基于时间序列的原油期货价格和现货价格的动态关系【外文翻译】.doc

外文题目： time-varying spot and futures oil prices dynamics出 处： working paper作 者：guglielmo maria caporale，davide ciferrialessandro girardi原 文： time-varying spot and futures oil prices dynamicsabstract we investigate the role of crude oil spot and futures prices in the process of pricediscovery by using a cost-of-carry model with an endogenous convenience yield anddaily data over the period from january 1990 to december 2008. we provideevidence that futures markets play a more important role than spot markets in the caseof contracts with shorter maturities but the relative contribution of the two types ofmarket turns out to be highly unstable especially for the most deferred contracts. theimplications of these results for hedging and forecasting crude oil spot prices are alsodiscussed.keywords: cointegration oil market futures prices price discovery despite the increasing efforts aimed at redirecting both public and privateinvestment towards businesses and infrastructure less dependent on natural resourcesdevelopments in the oil market still represent a key issue for policy makers andinvestors. the recent sharp rise in oil prices fuelled by buoyant markets brazil chinaand india as well as by simultaneous supply disruptions in a number of oil exportingcountries iraq nigeria venezuela and terrorist attacks has increased demand forhedging and price risk management operations. in response to soaring oil price levelsand volatility the financial industry has devised a growing variety of highlynon-standardised derivative contracts albeit futures contracts remain one of the mostpopular tools for risk management in oil markets. spot and futures prices are expected to be linked to each other in the long-run onthe basis of a number of theoretical models. among the various theories explainingthe spot-futures relationship the theory of storage kaldor 1939 has receivedsubstantial empirical validation lautier 2005. in this theoretical set-up futures priceshould be equal to the spot price plus the cost of carry the sum of the cost of storageand the interest rate and the convenience yield that is the benefit from holding spotoil which accrues to the owner of the spot commodity. since the study of garbadeand silver 1983 a widely recognised benefit of futures markets has been the processof competitive price discovery that is the use of futures prices for pricing spot markettransactions through the timely incorporation into market prices of heterogeneousprivate information or heterogeneous interpretation of public information by way oftrading activity lehmann 2002. in the present study we allow for possible parameter instability in the adjustmentprocess towards the long-run equilibrium thereby making a novel contribution tothe empirical literature on the relationship between spot and futures prices in the oilmarket silvapulle and moosa 1999 mcaleer and sequiera 2004 and on the keyrole of futures markets in the process of price discovery for both consumption andinvestment commodities yang et al. 2001 figuerola-ferretti and gilbert 2005among others. specifically we employ an augmented cost-of-carry model with anendogenous convenience yield figuerola-ferretti and gonzalo 2008and the kalmanfilter based approach of barassi et al. 2005 in order to investigate whether the spotand 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-monthfutures contracts over the period from january 2 1990 to december 31 2008 weinvestigate to what extent spot and futures markets contribute to price discovery andwhether their relative contributions vary over time. we find that spot and futuresprices are linked to each other by a long-run relationship characterised by symmetryand proportionality between the two prices. based on the metrics proposed by harriset al. 1995 2002 we also show that both markets are important for the disclosure ofthe full information price. on average futures markets tend to dominate the spotmarket in terms of price discovery for the shortest maturities but the relativecontribution of the two markets turns out to be highly unstable especially for the mostdeferred contracts. the paper is organised as follows. section 2 presents the theoretical frameworkwe use to derive time-varying measures of the various markets contribution to pricediscovery. section 3 discusses the dataset and some preliminary results. section 4reports the main empirical findings. section 5 offers some concluding remarks. the dataset includes daily observations of spot prices s of west texasintermediate wti crude as well as four daily time series of prices of nymexfutures contracts with a maturity of 1 month f1 2 monthsf2 3 months f3and 4 monthsf4 written on wti crude with delivery in cushing oklahoma overthe period from january 2 1990 to december 31 2008. the dataset is obtained fromthe us energy information administration eia. according to the definitionsprovided by eia 2008 both spot and futures prices are the official daily closingprices at 2.30pm from the trading floor of the nymex for a specific delivery monthfor each product listed. each futures contract expires on the third business day prior tothe 25th calendar day of the month preceeding the delivery month. as a background to the discussion figure 1 presents daily spot prices versusfutures prices for different maturities. close overlapping of the series can be notedalthough there are some