基于时间序列的原油期货价格和现货价格的动态关系外文翻译.docx

基于时间序列的原油期货价格和现货价格的动态关系外文翻译.docx

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基于时间序列的原油期货价格和现货价格的动态关系外文翻译

基于时间序列的原油期货价格和现货价格的动态关系【外文翻译】

外文题目:

Time-varyingspotandfuturesoilpricesdynamics出处:

WorkingPaper

作者:

GuglielmoMariaCaporale，DavideCiferriAlessandroGirardi原文:

Time-varyingspotandfuturesoilpricesdynamicsAbstractWeinvestigatetheroleofcrudeoilspotandfuturespricesintheprocessofpricediscoverybyusingacost-of-carrymodelwithanendogenousconvenienceyieldanddailydataovertheperiodfromJanuary1990toDecember2008.Weprovideevidencethatfuturesmarketsplayamoreimportantrolethanspotmarketsinthecaseofcontractswithshortermaturitiesbuttherelativecontributionofthetwotypesofmarketturnsouttobehighlyunstableespeciallyforthemostdeferredcontracts.Theimplicationsoftheseresultsforhedgingandforecastingcrudeoilspotpricesarealsodiscussed.Keywords:

CointegrationOilmarketFuturespricesPriceDiscoveryDespitetheincreasingeffortsaimedatredirectingbothpublicandprivateinvestmenttowardsbusinessesandinfrastructurelessdependentonnaturalresourcesdevelopmentsintheoilmarketstillrepresentakeyissueforpolicymakersandinvestors.TherecentsharpriseinoilpricesfuelledbybuoyantmarketsBrazilChinaandIndiaaswellasbysimultaneoussupplydisruptionsinanumberofoilexportingcountriesIraqNigeriaVenezuelaandterroristattackshasincreaseddemandforhedgingandpriceriskmanagementoperations.Inresponsetosoaringoilpricelevelsandvolatilitythefinancialindustryhasdevisedagrowingvarietyofhighlynon-standardisedderivativecontractsalbeitfuturescontractsremainoneofthemostpopulartoolsforriskmanagementinoilmarkets.Spotandfuturespricesareexpectedtobelinkedtoeachotherinthelong-runonthebasisofanumberoftheoreticalmodels.Amongthevarioustheoriesexplainingthespot-futuresrelationshipthetheoryofstorageKaldor1939hasreceivedsubstantialempiricalvalidationLautier2005.Inthistheoreticalset-upfuturespriceshouldbeequaltothespotpriceplusthecostofcarrythesumofthecostofstorageandtheinterestrateandtheconvenienceyieldthatisthebenefitfromholdingspotoilwhichaccruestotheownerofthespotcommodity.SincethestudyofGarbadeandSilver1983awidelyrecognisedbenefitoffuturesmarketshasbeentheprocessofcompetitivepricediscoverythatistheuseoffuturespricesforpricingspotmarkettransactionsthroughthetimelyincorporationintomarketpricesofheterogeneousprivateinformationorheterogeneousinterpretationofpublicinformationbywayoftradingactivityLehmann2002.Inthepresentstudyweallowforpossibleparameterinstabilityintheadjustmentprocesstowardsthelong-runequilibriumtherebymakinganovelcontributiontotheempiricalliteratureontherelationshipbetweenspotandfuturespricesintheoilmarketSilvapulleandMoosa1999McAleerandSequiera2004andonthekeyroleoffuturesmarketsintheprocessofpricediscoveryforbothconsumptionandinvestmentcommoditiesYangetal.2001Figuerola-FerrettiandGilbert2005amongothers.Specificallyweemployanaugmentedcost-of-carrymodelwithanendogenousconvenienceyieldFiguerola-FerrettiandGonzalo2008andtheKalmanfilterbasedapproachofBarassietal.2005inordertoinvestigatewhetherthespotandfuturemarketscontributiontopricediscoveryvariesovertime.Usingdailydataonoilspotpricesaswellasthepricesof1-2-3-4-monthfuturescontractsovertheperiodfromJanuary21990toDecember312008weinvestigatetowhatextentspotandfuturesmarketscontributetopricediscoveryandwhethertheirrelativecontributionsvaryovertime.Wefindthatspotandfuturespricesarelinkedtoeachotherbyalong-runrelationshipcharacterisedbysymmetryandproportionalitybetweenthetwoprices.BasedonthemetricsproposedbyHarrisetal.19952002wealsoshowthatbothmarketsare

importantforthedisclosureofthefullinformationprice.Onaveragefuturesmarketstendtodominatethespotmarketintermsofpricediscoveryfortheshortestmaturitiesbuttherelativecontributionofthetwomarketsturnsouttobehighlyunstableespeciallyforthemostdeferredcontracts.Thepaperisorganisedasfollows.Section2presentsthetheoreticalframeworkweusetoderivetime-varyingmeasuresofthevariousmarkets’

