Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/24580 
Year of Publication: 
2002
Series/Report no.: 
ZEW Discussion Papers No. 02-59
Publisher: 
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim
Abstract: 
We show that, since the inception of energy futures markets, prices have on average exhibited backwardation. Normal backwardation has also been the norm, but, because of the low power of the standard tests, most researchers have concluded that the unbiased expectations model cannot be rejected. The fact that backwardation has been and (though somewhat more weakly) continues to be prevalent makes MGRM?s strategy of hedging long-term supply commitments with short-dated futures contracts look somewhat better than previous observers have argued. That said, it should be re-stressed that their strategy was a highly speculative one and its unraveling should have come as no great surprise.
Document Type: 
Working Paper

Files in This Item:
File
Size
306.31 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.