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Title:Time-varying spot and futures oil price dynamics PDF Logo
Authors:Caporale, Guglielmo Maria
Ciferri, Davide
Girardi, Alessandro
Issue Date:2010
Series/Report no.:Discussion papers // German Institute for Economic Research 988
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.
Subjects:Cointegration
oil market
futures prices
price discovery
JEL:C32
C51
G13
G14
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des DIW
DIW-Diskussionspapiere

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