| Abstract [eng] |
Oil is one of the most important natural resources. It is used to produce various materials that people come into contact with every day. It is a particularly important raw material as an energy resource that enables the movement of people and goods. For these reasons, oil acquires the significance of a strategic resource, which in turn strongly politicizes it and is visible in the oil price time series. In many cases, oil price changes and price dynamics are not formed due to changes in the supply and demand ratio, but due to decisions of oil-exporting countries and geopolitical events. The master's thesis conducts a study in which WTI oil price forecasts are constructed using VAR and VECM models to forecast the average, monthly WTI oil price. Forecasts are made for the annual (12-month period) period of 2020-2024. The accuracy of the results obtained using VAR and VECM models was assessed by comparing the forecast values ​​obtained and the actual WTI data. The obtained forecasts allow us to answer the question of the relationship between the short-term and long-term trends in oil prices - it was found that the short-term and long-term trends in oil prices are not interconnected mainly for two reasons. First, very different factors affect the formation of oil prices in different periods. Second - geopolitics, which plays a particularly important role in the market's price formation. The study shows that by being able to properly assess the geopolitical situation in the world and selecting the right variables, it is possible to make good forecasts and study oil price dynamics by applying relatively simple and low-complexity VAR and VECM models. |
