期货合约
正常回拨
经济
即期合同
波动性(金融)
内生性
便利收益率
现货市场
计量经济学
康坦戈
商品市场
金融经济学
预测误差的方差分解
协整
货币经济学
工程类
电气工程
电
财务
作者
Cole Goetz,Dragan Miljković,Nikita Barabanov
标识
DOI:10.1016/j.eneco.2021.105375
摘要
The impact of futures markets on the spot price volatility of storable commodities can be either stabilizing or destabilizing. The underlying theoretical model determines that the impact depends on whether the dominant/prevailing disturbance in the commodity market comes from consumption, production, or inventory holding. We use Directed Acyclic Graphs analysis to determine causality and endogeneity/exogeneity of our variables, resulting in spot and futures prices being endogenous and storage being an exogenous variable. Additionally, impulse response and variance decomposition specifications suggest destabilizing impacts of futures markets on corn spot prices and stabilizing impacts on oil spot prices.
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