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1、外文题目：Time-varyingspotandfuturesoilpricesdynamics出处：WorkingPaper作者：GuglielmoMariaCaporale，DavideCiferri,AlessandroGirardi原文：Time-varyingspotandfuturesoilpricesdynamicsAbstractWeinvestigatetheroleofcrudeoilspotandfuturespricesintheprocessofpricediscoverybyusingacost-of-carrymodelwith
2、anendogenousconvenienceyieldanddailydataovertheperiodfromJanuary1990toDecember2008.Weprovideevidencethatfuturesmarketsplayamoreimportantrolethanspotmarketsinthecaseofcontractswithshortermaturities,buttherelativecontributionofthetwotypesofmarketturnsouttobehighlyunstable,especiallyf
3、orthemostdeferredcontracts.Theimplicationsoftheseresultsforhedgingandforecastingcrudeoilspotpricesarealsodiscussed.Keywords:Cointegration,Oilmarket,Futuresprices,PriceDiscoveryDespitetheincreasingeffortsaimedatredirectingbothpublicandprivateinvestmenttowardsbusinessesandinfrastruct
4、urelessdependentonnaturalresources,developmentsintheoilmarketstillrepresentakeyissueforpolicymakersandinvestors.Therecentsharpriseinoilpricesfuelledbybuoyantmarkets(Brazil,ChinaandIndia)aswellasbysimultaneoussupplydisruptionsinanumberofoilexportingcountries(Iraq,Nigeria,Venezuela)a
5、ndterroristattackshasincreaseddemandforhedgingandpriceriskmanagementoperations.Inresponsetosoaringoilpricelevelsandvolatility,thefinancialindustryhasdevisedagrowingvarietyof(highlynon-standardised)derivativecontracts,albeitfuturescontractsremainoneofthemostpopulartoolsforriskmanage
6、mentinoilmarkets.Spotandfuturespricesareexpectedtobelinkedtoeachotherinthelong-runonthebasisofanumberoftheoreticalmodels.Amongthevarioustheoriesexplaining11thespot-futuresrelationship,thetheoryofstorage(Kaldor,1939)hasreceivedsubstantialempiricalvalidation(Lautier,2005).Inthistheor
7、eticalset-up,futurespriceshouldbeequaltothespotpriceplusthecostofcarry(thesumofthecostofstorageandtheinterestrate)andtheconvenienceyield(thatis,thebenefitfromholdingspotoilwhichaccruestotheownerofthespotcommodity).SincethestudyofGarbadeandSilver(1983),awidelyrecognisedbenefitoffutu
8、resmarketshasbeentheproces
