Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/38954
Authors: 
Caporale, Guglielmo Maria
Ciferri, Davide
Girardi, Alessandro
Year of Publication: 
2010
Series/Report no.: 
CESifo working paper Monetary Policy and International Finance 3015
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

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