外文翻译--原油现货和期货价格关系:协整,线性和非线性因果关系

admin管理员组

文章数量:1530846

2024年6月21日发(作者：)

外文题目： The Relationship between Crude Oil Spot and Futures

Prices: Cointegration, Linear and Nonlinear Causality

出 处： Energy Economics

作 者：

Stelios s , Cees G.H Diks

原 文:

The Relationship between Crude Oil Spot and Futures Prices:

Cointegration, Linear and Nonlinear Causality!

Abstract

The present study investigates the linear and nonlinear causal linkages between

daily spot and futures prices for maturities of one, two, three and four months of West

Texas Intermediate (WTI) crude oil. The data cover two periods October

1991-October 1999 and November 1999-October 2007, with the latter being

significantly more turbulent. Apart from the conventional linear Granger test we apply

a new nonparametric test for nonlinear causality by Diks and Panchenko after

controlling for cointegration. In addition to the traditional pairwise analysis, we test

for causality while correcting for the effects of the other variables. To check if any of

the observed causality is strictly nonlinear in nature, we also examine the nonlinear

causal relationships of VECM filtered residuals. Finally, we investigate the hypothesis

of nonlinear non-causality after controlling for conditional heteroskedasticity in the

data using a GARCH-BEKK model. Whilst the linear causal relationships disappear

after VECM cointegration filtering, nonlinear causal linkages in some cases persist

even after GARCH filtering in both periods. This indicates that spot and futures

returns may exhibit asymmetries and statistically significant higher-order moments.

Moreover, the results imply that if nonlinear effects are accounted for, neither market

leads or lags the other consistently, videlicet the pattern of leads and lags changes

over time.

Keywords: Nonparametric nonlinear causality; Oil Futures Market;

1

Cointegration;

The role of futures markets in providing an efficient price discovery mechanism

has been an area of extensive empirical research. Several studies have dealt with the

Lead-lag relationships between spot and futures prices of commodities with the

objective of investigating the issue of market efficiency. Garbade and Silber (1983)

first presented a model to examine the price discovery role of futures prices and the

effect of arbitrage on price changes in spot and futures markets of commodities. The

Garbade-Silber model was applied to the feeder cattle market by Oellermann et al.

(1989) and to the live hog commodity market by Schroeder and Goodwin (1991),

while a similar study by Silvapulle and Moosa (1999) examined the oil market. Bopp

and Sitzer (1987) tested the hypothesis that futures prices are good predictors of spot

prices in the heating oil market, while Serletis and Banack (1990) and Chen and Lin

(2004) tested for market efficiency using cointegration analysis. Crowder and Hamed

(1993) and Sadorsky (2000) also used cointegration to test the simple efficiency

hypothesis and the arbitrage condition for crude oil futures. Finally, Schwarz and

Szakmary (1994) examined the price discovery process in the markets of crude and

heating oil.

In theory, since both futures and spot prices “refect”the same aggregate value of

the underlying asset and considering that instantaneous arbitrage is possible, futures

should neither lead nor lag the spot price. However, the empirical evidence is diverse,

although the majority of studies indicate that futures influence spot prices but not vice

versa. The usual rationalization of this result is that the futures prices respond to new

information more quickly than spot prices, due to lower transaction costs and

flexibility of short selling. With reference to the oil market, if new information

indicates that oil prices are likely to rise, perhaps because of an OPEC decision to

restrict production, or an imminent harsh winter, a speculator has the choice of either

buying crude oil futures or spot. Whilst spot purchases require more initial outlay and

may take longer to implement, futures transactions can be implemented immediately

by speculators without an interest in the physical commodity per se and with little

up-front cash. Moreover, hedgers who are interested for the physical commodity and

2

本文标签： 原油关系现货期货价格线性