Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212181 
Year of Publication: 
2011
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 2/2011
Publisher: 
Bank of Finland, Helsinki
Abstract: 
This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in explaining and forecasting the risk premia in practice. Whilst the existence of the premia and the validity of the models can be established at certain time points, it turns out that the choice of sample period has a considerable effect on he results. Hence, the risk premia are highly timevarying. The study also establishes a model, based on speculative positions in the futures markets, which has some predictive power for future oil spot prices.
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-659-0
Document Type: 
Working Paper

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