| 来源类型 | Papers |
| 规范类型 | 报告 |
| Basis Variation and the Role of Inventories: Evidence from the Crude Oil Market | |
| Bassam Fattouh | |
| 发表日期 | 2009 |
| 出版年 | 2009 |
| 页码 | 17 |
| 语种 | 英语 |
| 概述 | Understanding the variation in the spread between the futures price and the spot price (known as the basis) is important for efficient hedging and for explaining the dynamics of commodity spot prices. Classical studies based on the theory of storage explain the variation in the basis in terms of changes in the fundamentals of supply […] |
| 摘要 | Understanding the variation in the spread between the futures price and the spot price (known as the basis) is important for efficient hedging and for explaining the dynamics of commodity spot prices. Classical studies based on the theory of storage explain the variation in the basis in terms of changes in the fundamentals of supply and demand and/or storage technology of the underlying commodity (Kaldor, 1939; Working, 1948; Brennan, 1958; and Telser, 1958). Other studies explain the variation in the basis in terms of time-varying risk premiums which are influenced by preferences and beliefs of participants in the futures markets (Bailey and Chan, 1993). While the basis is relatively stable when compared to the variability of spot or futures prices, it may exhibit large variability for some commodities and may follow different dynamics depending on the behaviour of stocks of the underlying commodity. |
| 主题 | Energy Economics ; Finance ; Oil ; Oil & Middle East Programme |
| 关键词 | Backwardation basis variation Contango Futures price markov regime switching Oil Market oil price OPEC Spot Price WPM 38 WPM38 |
| URL | https://www.oxfordenergy.org/publications/basis-variation-and-the-role-of-inventories-evidence-from-the-crude-oil-market/ |
| 来源智库 | Oxford Institute for Energy Studies (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/312126 |
| 推荐引用方式 GB/T 7714 | Bassam Fattouh. Basis Variation and the Role of Inventories: Evidence from the Crude Oil Market. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| WPM38-BasisVariation（252KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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