| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Modelling the Global Price of Oil: Is there any Role for the Oil Futures-spot Spread? | |
| Daniele Valenti | |
| 发表日期 | 2018 |
| 出处 | Economic Theory |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | In this work, we propose an analysis of the global market for crude oil based on a revised version of the Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On this respect, we replace the global proxy for above-ground crude oil inventories with the oil futures-spot spread. The latter is defined as the percent deviation of the oil futures price from the spot price of oil and it represents a measure of the convenience yield but expressed with an opposite sign. The following model provides an economic interpretation of the residual structural shock, namely the financial market shock. This new shock is designed to capture an unanticipated change in the benefit of holding crude oil inventories that is driven by financial incentives. We find evidence that financial market shocks have played an important role in explaining the rises in the price of oil during the period 2003-2008. *** Suggested citation: Valenti, D. (2018), 'Modelling the Global Price of Oil: Is there any Role for the Oil Futures-spot Spread?', Nota di Lavoro 6.2018, Milano, Italy: Fondazione Eni Enrico Mattei |
| 特色分类 | Q40 ,Q41;Q43;E32 |
| 关键词 | Global Market for Crude Oil Bayesian SVAR Model Oil Futures-spot Spread Oil Price Speculation |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/modelling-the-global-price-of-oil-is-there-any-role-for-the-oil-futures-spot-spread/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/118580 |
| 推荐引用方式 GB/T 7714 | Daniele Valenti. Modelling the Global Price of Oil: Is there any Role for the Oil Futures-spot Spread?. 2018. |
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| ndl2018-006.pdf（761KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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