基于时间序列的原油期货价格和现货价格的动态关系[文献翻译]

1、外文题目： Time-varying spot and futures oil prices dynamics 出 处： Working Paper 作 者：Guglielmo Maria Caporale，Davide Ciferri,Alessandro Girardi 原 文：Time-varying spot and futures oil prices dynamicsAbstractWe investigate the role of crude oil spot and futures prices in the process of price discovery by usi

2、ng a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2021. 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 th

3、e 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.Keywords: Cointegration, Oil market, Futures prices, Price DiscoveryDespite the increasing efforts

4、 aimed at redirecting both public and private investment towards businesses and infrastructure less dependent on natural resources, developments in the oil market still represent a key issue for policy makers and investors. The recent sharp rise in oil prices fuelled by buoyant markets (Brazil, Chin

5、a and India) as well as by simultaneous supply disruptions in a number of oil exporting countries (Iraq, Nigeria, Venezuela) and terrorist attacks has increased demand for hedging and price risk management operations. In response to soaring oil price levels and volatility, the financial industry has

6、 devised a growing variety of (highly non-standardised) derivative contracts, albeit futures contracts remain one of the most popular tools for risk management in oil markets.Spot and futures prices are expected to be linked to each other in the long-run on the basis of a number of theoretical model

7、s. Among the various theories explaining the spot-futures relationship, the theory of storage (Kaldor, 1939) has received substantial empirical validation (Lautier, 2005). In this theoretical set-up, futures price should be equal to the spot price plus the cost of carry (the sum of the cost of stora

8、ge and the interest rate) and the convenience yield (that is, the benefit from holding spot oil which accrues to the owner of the spot commodity). Since the study of Garbade and Silver (1983), a widely recognised benefit of futures markets has been the process of competitive price discovery, that is

9、 the use of futures prices for pricing spot market transactions through the timely incorporation into market prices of heterogeneous private information or heterogeneous interpretation of public information by way of trading activity (Lehmann, 2002).In the present study, we allow for possible parame

10、ter instability in the adjustment process towards the long-run equilibrium, thereby making a novel contribution to the empirical literature on the relationship between spot and futures prices in the oil market (Silvapulle and Moosa, 1999; McAleer and Sequiera, 2004) and on the key role of futures ma

11、rkets in the process of price discovery for both consumption and investment commodities (Yang et al. 2001; Figuerola-Ferretti and Gilbert, 2005, among others). Specifically, we employ an augmented cost-of-carry model with an endogenous convenience yield (Figuerola-Ferretti and Gonzalo, 2021)and the

12、Kalman filter based approach of Barassi et al. (2005) in order to investigate whether the spot and future markets contribution to price discovery varies over time.Using daily data on oil spot prices as well as the prices of 1-, 2-, 3-, 4-month futures contracts over the period from January 2, 1990 t

13、o December 31, 2021, we investigate to what extent spot and futures markets contribute to price discovery and whether their relative contributions vary over time. We find that spot and futures prices are linked to each other by a long-run relationship characterised by symmetry and proportionality be

14、tween the two prices. Based on the metrics proposed by Harris et al. (1995, 2002), we also show that both markets are important for the disclosure of the full information price. On average, futures markets tend to dominate the spot market in terms of price discovery for the shortest maturities, but

15、the relative contribution of the two markets turns out to be highly unstable, especially for the most deferred contracts.The paper is organised as follows. Section 2 presents the theoretical framework we use to derive time-varying measures of the various markets contribution to price discovery. Sect

16、ion 3 discusses the dataset and some preliminary results. Section 4 reports the main empirical findings. Section 5 offers some concluding remarks.The dataset includes daily observations of spot prices, S, of West Texas Intermediate (WTI) Crude as well as four daily time series of prices of NYMEX fut

17、ures contracts (with a maturity of 1 month, F(1) , 2 months,F(2), 3 months, F(3), and 4 months,F(4) written on WTI Crude with delivery in Cushing, Oklahoma over the period from January, 2 1990 to December, 31 2021. The dataset is obtained from the US Energy Information Administration (EIA). Accordin

18、g to the definitions provided by EIA (2021), both spot and futures prices are the official daily closing prices at 2.30pm from the trading floor of the NYMEX for a specific delivery month for each product listed. Each futures contract expires on the third business day prior to the 25th calendar day

19、of the month preceeding the delivery month.As a background to the discussion, Figure 1 presents daily spot prices versus futures prices for different maturities. Close overlapping of the series can be noted, although there are some divergencies, especially in the case of the most deferred contract.

20、The evolution over time of the series indicates that small shocks affected the mean value of prices over the nineties. After reaching their minimum level (13 US$ per barrel) in 1998, oil prices increased dramatically and became more volatile over the subsequent decade. In mid-2021 they reached their

21、 maximum (more than 145 US$ per barrel), and then a sharp fall followed, down to a level of 44 US$ per barrel at the end of 2021.Table 1 reports some descriptive statistics, namely first and second moments for the log-series both in levels and in first differences. Spot and futures prices appear to

22、move closely. The following is also noteworthy: i) the first moment of the log of oil prices indicates that the market is in backwardation, as previously documented by Edwards and Canters (1995) and Litzenberg and Rabinowitz (1995), among others；ii) price movements in the spot market are larger and

23、more erratic than those for futures prices, suggesting that positive shocks to demand for spot commodities tend to increase convenience yields (Fama and French, 1988); iii) the second moment of futures prices declines with maturity, consistently with the Samuelson effect (Samuelson, 1965), according

24、 to which a shock affecting the nearby contract price has an impact on following prices that decreases as the maturity increases;ivthe correlation between spot and futures prices decreases monotonically with the maturity of contracts. A similar conclusion holds when the variables in first difference

