Forecastability of petroleum investments on the NCS. Lorentzen & Osmundsen Petroleum investment 1 / 14
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1 Forecastability of petroleum investments on the NCS Sindre Lorentzen University of Stavanger Norway Stavanger sindre.lorentzen@uis.no Petter Osmundsen University of Stavanger Norway Stavanger petter.osmundsen@uis.no Lorentzen & Osmundsen Petroleum investment 1 / 14
2 Introduction The oil and gas industry is essential to the Norwegian economy. Figure: Revised national budget for 2017 Oil and gas industry's percentage share of GDP Total Exports Total investments state's revenues Lorentzen & Osmundsen Petroleum investment 2 / 14
3 Introduction The oil and gas industry is essential to the Norwegian economy. The ability to forecast future investment in the oil and gas industry is useful for the Norwegian government and the service & supply industry. Figure: Revised national budget for 2017 Oil and gas industry's percentage share of GDP Total Exports Total investments state's revenues Lorentzen & Osmundsen Petroleum investment 2 / 14
4 Introduction The oil and gas industry is essential to the Norwegian economy. The ability to forecast future investment in the oil and gas industry is useful for the Norwegian government and the service & supply industry. The Norwegian national budget provides a one-year ahead forecast of aggregate oil and gas investments. Figure: Revised national budget for 2017 Oil and gas industry's percentage share of GDP Total Exports Total investments state's revenues Lorentzen & Osmundsen Petroleum investment 2 / 14
5 Introduction Research questions Is investment growth in the oil & gas industry on the NCS forecastable? Lorentzen & Osmundsen Petroleum investment 3 / 14
6 Introduction Research questions Is investment growth in the oil & gas industry on the NCS forecastable? How accurate is the national budget forecast? Is it able to outperform predicting: 1. no change in investments 2. no change in investment growth Lorentzen & Osmundsen Petroleum investment 3 / 14
7 Introduction Research questions Is investment growth in the oil & gas industry on the NCS forecastable? How accurate is the national budget forecast? Is it able to outperform predicting: 1. no change in investments 2. no change in investment growth Can a parsimonious ADL model outperform the national budget forecast? Lorentzen & Osmundsen Petroleum investment 3 / 14
8 Norwegian national budget forecast of oil and gas investments on the NCS Provided in the national budget since Lorentzen & Osmundsen Petroleum investment 4 / 14
9 Norwegian national budget forecast of oil and gas investments on the NCS Provided in the national budget since Bottom-up-approach based on budgets provided by the oil and gas companies through the plan for development and operations (PDO). Lorentzen & Osmundsen Petroleum investment 4 / 14
10 Norwegian national budget forecast of oil and gas investments on the NCS Provided in the national budget since Bottom-up-approach based on budgets provided by the oil and gas companies through the plan for development and operations (PDO). Contributors: Norwegian Petroleum Directorate (NPD) Statistics Norway Ministry of Petroleum and Energy Ministry of Finance Lorentzen & Osmundsen Petroleum investment 4 / 14
11 Data All data was provided by the Norwegian Petroleum Directorate. Figure: Project process in oil & gas industry Exploration Appraisal Development Production Decommission Plan for Development and Operations Lorentzen & Osmundsen Petroleum investment 5 / 14
12 Data All data was provided by the Norwegian Petroleum Directorate. Dataset consist of 1788 panel data observations from 109 petroleum fields on the NCS between 1970 and Figure: Project process in oil & gas industry Exploration Appraisal Development Production Decommission Plan for Development and Operations Lorentzen & Osmundsen Petroleum investment 5 / 14
13 Data All data was provided by the Norwegian Petroleum Directorate. Dataset consist of 1788 panel data observations from 109 petroleum fields on the NCS between 1970 and Independent variables consist of: Crude oil price Realized volatility of crude oil price Number of exploration wells (wildcat appraisal) Figure: Project process in oil & gas industry Exploration Appraisal Development Production Decommission Plan for Development and Operations Lorentzen & Osmundsen Petroleum investment 5 / 14
14 Descriptive Statistic Aggregate investment Figure: Aggregate petroleum investment on the NCS ( ) Aggregate petroleum investment (bn. NOK) Lorentzen & Osmundsen Petroleum investment 6 / 14
15 Descriptive Statistic Aggregate investment Figure: Aggregate petroleum investment on the NCS ( ) Aggregate petroleum investment (bn. NOK) Investment Investment Growth Growth in aggregate petroleum investment Lorentzen & Osmundsen Petroleum investment 6 / 14
16 Descriptive Statistic Aggregate investment Figure: Aggregate petroleum investment on the NCS ( ) Aggregate petroleum investment (bn. NOK) Estimation window Investment Forecast window Investment growth Growth in aggregate petroleum investment Lorentzen & Osmundsen Petroleum investment 6 / 14
17 Descriptive Statistic Dependent variables Figure: Crude oil price Crude oil (Brent) price (USD/bbl.) Oil price Oil price growth Logarithmic return of crude oil Lorentzen & Osmundsen Petroleum investment 7 / 14
