基于時間序列的原油期貨價格和現貨價格的動態(tài)關系【外文翻譯】_第1頁
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1、1外文題目：Timevaryingspotfuturesoilpricesdynamics出處：WkingPaper作者：GuglielmoMariaCapale，DavideCiferriAlessroGirardi原文：TimevaryingspotfuturesoilpricesdynamicsAbstractWeinvestigatetheroleofcrudeoilspotfuturespricesintheprocessof

2、pricediscoverybyusingacostofcarrymodelwithanendogenousconvenienceyielddailydataovertheperiodfromJanuary1990toDecember2008.Weprovideevidencethatfuturesmarketsplayameimptantrolethanspotmarketsinthecaseofcontractswithshterm

3、aturitiesbuttherelativecontributionofthetwotypesofmarketturnsouttobehighlyunstableespeciallyfthemostdeferredcontracts.Theimplicationsoftheseresultsfhedgingfecastingcrudeoilspotpricesarealsodiscussed.Keywds:CointegrationO

4、ilmarketFuturespricesPriceDiscoveryDespitetheincreasingefftsaimedatredirectingbothpublicprivateinvestmenttowardsbusinessesinfrastructurelessdependentonnaturalresourcesdevelopmentsintheoilmarketstillrepresentakeyissuefpol

5、icymakersinvests.Therecentsharpriseinoilpricesfuelledbybuoyantmarkets(BrazilChinaIndia)aswellasbysimultaneoussupplydisruptionsinanumberofoilexptingcountries(IraqNigeriaVenezuela)terristattackshasincreaseddemfhedgingprice

6、riskmanagementoperations.Inresponsetosoaringoilpricelevelsvolatilitythefinancialindustryhasdevisedagrowingvarietyof(highlynonstardised)derivativecontractsalbeitfuturescontractsremainoneofthemostpopulartoolsfriskmanagemen

7、tinoilmarkets.Spotfuturespricesareexpectedtobelinkedtoeachotherinthelongrunon3marketintermsofpricediscoveryftheshtestmaturitiesbuttherelativecontributionofthetwomarketsturnsouttobehighlyunstableespeciallyfthemostdeferred

8、contracts.Thepaperisganisedasfollows.Section2presentsthetheeticalframewkweusetoderivetimevaryingmeasuresofthevariousmarkets’contributiontopricediscovery.Section3discussesthedatasetsomepreliminaryresults.Section4reptsthem

9、ainempiricalfindings.Section5offerssomeconcludingremarks.ThedatasetincludesdailyobservationsofspotpricesSofWestTexasIntermediate(WTI)CrudeaswellasfourdailytimeseriesofpricesofNYMEXfuturescontracts(withamaturityof1monthF(

10、1)2monthsF(2)3monthsF(3)4monthsF(4))writtenonWTICrudewithdeliveryinCushingOklahomaovertheperiodfromJanuary21990toDecember312008.ThedatasetisobtainedfromtheUSEnergyInfmationAdministration(EIA).Accdingtothedefinitionsprovi

11、dedbyEIA(2008)bothspotfuturespricesaretheofficialdailyclosingpricesat2.30pmfromthetradingflooftheNYMEXfaspecificdeliverymonthfeachproductlisted.Eachfuturescontractexpiresonthethirdbusinessdaypritothe25thcalendardayofthem

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