25、s are considered. The only exception concerns the average growth rates of futures prices which turn out to be greater than the average rate of change for spot prices, suggesting some degree of convergence between prices over the sample.In order to assess the stochastic properties of the variables, w

26、e check for the presence of a unit root in each series by means of the DF-GLS test (Elliott et al., 1996), allowing for an intercept as the deterministic component. As reported in Table 2, the null of a unit root can be rejected at conventional levels of significance in all cases. On the other hand,

27、 first-differencing the series appears to induce stationarity. The KPSS (Kwiatkowski et al., 1992) stationarity test corroborates these conclusions. Given the evidence of I (1)-ness for all individual series, testing for cointegration between spot prices and futures price series is the logical next

28、step in the empirical analysisThis paper investigates the relative contribution of spot and futures markets to oil price discovery and whether these contributions vary over time.Regarding hedging, our findings imply that using futures for hedging a spot position on crude oil is more effective in the

29、 case of 1-month or 2-month contracts, rather than those with longer maturities. Essentially, the higher correlation between spot prices and futures prices with short maturities outweighs the lower volatility of futures prices for the most deferred derivative instruments, as also documented by Rippl

30、e and Moosa (2005). As for forecasting, cointegration between two prices implies that each market contains information on the common stochastic trends binding prices together, and therefore the predictability of each market can be enhanced by using information contained in the other market (Granger,

31、 1986). Our results indicate that in all cases (but Model 3) price discovery occurs in only one individual market which acts as a long-run (weakly exogenous) driving variable for the system. This finding suggests that indeed valuable information for forecasting spot crude oil prices is embedded in t

32、he long-run spot-futures relationship (see Coppola 2021, among others), but also that it is concentrated mainly in 1-month and 2-month future contracts.The present study could be extented by analysing the factors behind the time variation in the estimated time-varying price discovery measures. A pos

33、sible explanation is that crude oil fundamentals evolved due to robust economic growth worldwide as well as capacity constraints in crude oil extraction (Hamilton, 2021). Another extension could investigate the changes in the oil futures market caused by the arrival of new types of market players (f

34、or instance, financial traders and energy funds) which may have affected the information content of futures markets in terms of price discovery (Baak and Croitoru, 2006). These issues are left for future research.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本钱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2021年12月期间的

35、内在便利收益率和每日数据。我们提出在较短期合同的情况下，期货市场比现货市场发挥更重要的作用，但是这两种市场的相对奉献是极其不稳定的，尤其是在最递延合同。同时对套期保值和预测现货价格的结果的影响也进行了讨论。关键词:协整、石油市场,期货价格,价格发现尽管公共和私人投资的企业和根底设施都对减少自然资源的依赖为目的努力越来越多，石油市场开展的关键问题仍然表现为决策者和投资者。最近急剧上升的石油价格随着市场活泼(巴西、中国和印度),同时许多石油出口国的供给中断(伊拉克、尼日利亚、委内瑞拉)，恐怖主义袭击事件引发了避险需求增加和价格风险管理操作。在回应高油价水平和波动，金融业已经制定了多种高度非标准化衍

36、生工具合约，尽管期货合约仍然是石油市场风险管理最热门的工具之一。现货和期货价格预计将在大量理论模型的根底上相互联系。在众多解释现货期货关系的理论中，存储理论(Kaldor, 1939)已经得到了大量的验证(Lautier, 2005)。在这个理论的设置中，期货价格应该等于现货价格加上本钱即存储和利率本钱之和和便利收益率即持有现货石油利益而累积到现货商品所有者。从Garbade and Silver (1983)的研究开始，竞争价格发现的过程被广泛的认为是期货市场的益处，这就是利用期货价格通过多样的私人信息和多种公共信息的解释结合市场价格来定价现货交易市场的贸易活动。现在的研究中，我们允许在长期

37、均衡的调整过程中可能的参数不稳定性，从而在研究原油市场上现货和期货价格关系(Silvapulle 和 Moosa, 1999; McAleer和 Sequiera, 2004)和期货市场在对消费和投资商品价格发现过程中的关键作用(Yang等2001; Figuerola-Ferretti 和Gilbert, 2005)的实证文献做出新的奉献。具体来说，我们利用仓储本钱模型，内在便利收益率，卡尔曼滤波来调查现货和期货市场对价格发现的奉献是否随时间的推移而变化。利用从1990年1月2日至2008年12月31日的原油现货价格和1-，2-，3-，4-月的期货合约的日数据，我们调查现货和期货市场对价格发

38、现有什么程度的奉献，以及是否随着时间的推移会有所不同。我们发现现货和期货价格是根据两种价格之间的对称和均衡长期相互关联的。根据Harris等人(1995, 2002)提出的指标，我们还说明，这两个市场对完整信息价格的披露都很重要。平均来说，在最短期限的价格发现方面，期货市场往往主宰了现货市场，但两个市场的相对奉献可谓是极不稳定，特别是最延期合同。本文结构如下，第2节介绍了理论框架，我们得到了随时间变化的市场对价格发现的奉献。第3节讨论了数据收集和一些初步的成果。第4节报告了主要实证研究结果。第5节提供了一些总结。该数据集包括西德克萨斯中质油WTI每日观察现货价格，S，以及4份纽约商品交易所在1990年1月2日至2021年12月31在俄克拉荷马州库欣交易的WTI原油的期货合约的每日价格时间序列与1个月，F(1)，2个月，F(2)，3个月，F(3)，4个月，F(4)到期。数据来自美国能量情报署EIA。根据美国能量情报署提供的信息2021，现货和期货价格是具体交割月的纽约商品交易所交易大厅下午2时30分的每日收盘价。每份期货合同都在交割当月25日前3个交易日到期。作为讨论的背景，图1给出每天的现货价格与不同到期日的期货价格。关闭该系列