基于时间序列的原油期货价格和现货价格的动态关系【外文翻译】.doc.doc

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1、外文题目：Time-varyingspotandfuturesoilpricesdynamics出处：WorkingPaper作者：GuglielmoMariaCaporale，DavideCiferriAlessandroGirardi原文：Time-varyingspotandfuturesoilpricesdynamicsAbstractWeinvestigatetheroleofcrudeoilspotandfuturespricesintheprocessofpricediscoverybyusingacost-of-carrymodelwithanendogenous

2、convenienceyieldanddailydataovertheperiodfromJanuary1990toDecember2008.Weprovideevidencethatfuturesmarketsplayamoreimportantrolethanspotmarketsinthecaseofcontractswithshortermaturitiesbuttherelativecontributionofthetwotypesofmarketturnsouttobehighlyunstableespeciallyforthemostdeferredcontract

3、s.Theimplicationsoftheseresultsforhedgingandforecastingcrudeoilspotpricesarealsodiscussed.Keywords:CointegrationOilmarketFuturespricesPriceDiscoveryDespitetheincreasingeffortsaimedatredirectingbothpublicandprivateinvestmenttowardsbusinessesandinfrastructurelessdependentonnaturalresourcesdevel

4、opmentsintheoilmarketstillrepresentakeyissueforpolicymakersandinvestors.TherecentsharpriseinoilpricesfuelledbybuoyantmarketsBrazilChinaandIndiaaswellasbysimultaneoussupplydisruptionsinanumberofoilexportingcountriesIraqNigeriaVenezuelaandterroristattackshasincreaseddemandforhedgingandpricerisk

5、managementoperations.Inresponsetosoaringoilpricelevelsandvolatilitythefinancialindustryhasdevisedagrowingvarietyofhighlynon-standardisedderivativecontractsalbeitfuturescontractsremainoneofthemostpopulartoolsforriskmanagementinoilmarkets.Spotandfuturespricesareexpectedtobelinkedtoeachotherinth

6、elong-runonthebasisofanumberoftheoreticalmodels.Amongthevarioustheoriesexplainingthespot-futuresrelationshipthetheoryofstorageKaldor1939hasreceivedsubstantialempiricalvalidationLautier2005.Inthistheoreticalset-upfuturespriceshouldbeequaltothespotpriceplusthecostofcarrythesumofthecostofstorage

7、andtheinterestrateandtheconvenienceyieldthatisthebenefitfromholdingspotoilwhichaccruestotheownerofthespotcommodity.SincethestudyofGarbadeandSilver1983awidelyrecognisedbenefitoffuturesmarketshasbeentheprocessofcompetitivepricediscoverythatisth