Ekonometrická analýza ceny ropy na komoditních trzích

Abstract

The development of oil prices is a key aspect of the global economy, with oil as a strategic commodity influencing a wide range of economic, geopolitical, and financial processes. Examining the effects and mechanisms that determine and influence oil prices is important for policymakers, investors, and especially for the industrial and energy sectors.The aim of this thesis is an econometric analysis of oil prices, focusing on identifying and quantifying influences that standard models are unable to directly capture. The study employs a two-stage approach using the FAVAR model, where latent factors are estimated through Principal Component Analysis (PCA) with VARIMAX rotation, based on a large set of variables.Impulse response functions indicate that the WTI oil price development reacts significantly to shocks in the latent factor associated with global economic activity and OPEC's production activity. Strong effects are also revealed between oil price development and the prices of financial and investment assets, as well as the level of spare production capacity within OPEC. The constructed FAVAR model proves to be an effective tool for modeling oil prices in the presence of latent influences and contributes to a deeper understanding of the forces shaping oil price dynamics.