基于时间序列的原油期货价格和现货价格的动态关系【外文翻译】.docVIP

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 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 types 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 redirecting 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 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 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 explainingthe 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 pri