1、原油現貨和期貨價格關系：協整，線性和非線性因果關系外文翻譯 外文題目:The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality 出 處:Energy Economics 作 者:Stelios D.Bekiros , Cees G.H Diks原 文:The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear C

2、ausality!Abstract 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 2

3、007, with the latter being significantly more turbulent. Apart from the conventional linear Granger test we apply a new nonparametric test for nonlinear causality by Diks and Panchenko after controlling for cointegration. In addition to the traditional pairwise analysis, we test for causality while

4、correcting for the effects of the other variables. To check if any of the observed causality is strictly nonlinear in nature, we also examine the nonlinear causal relationships of VECM filtered residuals. Finally, we investigate the hypothesis of nonlinear non-causality after controlling for conditi

5、onal heteroskedasticity in the data using a GARCH-BEKK model. Whilst the linear causal relationships disappear after VECM cointegration filtering, nonlinear causal linkages in some cases persist even after GARCH filtering in both periods. This indicates that spot and futures returns may exhibit asym

6、metries and statistically significant higher-order moments. Moreover, the results imply that if nonlinear effects are accounted for, neither market leads or lags the other consistently, videlicet the pattern of leads and lags changes over time. Keywords: Nonparametric nonlinear causality; Oil Future

7、s Market; Cointegration; The role of futures markets in providing an efficient price discovery mechanism has been an area of extensive empirical research. Several studies have dealt with the Lead-lag relationships between spot and futures prices of commodities with the objective of investigating the

8、 issue of market efficiency. Garbade and Silber 1983 first presented a model to examine the price discovery role of futures prices and the effect of arbitrage on price changes in spot and futures markets of commodities. The Garbade-Silber model was applied to the feeder cattle market by Oellermann e

9、t al. 1989 and to the live hog commodity market by Schroeder and Goodwin 1991, while a similar study by Silvapulle and Moosa 1999 examined the oil market. Bopp and Sitzer 1987 tested the hypothesis that futures prices are good predictors of spot prices in the heating oil market, while Serletis and B

10、anack 1990 and Chen and Lin 2004 tested for market efficiency using cointegration analysis. Crowder and Hamed 1993 and Sadorsky 2000 also used cointegration to test the simple efficiency hypothesis and the arbitrage condition for crude oil futures. Finally, Schwarz and Szakmary 1994 examined the pri

11、ce discovery process in the markets of crude and heating oil. In theory, since both futures and spot prices “refectthe same aggregate value of the underlying asset and considering that instantaneous arbitrage is possible, futures should neither lead nor lag the spot price. However, the empirical evi

12、dence is diverse, although the majority of studies indicate that futures influence spot prices but not vice versa. The usual rationalization of this result is that the futures prices respond to new information more quickly than spot prices, due to lower transaction costs and flexibility of short sel

13、ling. With reference to the oil market, if new information indicates that oil prices are likely to rise, perhaps because of an OPEC decision to restrict production, or an imminent harsh winter, a speculator has the choice of either buying crude oil futures or spot. Whilst spot purchases require more

14、 initial outlay and may take longer to implement, futures transactions can be implemented immediately by speculators without an interest in the physical commodity per se and with little up-front cash. Moreover, hedgers who are interested for the physical commodity and have storage constraints will b

15、uy futures contracts. Therefore, both hedgers and speculators will react to the new information by preferring futures rather than spot transactions. Spot prices will react with a lag because spot transactions cannot be executed so quickly Silvapulle and Moosa, 1999. Furthermore, the price discovery

16、mechanism, as illustrated by Garbade and Silber 1983, supports the hypothesis that futures prices lead spot prices. Their study of seven commodity markets indicated that, although futures markets lead spot markets, the latter do not just echo the former. Futures trading can also facilitate the alloc

17、ation of production and consumption over time, particularly by providing a market scheme in inventory holdings Houthakker, 1992. In this case, if futures prices for late deliveries are above those for early ones, delay of consumption becomes attractive and changes in futures prices result in subsequ

18、ent changes in spot prices. According to Newberry 1992 futures markets provide opportunities for market manipulation by the better informed or larger at the expense of other market participants. For example, it is profitable for the OPEC to intervene in the futures market to influence the production

19、 decisions of its competitors in the spot market. Finally, support for the hypothesis that causality runs from futures to spot prices can also be found in the model of determination of futures prices proposed by Moosa and Al-Loughani 1995. In their model the futures price is determined by arbitrageu

20、rs whose demand depends on the difference between the arbitrage and actual futures price and by speculators whose demand for futures contracts depends on the difference between the expected spot and the actual futures price. The reference point in both cases is the futures price and not the spot pri

21、ce Silvapulle and Moosa, 1999 The aim of the present study is to test for the existence of linear and nonlinea causal lead-lag relationships between spot and futures prices of West Texas IntermediateWTI crude oil, which is used as an indicator of world oil prices and is the underlying commodity of N

22、ew York Mercantile Exchange's NYMEX oil futures contracts. We apply a three-step empirical framework for examining dynamic relationships between spot and futures prices. First, we explore nonlinear and linear dynamic linkages applying the nonparametric Diks-Panchenko causality test, and after co