contributiontopricediscovery.Section3discussesthedatasetandsomepreliminaryresults.Section4reportsthemainempiricalfindings.Section5offerssomeconcludingremarks.ThedatasetincludesdailyobservationsofspotpricesSofWestTexasIntermediateWTICrudeaswellasfourdailytimeseriesofpricesofNYMEXfuturescontractswithamaturityof1monthF12monthsF23monthsF3and4monthsF4writtenonWTICrudewithdeliveryinCushingOklahomaovertheperiodfromJanuary21990toDecember312008.ThedatasetisobtainedfromtheUSEnergyInformationAdministrationEIA.AccordingtothedefinitionsprovidedbyEIA2008bothspotandfuturespricesaretheofficialdailyclosingpricesat2.30pmfromthetradingflooroftheNYMEXforaspecificdeliverymonthforeachproductlisted.Eachfuturescontractexpiresonthethirdbusinessdaypriortothe25thcalendardayofthemonthpreceedingthedeliverymonth.AsabackgroundtothediscussionFigure1presentsdailyspotpricesversusfuturespricesfordifferentmaturities.Closeoverlappingoftheseriescanbenotedalthoughtherearesomedivergenciesespeciallyinthecaseofthemostdeferredcontract.Theevolutionovertimeoftheseriesindicatesthatsmallshocksaffectedthemeanvalueofpricesoverthenineties.Afterreachingtheirminimumlevel13USperbarrelin1998oilpricesincreaseddramaticallyandbecamemorevolatileoverthesubsequentdecade.Inmid-2008theyreachedtheirmaximummorethan145USperbarrelandthenasharpfallfolloweddowntoalevelof44USperbarrelattheendof2008.Table1reportssomedescriptivestatisticsnamelyfirstandsecondmomentsforthelog-seriesbothinlevelsandinfirstdifferences.Spotandfuturespricesappeartomoveclosely.Thefollowingisalsonoteworthy:

ithefirstmomentofthelogofoilpricesindicatesthatthemarketisinbackwardationaspreviouslydocumentedbyEdwardsandCanters1995andLitzenbergandRabinowitz1995amongothers;iipricemovementsin

thespotmarketarelargerandmoreerraticthanthoseforfuturespricessuggestingthatpositiveshockstodemandforspotcommoditiestendtoincreaseconvenienceyieldsFamaandFrench1988iiithesecondmomentoffuturespricesdeclineswithmaturityconsistentlywiththeSamuelsoneffectSamuelson1965accordingtowhichashockaffectingthenearbycontractpricehasanimpactonfollowingpricesthatdecreasesasthematurityincreasesiv）thecorrelationbetweenspotandfuturespricesdecreases

monotonicallywiththematurityofcontracts.Asimilarconclusionholdswhenthevariablesinfirstdifferencesareconsidered.Theonlyexceptionconcernstheaveragegrowthratesoffuturespriceswhichturnouttobegreaterthantheaveragerateofchangeforspotpricessuggestingsomedegreeofconvergencebetweenpricesoverthesample.InordertoassessthestochasticpropertiesofthevariableswecheckforthepresenceofaunitrootineachseriesbymeansoftheDF-GLStestElliottetal.1996allowingforaninterceptasthedeterministiccomponent.AsreportedinTable2thenullofaunitrootcanberejectedatconventionallevelsofsignificanceinallcases.Ontheotherhandfirst-differencingtheseriesappearstoinducestationarity.TheKPSSKwiatkowskietal.1992stationaritytestcorroboratestheseconclusions.GiventheevidenceofI1-nessforallindividualseriestestingforcointegrationbetweenspotpricesandfuturespriceseriesis

thelogicalnextstepintheempiricalanalysisThispaperinvestigatestherelativecontributionofspotandfuturesmarketstooilpricediscoveryandwhetherthesecontributionsvaryovertime.Regardinghedgingourfindingsimplythatusingfuturesforhedgingaspotpositiononcrudeoilismoreeffectiveinthecaseof1-monthor2-monthcontractsratherthanthosewithlongermaturities.EssentiallythehighercorrelationbetweenspotpricesandfuturespriceswithshortmaturitiesoutweighsthelowervolatilityoffuturespricesforthemostdeferredderivativeinstrumentsasalsodocumentedbyRippleandMoosa2005.AsforforecastingcointegrationbetweentwopricesimpliesthateachmarketcontainsinformationonthecommonstochastictrendsbindingpricestogetherandthereforethepredictabilityofeachmarketcanbeenhancedbyusinginformationcontainedintheothermarketGranger1986.OurresultsindicatethatinallcasesbutModel3pricediscoveryoccursinonlyoneindividualmarketwhichactsasalong-runweaklyexogenousdrivingvariableforthesystem.Thisfindingsuggeststhatindeedvaluableinformationforforecastingspotcrudeoilpricesisembeddedinthelong-runspot-futuresrelationshipseeCoppola2008amongothersbutalsothatitisconcentratedmainlyin1-monthand2-monthfuturecontracts.Thepresentstudycouldbeextentedbyanalysingthefactorsbehindthetimevariationintheestimatedtime-varyingpricediscoverymeasures.ApossibleexplanationisthatcrudeoilfundamentalsevolvedduetorobusteconomicgrowthworldwideaswellascapacityconstraintsincrudeoilextractionHamilton2008.AnotherextensioncouldinvestigatethechangesintheoilfuturesmarketcausedbythearrivalofnewtypesofmarketplayersforinstancefinancialtradersandenergyfundswhichmayhaveaffectedtheinformationcontentoffuturesmarketsintermsofpricediscoveryBaakandCroitoru2006.Theseissuesareleftforfutureresearch.译文:

基于时间序列的原油期货价格和现货价格的动态关系摘要

我们用仓储成本模型来调查原油现货价格和期货价格在价格发现过程中的作用，数

据选自1990年1月至20