Time-varying spot and futures oil price dynamics

Guglielmo Maria Caporale, Davide Ciferri and Alessandro Girardi

No 75/2010, Quaderni del Dipartimento di Economia, Finanza e Statistica from Università di Perugia, Dipartimento Economia

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. (search for similar items in EconPapers)
JEL-codes: C32 C51 G13 G14 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2010-07-01
New Economics Papers: this item is included in nep-cwa, nep-ene, nep-for, nep-ind and nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www2.ec.unipg.it/quaderni/qd75web.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www2.ec.unipg.it:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
Journal Article: Time-Varying Spot and Futures Oil Price Dynamics (2014)
Working Paper: Time-Varying Spot and Futures Oil Price Dynamics (2010)
Working Paper: Time-Varying Spot and Futures Oil Price Dynamics (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pia:wpaper:75/2010

Access Statistics for this paper

More papers in Quaderni del Dipartimento di Economia, Finanza e Statistica from Università di Perugia, Dipartimento Economia Contact information at EDIRC.
Bibliographic data for series maintained by Ubaldo Pizzoli ().