基于时间序列的原油期货价格和现货价格的动态关系[文献翻译].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 dynamics Abstract We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important role than spot markets in the case of contracts with shorter maturities, but the relative contribution of the two types of market turns out to be highly unstable, especially for the most deferred contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed. Keywords: Cointegration, Oil market, Futures prices, Price Discovery Despite the increasing efforts aimed at redirecting both public and private investment towards businesses and infrastructure less dependent on natural resources, developments in the oil market still represent a key issue for policy makers and investors. The recent sharp rise in oil prices fuelled by buoyant markets (Brazil, China and India) as well as by simultaneous supply disruptions in a number of oil exporting countries (Iraq, Nigeria, Venezuela) and terrorist attacks has increased demand for hedging and price risk management operations. In response to soaring oil price levels and volatility, the financial industry has devised a growing variety of (highly non-standardised) derivative contracts, albeit futures contracts remain one of the most popular tools for risk management in oil markets. Spot and futures prices are expected to be linked to each other in the long-run on the basis of a number of theoretical models. Among the various theories explaining the spot-futures relationship, the theory of storage (Kaldor, 1939) has rece