The Dynamics of Crude Oil Spot and Futures Markets


Arslan-Ayaydin O., Khagleeva I.

ENERGY ECONOMICS AND FINANCIAL MARKETS, ss.159-173, 2013 (SSCI İndekslerine Giren Dergi) identifier

  • Cilt numarası:
  • Basım Tarihi: 2013
  • Doi Numarası: 10.1007/978-3-642-30601-3_9
  • Dergi Adı: ENERGY ECONOMICS AND FINANCIAL MARKETS
  • Sayfa Sayıları: ss.159-173

Özet

This chapter centers on the question of whether futures markets can be used in the competitive price discovery in crude oil markets. On the one hand, the survey in this chapter uncovers considerable evidence on the theoretical perspective that future prices of crude oil is equal to the spot price of crude oil, plus the cost of carry plus the endogenous convenience yield. On the other hand, through the empirical findings built on the Alquist and Kilian (2010) model, this chapter concurs with the previous studies documenting that futures crude oil prices are uninformative for forecasting spot crude oil prices.