基于时间序列的原油期货价格和现货价格的动态关系[文献翻译]

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1、外文题目：Time-varyingspotandfuturesoilpricesdynamics出处：WorkingPaper作者：GuglielmoMariaCaporale，DavideCiferri,AlessandroGirardi原文：Time-varyingspotandfuturesoilpricesdynamicsAbstractWeinvestigatetheroleofcrudeoilspotandfuturespricesintheprocessofpricediscoveryby

2、usingacost-of-carrymodelwithanendogenousconvenienceyieldanddailydataovertheperiodfromJanuary1990toDecember2008.Weprovideevidencethatfuturesmarketsplayamoreimportantrolethanspotmarketsinthecaseofcontractswithshortermaturities,buttherelativecontributionoft

3、hetwotypesofmarketturnsouttobehighlyunstable,especiallyforthemostdeferredcontracts.Theimplicationsoftheseresultsforhedgingandforecastingcrudeoilspotpricesarealsodiscussed.Keywords:Cointegration,Oilmarket,Futuresprices,PriceDiscoveryDespitetheincreasingef

4、fortsaimedatredirectingbothpublicandprivateinvestmenttowardsbusinessesandinfrastructurelessdependentonnaturalresources,developmentsintheoilmarketstillrepresentakeyissueforpolicymakersandinvestors.Therecentsharpriseinoilpricesfuelledbybuoyantmarkets(Brazi

5、l,ChinaandIndia)aswellasbysimultaneoussupplydisruptionsinanumberofoilexportingcountries(Iraq,Nigeria,Venezuela)andterroristattackshasincreaseddemandforhedgingandpriceriskmanagementoperations.Inresponsetosoaringoilpricelevelsandvolatility,thefinancialindu

6、stryhasdevisedagrowingvarietyof(highlynon-standardised)derivativecontracts,albeitfuturescontractsremainoneofthemostpopulartoolsforriskmanagementinoilmarkets.Spotandfuturespricesareexpectedtobelinkedtoeachotherinthelong-runonthebasisofanumberoftheoretical

7、models.Amongthevarioustheoriesexplaining11thespot-futuresrelationship,thetheoryofstorage(Kaldor,1939)hasreceivedsubstantialempiricalvalidation(Lautier,2005).Inthistheoreticalset-up,futurespriceshouldbeequaltothespotpriceplusthecostofcarry(thesumofthecost

8、ofstorageandtheinterestrate)andtheconvenienceyield(thatis,thebenefitfromholdingspotoilwhichaccruestotheownerofthespotcommodity).SincethestudyofGarbadeandSilver(1983),awidelyrecognisedbenefitoffuturesmarketshasbeentheproces