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Re-examining the movements of crude oil spot and futures prices over time

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dc.creatorHolmes M.J.spa
dc.creatorOtero Cardona, Jesús Gilbertospa
dc.date.accessioned2020-05-26T00:06:51Z
dc.date.available2020-05-26T00:06:51Z
dc.date.created2019spa
dc.description.abstractWe carry out a (partial) replication exercise of Chang and Lee (2015) unit root and cointegration analyses of crude oil spot and futures prices. In doing so, we offer an updated and expanded analysis based on a much wider set of oil futures series than that considered by Chang and Lee, and we consider the impact of different temporal aggregation methods. Although we are not able to exactly replicate their findings, we nonetheless reach qualitatively similar findings to theirs when using their dataset in terms of the long-run properties and interactions of the spot and futures prices data. Likewise, qualitatively comparable results are obtained when using our expanded dataset. However, a number of important qualitative differences from Chang and Lee arise in terms of the analysis of causality between spot and futures contract prices. As part of our replication exercise we also investigate some aspects that were not originally considered by Chang and Lee. In doing this, we find that both the variability of futures prices as well as the speed of adjustment of futures/spot price differentials increase as the maturity of the contracts increase. © 2017 Elsevier B.V.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.1016/j.eneco.2017.08.034
dc.identifier.issn01409883
dc.identifier.issn18736181
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/23935
dc.language.isoengspa
dc.publisherElsevier B.V.spa
dc.relation.citationEndPage236
dc.relation.citationStartPage224
dc.relation.citationTitleEnergy Economics
dc.relation.citationVolumeVol. 82
dc.relation.ispartofEnergy Economics, ISSN:01409883, 18736181, Vol.82,(2019); pp. 224-236spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85057463644&doi=10.1016%2fj.eneco.2017.08.034&partnerID=40&md5=36a97e4ff12a6288df5a9c407c6567edspa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordCostsspa
dc.subject.keywordCrude oilspa
dc.subject.keywordFinancial marketsspa
dc.subject.keywordCausalityspa
dc.subject.keywordCointegrationspa
dc.subject.keywordCointegration analysisspa
dc.subject.keywordFutures pricesspa
dc.subject.keywordQualitative differencesspa
dc.subject.keywordSpot and futures pricesspa
dc.subject.keywordSpot pricespa
dc.subject.keywordTemporal aggregationspa
dc.subject.keywordContractsspa
dc.subject.keywordCointegration analysisspa
dc.subject.keywordCrude oilspa
dc.subject.keywordEnergy marketspa
dc.subject.keywordFuture prospectspa
dc.subject.keywordPrice dynamicsspa
dc.subject.keywordQualitative analysisspa
dc.subject.keywordCausalityspa
dc.subject.keywordCointegrationspa
dc.subject.keywordCrude oilspa
dc.subject.keywordFutures pricesspa
dc.subject.keywordSpeed of adjustmentspa
dc.subject.keywordSpot pricespa
dc.titleRe-examining the movements of crude oil spot and futures prices over timespa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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