Which risk factors drive oil futures price curves?

Matthew Ames, Guillaume Bagnarosa, Tomoko Matsui, Gareth W. Peters and Pavel V. Shevchenko

Energy Economics, 2020, vol. 87, issue C

Abstract: We develop extensions that introduce regression structure to the multi-factor stochastic models of commodity futures price term structure dynamics. We demonstrate the accuracy with which these models can be calibrated to oil futures data and how they improve on existing models both in model fit and in model interpretation. We found leading observable factors that contribute to explaining the term structure of oil futures, in the presence of long and short term stochastic factors, included the dollar index, inventories, commodity indices and risk aversion associated to financial intermediaries. Furthermore, we determine the time frame on which these factors are explanatory.

Keywords: Crude oil futures; Theory of storage; Theory of normal backwardation; Hedging pressure; Futures Term structure (search for similar items in EconPapers)
JEL-codes: G13 Q02 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300153

DOI: 10.1016/j.eneco.2020.104676

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