Unité mixte de recherche 7235

Modeling ex-ante risk premiums in the oil market

Intervenant : Georges Prat

co-auteur: Remzi Uctum


Using survey-based monthly oil price expectations, we measure ex-ante oil risk premiums for 3- and 12-month horizons over a period of thirty years. We show that these premiums, which are particularly appropriate to analyzing investors’ decision-making, are nearly uncorrelated with the ex-post premiums usually employed in the literature where the expected price is replaced by the ex-post realized price. We consider a simple portfolio choice model from which each risk premium can be expressed as the product of the risk price and the expected variance of oil returns, both of these components depending on time and horizon. A two-horizon model of risk premiums, where the risk prices are represented as stochastic unobservable components and the expected variances as weighted averages of actual and past instantaneous variances, is estimated using the Kalman filter methodology. We find that the representative investor is mostly risk seeking at the short horizon and mostly risk averse at the long horizon. The prevalence of risk-aversion when oil market is bullish and of risk seeking when it is bearish is consistent with the predictions of the prospect theory. A dominant upward sloping term structure of ex-ante oil risk premiums is evidenced over our extended period. Our oil risk prices are shown to depend on economic and oil market-related factors.


mardi 31 janvier 2023

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Nathalie Heinich (EHESS)


Valeur et mesure: aux limites de l’approche économique

mardi 31 janvier 2023

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Aurelien Saussay(OFCE, Sciences Po, Paris), Misato Sato, (London School of Economics and Political Science) Francesco Vona (University of Milan) Layla O’Kane(Lightcast)

En visio

Who’s fit for the low-carbon transition? Emerging skills and wage gaps in job ad data

jeudi 2 février 2023


Nabil Daher, Michaël Guilloussou, Daniela Lima Rente, Maryam Soltani

Nouveaux doctorants

jeudi 2 février 2023

Groupe de travail Economie Comportementale

Carole Treibich (Laboratoire d'Economie Appliquée de Grenoble GAEL)

Salle 101

Disentangling peer effects in transportation mode choice: the example of active commuting

jeudi 2 février 2023

Groupe de travail « Intelligence artificielle »

Aurélien Quignon (Université du Luxembourg)

Salle : G614B

Crowd-Based Feedback and Early-Stage Entrepreneurial Performance: Evidence from a Digital Platform

mardi 7 février 2023

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Tristan Velardo (Sciences Po Bordeaux, Centre Emile Durkheim)

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

mardi 7 février 2023

Développement Durable Environnement et Energie (DDEE)

Emmanuelle Lavaine (CEE-M - University of Montpellier)

Flood Risk Information: Evidence from Paris Housing Markets

jeudi 9 février 2023


Claire Mollier

Gender, competitiveness, and reaction to defeat

Inscription aux Newsletters