An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009

Mileno Cavalcante ()

MPRA Paper from University Library of Munich, Germany

Abstract: The main objective of this paper is to analyze the behavior of the term structure of the WTI futures market between 2002 and 2009, period known by a sustained price rise followed by a price slump and again by a new price rise. To achieve this goal, we use Principal Component Analysis (PCA) to decompose WTI futures price series into components which are used to explain series variability (e.g. changes in its term structure). After it, we try to identify how changes in oil markets fundamentals (physical and financial) may have contributed to oil futures term structure variability. The impact of these variables on WTI term structure is assessed using impulse-response functions and variance decomposition analysis. This work is of interest to market analysts, hedgers, and traders, among others, because it helps to clarify how changes in oil markets may affect their strategies in these markets.

Keywords: WTI Term Structure; Principal Components Analysis; VARXs Models; Futures Pricing; Oil Market Fundamentals (search for similar items in EconPapers)
JEL-codes: C14 C32 G13 Q49 (search for similar items in EconPapers)
Date: 2010-08-01
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/24263/1/MPRA_paper_24263.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/30591/1/MPRA_paper_30591.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/30591/2/An_Analysi ... Repec_Abril_2011.pdf revised version (application/pdf)

Related works:
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:pra:mprapa:24263

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().