divergencies especially in the case of the most deferredcontract. the evolution over time of the series indicates that small shocks affected themean value of prices over the nineties. after reaching their minimum level 13 usper barrel in 1998 oil prices increased dramatically and became more volatile overthe subsequent decade. in mid-2008 they reached their maximum more than 145 usper barrel and then a sharp fall followed down to a level of 44 us per barrel at theend of 2008. table 1 reports some descriptive statistics namely first and second moments forthe log-series both in levels and in first differences. spot and futures prices appear tomove closely. the following is also noteworthy: i the first moment of the log of oilprices indicates that the market is in backwardation as previously documented byedwards and canters 1995 and litzenberg and rabinowitz 1995 among others；iiprice movements in the spot market are larger and more erratic than those for futuresprices suggesting that positive shocks to demand for spot commodities tend toincrease convenience yields fama and french 1988 iii the second moment offutures prices declines with maturity consistently with the samuelson effectsamuelson 1965 according to which a shock affecting the nearby contract price hasan impact on following prices that decreases as the maturity increasesiv）thecorrelation between spot and futures prices decreases monotonically with the maturityof contracts. a similar conclusion holds when the variables in first differences areconsidered. the only exception concerns the average growth rates of futures priceswhich turn out to be greater than the average rate of change for spot pricessuggesting some degree of convergence between prices over the sample. in order to assess the stochastic properties of the variables we check for thepresence 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 table2 the null of a unit root can be rejected at conventional levels of significance in allcases. on the other hand first-differencing the series appears to induce stationarity.the kpss kwiatkowski et al. 1992 stationarity test corroborates theseconclusions. given the evidence of i 1-ness for all individual series testing forcointegration between spot prices and futures price series is the logical next step in theempirical analysis this paper investigates the relative contribution of spot and futures markets to oilprice discovery and whether these contributions vary over time. regarding hedging our findings imply that using futures for hedging a spotposition on crude oil is more effective in the case of 1-month or 2-month contractsrather than those with longer maturities. essentially the higher correlation betweenspot prices and futures prices with short maturities outweighs the lower volatility offutures prices for the most deferred derivative instruments as also documented byripple and moosa 2005. as for forecasting cointegration between two pricesimplies that each market contains information on the common stochastic trendsbinding prices together and therefore the predictability of each market can beenhanced by using information contained in the other market granger 1986. ourresults indicate that in all cases but model 3 price discovery occurs in only oneindividual market which acts as a long-run weakly exogenous driving variable forthe system. this finding suggests that indeed valuable information for forecasting spotcrude oil prices is embedded in the long-run spot-futures relationship see coppola2008 among others but also that it is concentrated mainly in 1-month and 2-monthfuture contracts. the present study could be extented by analysing the factors behind the timevariation in the estimated time-varying price discovery measures. a possibleexplanation is that crude oil fundamentals evolved due to robust economic growthworldwide as well as capacity constraints in crude oil extraction hamilton 2008.another extension could investigate the changes in the oil futures market caused bythe arrival of new types of market players for instance financial traders and energyfunds which may have affected the information content of futures markets in terms ofprice 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 我们用仓储成本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2008年12月期间的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贡献是极其不稳定的，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基础设施都对减少自然资源的依赖为目的努力越来越多，石油市场发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跃巴西、中国和印度同时许多石油出口国的供应中断伊拉克、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基础上相互联系。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lautier2005。在这个理论的设置中，期货价格应该等于现货价格加上成本（即存储和利率成本之和）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 1999mcaleer 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贡献。具体来说，我们利用仓储成本模型，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贡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现有什么程度的贡献，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，我们还表明，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，但两个市场的相对贡献可谓是极不稳定，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贡献。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 2008 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，f1，2 个月，f2，3 。数据来自美国能量情报署（eia）个月，f3，4 个月，f4到期） 。根据美国能量情报署提供的信息（2008），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。关闭该系列的重叠可以看到，虽然有一些分歧，特别是在最延期合同的情况。围绕该系列的时间演化表明，小冲