The relationship between crude oil spot and futures prices

1 “The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality” Stelios D. Bekiros *, Cees G.H Diks Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) In this paper we aim to analyze the relationships between spot and futures prices in commodity markets. To do so, we propose a battery of recursive VAR models between spot and futures prices of the crude oil, natural gas and gold commodities, focusing on the weak exogeneity and Granger-causality issues. relationship between crude oil spot and futures prices using monthly and quarterly data for the WTI market. They applied the Johansen cointegration test and VECM models from 1986 to 2011.

This contribution uses WTI crude oil data from 1989 to 2008 and the results show no evidence of any MV and SD relationships between crude oil spot and futures  Spot. Start-Boom. Mid-Boom. Peak-Boom. Mid-Bust. Trough-Bust. Crude Oil: obtains a linear relationship between the futures price and expected spot price. (b) Open interest is the total dollar value of futures and options contracts outstanding that are held prices of the various grades of crude oil influenced by gas spot price specifies next-day delivery, while the As such, CFDs provide the link. The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality. Energy Economics 30:2673– 2685. Page 3. BOUBAKER , 

As an example for basis in futures contracts, assume the spot price for crude oil is $50 per barrel and the futures price for crude oil deliverable in two months' time is $54. The basis is $4, or

In this paper we aim to analyze the relationships between spot and futures prices in commodity markets. To do so, we propose a battery of recursive VAR models between spot and futures prices of the crude oil, natural gas and gold commodities, focusing on the weak exogeneity and Granger-causality issues. relationship between crude oil spot and futures prices using monthly and quarterly data for the WTI market. They applied the Johansen cointegration test and VECM models from 1986 to 2011. The link between crude oil and gasoline prices has been remarkably strong through the years, and our future demand for both might be going underestimated today. Sign in to your Forbes account or. Instead, the price bandied about has been sold on the futures market. In America, WTI crude-oil futures are traded through the New York Mercantile Exchange (NYMEX). European oil futures are sold The crude oil and US Dollar share an inverse relationship with each other. A strengthening US Dollar tends to drive the price of crude oil down. Likewise, weakening USD tends to drive the prices of crude oil higher. At this point it is very import

The data consist of time series of daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI), also known as Texas Light Sweet, which is a type of crude oil used as a benchmark in oil pricing and the underlying commodity of New York Mercantile Exchange's (NYMEX) oil futures contracts. The NYMEX futures price for crude oil represents, on a per-barrel basis, the market-determined value of a futures contract to either buy or sell 1000

Downloadable! The present study investigates the linear and nonlinear causal linkages between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil. The data cover two periods October 1991-October 1999 and November 1999-October 2007, with the latter being significantly more turbulent. Structural break analysis was employed to identify the subsamples to be studied. The core findings show evidence of a long-run bidirectional relationship between spot and futures prices. This study provides evidence that different types of crises engender different strengths of causal relationships between Brent crude spot and futures prices.

The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality. Energy Economics 30:2673– 2685. Page 3. BOUBAKER , 

In this paper we aim to analyze the relationships between spot and futures prices in commodity markets. To do so, we propose a battery of recursive VAR models between spot and futures prices of the crude oil, natural gas and gold commodities, focusing on the weak exogeneity and Granger-causality issues.

As an example for basis in futures contracts, assume the spot price for crude oil is $50 per barrel and the futures price for crude oil deliverable in two months' time is $54. The basis is $4, or

Introduction The crude oil futures markets play an important role in economic development and industrialization, the arbitrageurs, speculators, producers, and policymakers refer to the futures market for predicting future spot prices and minimizing their risk. A number of studies have appeared that stationarity of petroleum spot-futures As an example for basis in futures contracts, assume the spot price for crude oil is $50 per barrel and the futures price for crude oil deliverable in two months' time is $54. The basis is $4, or There is growing interest in finding out the relationship between the spot and future prices of oil and other commodities because of the long term implications resulting from commodity price movements. The commodity market for oil has experienced higher levels of volatility ever since the first oil crises reported in the 1970s. Last few years witnessed record oil prices and climate-change-related in- The present study investigates the linear and nonlinear causal linkages between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil. The data cover two periods October 1991-October 1999 and November 1999-October 2007, with the latter being significantly more turbulent. Apart from the conventional linear Granger test we

The data consist of time series of daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI), also known as Texas Light Sweet, which is a type of crude oil used as a benchmark in oil pricing and the underlying commodity of New York Mercantile Exchange's (NYMEX) oil futures contracts. The NYMEX futures price for crude oil represents, on a per-barrel basis, the market-determined value of a futures contract to either buy or sell 1000 Introduction The crude oil futures markets play an important role in economic development and industrialization, the arbitrageurs, speculators, producers, and policymakers refer to the futures market for predicting future spot prices and minimizing their risk. A number of studies have appeared that stationarity of petroleum spot-futures As an example for basis in futures contracts, assume the spot price for crude oil is $50 per barrel and the futures price for crude oil deliverable in two months' time is $54. The basis is $4, or There is growing interest in finding out the relationship between the spot and future prices of oil and other commodities because of the long term implications resulting from commodity price movements. The commodity market for oil has experienced higher levels of volatility ever since the first oil crises reported in the 1970s. Last few years witnessed record oil prices and climate-change-related in- The present study investigates the linear and nonlinear causal linkages between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil. The data cover two periods October 1991-October 1999 and November 1999-October 2007, with the latter being significantly more turbulent. Apart from the conventional linear Granger test we The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality. The present study investigates the linear and nonlinear causal linkages between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil. The relationship between oil spot and futures prices has long been a focus of attention, but there is a lack of understanding about how these prices interact in times of crisis. Using cointegration and causality analysis, Brent crude spot and futures prices are examined before, during and after two different types of crises: (1) a supply-led event (the 1990–91 Gulf War) and (2) a demand-led event (the global financial crisis). Structural break analysis was employed to identify the