Name: Finance and Economics Discussion Series: Why and When Do Spot Prices of Crude Oil Revert to Futures Price Levels (en Inglés)
SKU: 59866905
Price: 24540.00 CLP
Availability: InStock
Author: French, Mark W. ; United States Federal Reserve Board
ISBN: 9781288711499

portada Finance and Economics Discussion Series: Why and When Do Spot Prices of Crude Oil Revert to Futures Price Levels (en Inglés)

Finance and Economics Discussion Series: Why and When Do Spot Prices of Crude Oil Revert to Futures Price Levels (en Inglés)

Formato

Libro Físico

Autor

United States Federal Reserve Board

Mark W. French

Editorial

Bibliogov

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

24.6x18.9x0.2 cm

Peso

0.08 kg.

ISBN13

9781288711499

Categorías

Política y gobierno

Finance and Economics Discussion Series: Why and When Do Spot Prices of Crude Oil Revert to Futures Price Levels (en Inglés)

United States Federal Reserve Board (Autor) · Mark W. French (Autor) · Bibliogov · Tapa Blanda

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Reseña del libro "Finance and Economics Discussion Series: Why and When Do Spot Prices of Crude Oil Revert to Futures Price Levels (en Inglés)"

Recent studies of crude oil price formation emphasize the role of interest rates and convenience yield (the adjusted spot-futures spread), confirming that spot prices mean-revert and normally exceed discounted futures. However, these studies don't explain why such "backwardation" is normal. Also, models derived in these studies typically explain only about 1 percent of daily returns, suggesting other factors are important, too. In this paper, I specify a structural oil-market model that links returns to convenience yield, inventory news, and revisions of expected production cost (growth of which is related to backwardation). Although its predictive power is only a marginal improvement, the model fits the data far better. In addition, I find reversion of spot to futures prices only when backwardation is severe. Convenience yield behaves nonlinearly, but price response to convenience yield is also nonlinear. Equivalently, futures are informative about future spot prices only when spot prices substantially exceed futures.