18 Descriptive Statistic Dependent variables Figure: Realized volatility Realized volatility of crude oil Lorentzen & Osmundsen Petroleum investment 7 / 14
19 Descriptive Statistic Dependent variables Figure: Exploration wells Number of explorations wells (Wildcat & Appraisal) Lorentzen & Osmundsen Petroleum investment 7 / 14
20 Methodology Autoregressive Distributed Lag (ADL) model. Lorentzen & Osmundsen Petroleum investment 8 / 14
21 Methodology Autoregressive Distributed Lag (ADL) model. Pseudo-out-of-sample forecast. Lorentzen & Osmundsen Petroleum investment 8 / 14
22 Methodology Autoregressive Distributed Lag (ADL) model. Pseudo-out-of-sample forecast. Re-specified and estimated for every subsample using information criteria. Lorentzen & Osmundsen Petroleum investment 8 / 14
23 Methodology Autoregressive Distributed Lag (ADL) model. Pseudo-out-of-sample forecast. Re-specified and estimated for every subsample using information criteria. Forecast accuracy evaluated with loss functions. Lorentzen & Osmundsen Petroleum investment 8 / 14
24 Methodology Autoregressive Distributed Lag (ADL) model. Pseudo-out-of-sample forecast. Re-specified and estimated for every subsample using information criteria. Forecast accuracy evaluated with loss functions. Statistical significance is evaluated with Diebold-Mariano test and Hansen-Lunde model confidence set procedure. Lorentzen & Osmundsen Petroleum investment 8 / 14
25 Methodology Autoregressive Distributed Lag (ADL) model. Pseudo-out-of-sample forecast. Re-specified and estimated for every subsample using information criteria. Forecast accuracy evaluated with loss functions. Statistical significance is evaluated with Diebold-Mariano test and Hansen-Lunde model confidence set procedure. Dependent variable: growth in aggregate petroleum investment on the NCS. Lorentzen & Osmundsen Petroleum investment 8 / 14
26 Methodology Autoregressive Distributed Lag (ADL) model. Pseudo-out-of-sample forecast. Re-specified and estimated for every subsample using information criteria. Forecast accuracy evaluated with loss functions. Statistical significance is evaluated with Diebold-Mariano test and Hansen-Lunde model confidence set procedure. Dependent variable: growth in aggregate petroleum investment on the NCS. Independent variables: change in crude oil price, crude oil realized volatility & change in USD/NOK exchange rate. Lorentzen & Osmundsen Petroleum investment 8 / 14
27 Methodology Autoregressive Distributed Lag (ADL) model. Pseudo-out-of-sample forecast. Re-specified and estimated for every subsample using information criteria. Forecast accuracy evaluated with loss functions. Statistical significance is evaluated with Diebold-Mariano test and Hansen-Lunde model confidence set procedure. Dependent variable: growth in aggregate petroleum investment on the NCS. Independent variables: change in crude oil price, crude oil realized volatility & change in USD/NOK exchange rate. y t ln(investment t) ln(investment t 1) (1) ( p q r ) y t = α + β iy t i + γ jk x jt k + u t (2) i=1 j=0 k=1 Number of models tested = m + q ( ) m i+1 q = 500 (3) i Lorentzen & Osmundsen Petroleum investment 8 / 14 i=1
28 Results Table: Regression result Independent variable ln(investment t) ln(investment t 1) 0.278*** ln(investment t 2) (-1.64) ln(investment t 3) 0.280*** ln(crudeoil t 1) ln(crudeoil t 2) 0.151* ln(realizedvolatility t 1) *** (-3.47) Constant N 42 R Lorentzen & Osmundsen Petroleum investment 9 / 14
29 Results Table: Loss functions & Diebold-Mariano test RMSE MAE ME Hit rate MZ-r 2 Forecast models National budget (0.20;0.96) (0.23;0.78) AIC (0.02;0.01) (0.00;0.11) AICc (0.01;0.29) (0.00;0.47) HQIC (0.04;0.06) (0.02;0.24) BIC (0.05;0.11) (0.01;0.33) Adj. R (0.02;0.00) (0.01;0.07) Combined (0.02;0.02) (0.00;0.14) Benchmark models Extrapolation No Change Lorentzen & Osmundsen Petroleum investment 10 / 14
30 Results Iteration Table: Hansen-Lunde Model Confidence Set procedure RMSE MAE T-Max TR T-Max TR 1 Extrapolation Extrapolation Extrapolation Extrapolation 2 NB NB NB NB 3 No Change No Change No Change No Change 4 AICc AICc AICc AICc 5 BIC Lorentzen & Osmundsen Petroleum investment 11 / 14
31 Results Figure: Forecast accuracy of national budget Growth in aggregate petroleum investment Actual National Budget Lorentzen & Osmundsen Petroleum investment 12 / 14
32 Results Figure: Forecast accuracy of AIC specified ADL Growth in aggregate petroleum investment Actual AIC ME = RMSE = MAE = MAPE = Hit rate = 0.70 MZ-R 2 = 0.49 Lorentzen & Osmundsen Petroleum investment 12 / 14
33 Results Figure: Comparison between national budget & ADL Forecast error (percentage point) National Budget AIC Lorentzen & Osmundsen Petroleum investment 12 / 14
34 Summary Findings: National budget does not significantly outperform the benchmark models. Autoregresive Distributed Lag models tend to significantly outperform the National budget and both benchmark models. Implications: Growth in oil and gas investment on the NCS can be forecasted. Oil price, realized volatility of oil price and number of exploration wells as predictors of investment growth provide insight. Lorentzen & Osmundsen Petroleum investment 13 / 14
35 Q&A Thank you for your attention! (Any questions?) Lorentzen & Osmundsen Petroleum investment 14 / 14
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