStr | Optimal Oil Production and the World Supply of Oil Aleksandrov, Nikolay |
| title_full_unstemmed | Optimal Oil Production and the World Supply of Oil Aleksandrov, Nikolay |
| title_short | Optimal Oil Production and the World Supply of Oil |
| title_sort | optimal oil production and the world supply of oil |
| url | http://elibrary.imf.org/view/IMF001/20153-9781616354831/20153-9781616354831/20153-9781616354831.xml |
| work_keys_str_mv | AT aleksandrovnikolay optimaloilproductionandtheworldsupplyofoil AT espinozaraphaela optimaloilproductionandtheworldsupplyofoil AT gyurkolajos optimaloilproductionandtheworldsupplyofoil |