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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Ciferri, D | - |
dc.contributor.author | Girardi, A | - |
dc.date.accessioned | 2015-09-04T15:04:39Z | - |
dc.date.available | 2014 | - |
dc.date.available | 2015-09-04T15:04:39Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Scottish Journal of Political Economy, 61 (1), pp. 78 - 97 (20), (2014) | en_US |
dc.identifier.issn | 0036-9292 | - |
dc.identifier.uri | http://onlinelibrary.wiley.com/doi/10.1111/sjpe.12035/abstract | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/11316 | - |
dc.description.abstract | In this paper, we investigate the role of crude oil spot and futures prices in the process of price discovery by using daily data over the period from January 1992 to September 2012. We provide evidence that futures markets play a more important role than spot markets, but their relative contributions turn out to be highly unstable, especially for the most deferred contracts. Furthermore, considering the time-varying dynamics provides evidence of a smaller role for futures markets and a greater role for fundamental factors in driving oil prices during the global financial turmoil of 2007–2008. The implications of the main results for hedging and forecasting crude oil spot prices are also discussed. | en_US |
dc.format.extent | 78 - 97 (20) | - |
dc.language.iso | en | en_US |
dc.publisher | Wiley | en_US |
dc.subject | Cointegration | en_US |
dc.subject | Oil market | en_US |
dc.subject | Futures prices | en_US |
dc.subject | Price discovery | en_US |
dc.title | Time-varying spot and futures oil price dynamics | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1111/sjpe.12035 | - |
dc.relation.isPartOf | Scottish Journal of Political Economy | - |
pubs.issue | 1 | - |
pubs.publication-status | Accepted | - |
pubs.publication-status | Accepted | - |
pubs.volume | 61 | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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Fulltext.doc | 589 kB | Microsoft Word | View/Open |
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