کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5064818 1476723 2013 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The role of trader positions in spot and futures prices for WTI
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
پیش نمایش صفحه اول مقاله
The role of trader positions in spot and futures prices for WTI
چکیده انگلیسی


- Cointegrating relation includes spot and futures prices, stocks, and trader positions.
- Loadings of cointegrating relation suggest a bi-directional adjustment process.
- Bi-directional relation expands the previous unidirectional causal relation.
- Price discovery occurs in the market for heavily traded near-month futures markets.
- Results identify mechanisms by which speculation can affect oil prices.

We extend the analysis of causal relations between trader positions and oil prices and the process of price discovery by estimating a cointegrating vector autoregression (CVAR) model that expands the cash-and-carry relation between spot and futures prices to quantify long- and short-run relations among oil prices, trader positions, interest rates, and oil inventories. Results indicate that oil inventories and trader positions are needed to generate cointegration between spot and futures prices. The presence of trader positions and oil inventories suggest that both play a role in price discovery. Furthermore, the cointegrating relation for price loads into the equation for both oil prices and trader positions. This suggests a bi-directional simultaneous adjustment process between oil prices and trader positions. This expands the unidirectional causal relation from oil prices to trader positions that is generated by previous studies. Additional results suggest that price discovery occurs in the market for heavily traded near-month futures contracts, but discovery for thin far-month futures markets occurs in the spot market. Together, these results suggest mechanisms by which speculation could affect oil prices but the results presented here are moot regarding their effects.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 40, November 2013, Pages 176-182
نویسندگان
, ,