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1、外文题目： Time-varying spot and futures oil prices dynamics出 处： Working Paper作 者：Guglielmo Maria Caporale，Davide CiferriAlessandro Girardi原 文： Time-varying spot and futures oil prices dynamicsAbstract We investigate the role of crude oil spot and futures prices in the process of pricediscovery by using
2、a cost-of-carry model with an endogenous convenience yield anddaily data over the period from January 1990 to December 2008. We provideevidence that futures markets play a more important role than spot markets in the caseof contracts with shorter maturities but the relative contribution of the two t
3、ypes ofmarket turns out to be highly unstable especially for the most deferred contracts. Theimplications of these results for hedging and forecasting crude oil spot prices are alsodiscussed.Keywords: Cointegration Oil market Futures prices Price Discovery Despite the increasing efforts aimed at red
4、irecting both public and privateinvestment towards businesses and infrastructure less dependent on natural resourcesdevelopments in the oil market still represent a key issue for policy makers andinvestors. The recent sharp rise in oil prices fuelled by buoyant markets Brazil Chinaand India as well
5、as by simultaneous supply disruptions in a number of oil exportingcountries Iraq Nigeria Venezuela and terrorist attacks has increased demand forhedging and price risk management operations. In response to soaring oil price levelsand volatility the financial industry has devised a growing variety of
6、 highlynon-standardised derivative contracts albeit futures contracts remain one of the mostpopular tools for risk management in oil markets. Spot and futures prices are expected to be linked to each other in the long-run onthe basis of a number of theoretical models. Among the various theories expl
7、ainingthe spot-futures relationship the theory of storage Kaldor 1939 has receivedsubstantial empirical validation Lautier 2005. In this theoretical set-up futures priceshould be equal to the spot price plus the cost of carry the sum of the cost of storageand the interest rate and the convenience yi
8、eld that is the benefit from holding spotoil which accrues to the owner of the spot commodity. Since the study of Garbadeand Silver 1983 a widely recognised benefit of futures markets has been the processof competitive price discovery that is the use of futures prices for pricing spot markettransact
9、ions through the timely incorporation into market prices of heterogeneousprivate information or heterogeneous interpretation of public information by way oftrading activity Lehmann 2002. In the present study we allow for possible parameter instability in the adjustmentprocess towards the long-run eq
10、uilibrium thereby making a novel contribution tothe empirical literature on the relationship between spot and futures prices in the oilmarket Silvapulle and Moosa 1999 McAleer and Sequiera 2004 and on the keyrole of futures markets in the process of price discovery for both consumption andinvestment
11、 commodities Yang et al. 2001 Figuerola-Ferretti and Gilbert 2005among others. Specifically we employ an augmented cost-of-carry model with anendogenous convenience yield Figuerola-Ferretti and Gonzalo 2008and the Kalmanfilter based approach of Barassi et al. 2005 in order to investigate whether the
12、 spotand future markets contribution to price discovery varies over time. Using daily data on oil spot prices as well as the prices of 1- 2- 3- 4-monthfutures contracts over the period from January 2 1990 to December 31 2008 weinvestigate to what extent spot and futures markets contribute to price d
13、iscovery andwhether their relative contributions vary over time. We find that spot and futuresprices are linked to each other by a long-run relationship characterised by symmetryand proportionality between the two prices. Based on the metrics proposed by Harriset al. 1995 2002 we also show that both
14、 markets are important for the disclosure ofthe full information price. On average futures markets tend to dominate the spotmarket in terms of price discovery for the shortest maturities but the relativecontribution of the two markets turns out to be highly unstable especially for the mostdeferred c
15、ontracts. The paper is organised as follows. Section 2 presents the theoretical frameworkwe use to derive time-varying measures of the various markets contribution to pricediscovery. Section 3 discusses the dataset and some preliminary results. Section 4reports the main empirical findings. Section 5
16、 offers some concluding remarks. The dataset includes daily observations of spot prices S of West TexasIntermediate WTI Crude as well as four daily time series of prices of NYMEXfutures contracts with a maturity of 1 month F1 2 monthsF2 3 months F3and 4 monthsF4 written on WTI Crude with delivery in Cushing Oklahoma overthe period from January 2 1990 to December 31 2008. The dataset is obtained fromthe US Energy Information Administration EIA. According to the definitionsprovided by EIA 2008 b
