期刊
JOURNAL OF BANKING & FINANCE
卷 84, 期 -, 页码 53-67出版社
ELSEVIER
DOI: 10.1016/j.jbankfin.2017.07.006
关键词
Oil futures curve; Inventory; Consumption; Implied volatility; VAR
资金
- ARC [DP 1095177, DP120102239]
- UTS Chair of Finance and Superannuation via the Sydney Financial Forum (Colonial First State Global Asset Management)
- NSW Government
- Association of Superannuation Funds of Australia (ASFA)
- Industry Superannuation Network (ISN)
- Paul Woolley Centre for the Study of Capital Market Dysfunctionality, UTS
Since 2008, the WTI oil futures curve has been positively sloped for extended periods. We test whether changes in inventory alone can explain this atypically long contango. To do this, we estimate monthly VARs of the CME WTI oil futures spread and OECD and U.S. inventory in line with standard theory, and add petroleum consumption and implied volatility to the vector of endogenous variables. When we model the futures spread as one continuous series, results confirm two-way causation between inventory and the futures curve, as predicted by the theory of storage. However when we separate negative and positive futures spreads we find that: two-way causation between the futures spread and U.S. inventory breaks down; shocks to OECD petroleum consumption cause more negative spreads and shocks to U.S. consumption cause more positive spreads in addition to inventory-driven changes; and increases in volatility directly raise positive spreads. These new causal channels have become significant since 2008 and can be related to higher inventory, inelastic supply of oil and uncertainty about global economic conditions. (C) 2017 Elsevier B.V. All rights reserved.
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