 Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures pricesRobert Kaufmann and Ben Ullman Energy Economics, 2009, vol. 31, issue 4, 550-558 Abstract: A consensus that the world oil market is unified begs the question, where do innovations in oil prices enter the market? Here we investigate where changes in the price of crude oil originate and how they spread by examining causal relationships among prices for crude oils from North America, Europe, Africa, and the Middle East on both spot and futures markets. Results indicate that innovations first appear in spot prices for Dubai-Fateh and spread to other spot and futures prices while other innovations first appear in the far month contract for West Texas Intermediate and spread to other exchanges and contracts. Links between spot and futures markets are relatively weak and this may have allowed the long-run relationship between spot and future prices to change after September 2004. Together, these results suggest that market fundamentals initiated a long-term increase in oil prices that was exacerbated by speculators, who recognized an increase in the probability that oil prices would rise over time. Keywords: Oil; prices; Oil; markets; Causal; relationships; Spot; prices; Futures; prices (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:31:y:2009:i:4:p:550-558 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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