基于時(shí)間序列的原油期貨價(jià)格和現(xiàn)貨價(jià)格的動(dòng)態(tài)關(guān)系[文獻(xiàn)翻譯]

1、外文題目： Time-varying spot and futures oil prices dynamics 出 處： 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.譯 文：基于時(shí)間序列的原油期貨價(jià)格和現(xiàn)貨價(jià)格的動(dòng)態(tài)關(guān)系摘要我們用倉(cāng)儲(chǔ)本錢(qián)模型來(lái)調(diào)查原油現(xiàn)貨價(jià)格和期貨價(jià)格在價(jià)格發(fā)現(xiàn)過(guò)程中的作用，數(shù)據(jù)選自1990年1月至2021年12月期間的

35、內(nèi)在便利收益率和每日數(shù)據(jù)。我們提出在較短期合同的情況下，期貨市場(chǎng)比現(xiàn)貨市場(chǎng)發(fā)揮更重要的作用，但是這兩種市場(chǎng)的相對(duì)奉獻(xiàn)是極其不穩(wěn)定的，尤其是在最遞延合同。同時(shí)對(duì)套期保值和預(yù)測(cè)現(xiàn)貨價(jià)格的結(jié)果的影響也進(jìn)行了討論。關(guān)鍵詞:協(xié)整、石油市場(chǎng),期貨價(jià)格,價(jià)格發(fā)現(xiàn)盡管公共和私人投資的企業(yè)和根底設(shè)施都對(duì)減少自然資源的依賴(lài)為目的努力越來(lái)越多，石油市場(chǎng)開(kāi)展的關(guān)鍵問(wèn)題仍然表現(xiàn)為決策者和投資者。最近急劇上升的石油價(jià)格隨著市場(chǎng)活潑(巴西、中國(guó)和印度),同時(shí)許多石油出口國(guó)的供給中斷(伊拉克、尼日利亞、委內(nèi)瑞拉)，恐怖主義襲擊事件引發(fā)了避險(xiǎn)需求增加和價(jià)格風(fēng)險(xiǎn)管理操作。在回應(yīng)高油價(jià)水平和波動(dòng)，金融業(yè)已經(jīng)制定了多種高度非標(biāo)準(zhǔn)化衍

36、生工具合約，盡管期貨合約仍然是石油市場(chǎng)風(fēng)險(xiǎn)管理最熱門(mén)的工具之一?，F(xiàn)貨和期貨價(jià)格預(yù)計(jì)將在大量理論模型的根底上相互聯(lián)系。在眾多解釋現(xiàn)貨期貨關(guān)系的理論中，存儲(chǔ)理論(Kaldor, 1939)已經(jīng)得到了大量的驗(yàn)證(Lautier, 2005)。在這個(gè)理論的設(shè)置中，期貨價(jià)格應(yīng)該等于現(xiàn)貨價(jià)格加上本錢(qián)即存儲(chǔ)和利率本錢(qián)之和和便利收益率即持有現(xiàn)貨石油利益而累積到現(xiàn)貨商品所有者。從Garbade and Silver (1983)的研究開(kāi)始，競(jìng)爭(zhēng)價(jià)格發(fā)現(xiàn)的過(guò)程被廣泛的認(rèn)為是期貨市場(chǎng)的益處，這就是利用期貨價(jià)格通過(guò)多樣的私人信息和多種公共信息的解釋結(jié)合市場(chǎng)價(jià)格來(lái)定價(jià)現(xiàn)貨交易市場(chǎng)的貿(mào)易活動(dòng)?，F(xiàn)在的研究中，我們?cè)试S在長(zhǎng)期

37、均衡的調(diào)整過(guò)程中可能的參數(shù)不穩(wěn)定性，從而在研究原油市場(chǎng)上現(xiàn)貨和期貨價(jià)格關(guān)系(Silvapulle 和 Moosa, 1999; McAleer和 Sequiera, 2004)和期貨市場(chǎng)在對(duì)消費(fèi)和投資商品價(jià)格發(fā)現(xiàn)過(guò)程中的關(guān)鍵作用(Yang等2001; Figuerola-Ferretti 和Gilbert, 2005)的實(shí)證文獻(xiàn)做出新的奉獻(xiàn)。具體來(lái)說(shuō)，我們利用倉(cāng)儲(chǔ)本錢(qián)模型，內(nèi)在便利收益率，卡爾曼濾波來(lái)調(diào)查現(xiàn)貨和期貨市場(chǎng)對(duì)價(jià)格發(fā)現(xiàn)的奉獻(xiàn)是否隨時(shí)間的推移而變化。利用從1990年1月2日至2008年12月31日的原油現(xiàn)貨價(jià)格和1-，2-，3-，4-月的期貨合約的日數(shù)據(jù)，我們調(diào)查現(xiàn)貨和期貨市場(chǎng)對(duì)價(jià)格發(fā)

38、現(xiàn)有什么程度的奉獻(xiàn)，以及是否隨著時(shí)間的推移會(huì)有所不同。我們發(fā)現(xiàn)現(xiàn)貨和期貨價(jià)格是根據(jù)兩種價(jià)格之間的對(duì)稱(chēng)和均衡長(zhǎng)期相互關(guān)聯(lián)的。根據(jù)Harris等人(1995, 2002)提出的指標(biāo)，我們還說(shuō)明，這兩個(gè)市場(chǎng)對(duì)完整信息價(jià)格的披露都很重要。平均來(lái)說(shuō)，在最短期限的價(jià)格發(fā)現(xiàn)方面，期貨市場(chǎng)往往主宰了現(xiàn)貨市場(chǎng)，但兩個(gè)市場(chǎng)的相對(duì)奉獻(xiàn)可謂是極不穩(wěn)定，特別是最延期合同。本文結(jié)構(gòu)如下，第2節(jié)介紹了理論框架，我們得到了隨時(shí)間變化的市場(chǎng)對(duì)價(jià)格發(fā)現(xiàn)的奉獻(xiàn)。第3節(jié)討論了數(shù)據(jù)收集和一些初步的成果。第4節(jié)報(bào)告了主要實(shí)證研究結(jié)果。第5節(jié)提供了一些總結(jié)。該數(shù)據(jù)集包括西德克薩斯中質(zhì)油WTI每日觀察現(xiàn)貨價(jià)格，S，以及4份紐約商品交易所在1990年1月2日至2021年12月31在俄克拉荷馬州庫(kù)欣交易的WTI原油的期貨合約的每日價(jià)格時(shí)間序列與1個(gè)月，F(xiàn)(1)，2個(gè)月，F(xiàn)(2)，3個(gè)月，F(xiàn)(3)，4個(gè)月，F(xiàn)(4)到期。數(shù)據(jù)來(lái)自美國(guó)能量情報(bào)署EIA。根據(jù)美國(guó)能量情報(bào)署提供的信息2021，現(xiàn)貨和期貨價(jià)格是具體交割月的紐約商品交易所交易大廳下午2時(shí)30分的每日收盤(pán)價(jià)。每份期貨合同都在交割當(dāng)月25日前3個(gè)交易日到期。作為討論的背景，圖1給出每天的現(xiàn)貨價(jià)格與不同到期日的期貨價(jià)格。關(guān)閉該系列