23、ntrolling for cointegration, a parametric linear Granger causality test. In the second step, after filtering the return series using the properly specified VAR or VECM model, the series of residuals are examined by the nonparametric Diks-Panchenko causality test. In addition to applying the usual bi

24、variate VAR or VECM model to each pair of time series, we also consider residuals of a full five-variate model to account for the possible effect of the other variables. This step ensures that any remaining causality is strictly nonlinear in nature, as the VAR or VECM model has already purged the re

25、siduals of linear dependence. Finally, in the last step, we investigate the null hypothesis of nonlinear non-causality after controlling for conditional heteroskedasticity in the data using a GARCH-BEKK model, again both in a bivariate and in a five-variate representation. Our approach incorporates

26、the entire variance-covariance structure of the spot and future prices interrelationship. The empirical methodology employed with the multivariate GARCH-BEKK model can not only help to understand the short-run movements, but also explicitly capture the volatility persistence mechanism. Improved know

27、ledge of the direction and nature of causality and interdependence between the spot and futures markets, and consequently the degree of their integration, will expand the information set available to policymakers, international portfolio managers and multinational corporations for decision-making. T

28、he remainder of the paper is organized as follows. Section 2 briefly reviews the linear Granger causality framework and provides a description of the Diks-Panchenko nonparametric test for nonlinear Granger causality. Section 3 describes the data used and Section 4 presents the results. Section 5 con

29、cludes with a summary and suggestions for future research. Figure 1 displays the spot and future price and returns time series. The following notation is used: “WTI Spot is the spot price and “WTI F1,“WTI F2,“WTI F3 and “WTI F4are the futures prices for maturities of one, two, three and four months

30、respectively. Descriptive statistics for WTI spot and futures log-daily returns are reported in Table 1. Specifically, the returns are defined as where Pt is the closing price on day t. The differences between the two periods are quite evident in Table 1 where a significant increase in variance can

31、be observed as well as a higher dispersion of the returns distribution in Period II reflected in the lower kurtosis. Additionally, Period II witnessed many occasional negative spikes as it can be also inferred from the skewness. The results from testing nonstationarity are presented in Table 2. Spec

32、ifically, Table 2 reports the Augmented Dickey-Fuller ADF test for the logarithmic levels and log-daily returns. The lag lengths which are consistently zero in all cases were selected using the Schwartz Information Criterion SIC. All the variables appear to be nonstationary in log-levels and station

33、ary in log-returns based on the reported p-values. Table 1 also reports the correlation matrix at lag 0 contemporaneous correlation for both periods. Significant sample cross-correlations are noted for spot and futures returns indicating a high interrelationship between the two markets. However, sin

34、ce linear correlations cannot be expected to fully capture the long-term dynamic linkages in a reliable way, these results should be interpreted with caution. Consequently, what is needed is a long-term causality analysis In the present paper we investigated the existence of linear and nonlinear cau

35、sal relationships between the daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate WTI, which is the underlying commodity of New York Mercantile Exchange's NYMEX oil futures contracts. The data covered two separate periods, namely PI: 10/21/1

36、991-10/29/1999 and PII: 11/1/1999-10/30/2007,with the latter being significantly more turbulent. The study contributed to the literature on the lead-lag relationships between the spot andfutures markets in several ways. In particular, it was shown that the pairwise VECM modeling suggested a strong b

37、idirectional Granger causality between spot and futures prices in both periods, whereas the five-variate implementation resulted in a uni-directional causal linkage from spot to futures prices only in PII. This empirical evidence appears to be in contrast to the results of Silvapulle and Moosa 1999

38、on the futures to spot prices uni-directional relationship. Additionally, whilst the linear causal relationships have disappeared after the cointegration filtering, nonlinear causal linkages in some cases were revealed and more importantly persisted even after multivariate GARCH filtering during bot

39、h periods. Interestingly, it was shown that the five-variate implementation of the GARCH-BEKK filtering, as opposed to the bi-variate, captured the volatility transmission mechanism more effectively and removed the nonlinear causality due to second moment spillover effects. Moreover, the results imp

40、ly that if nonlinear effects are accounted for, neither market leads or lags the other consistently, or in other words the pattern of leads and lags changes over time. Given that causality can vary from one direction to the other at any point in time, a finding of bi-directional causality over the s

41、ample period may be taken to imply a changing pattern of leads and lags over time, providing support to the Kawaller et al. 1988 hypothesis. Hence it can be safely concluded that, although in theory the futures market play a bigger role in the price discovery process, the spot market also plays an i

42、mportant role in this respect. These conclusions, apart from offering a much better understanding of the dynamic linear and nonlinear relationships underlying the crude oil spot and futures markets, may have important implications for market efficiency. For instance, they may be useful in future res

43、earch to quantify the process of market integration or may influence the greater predictability of these markets. An interesting subject for future research is the nature and source of the nonlinear causal linkages. As presented, volatility effects may partly account for nonlinear causality. The GAR

44、CH-BEKK model partially captured the nonlinearity in daily spot and future returns, but only in some cases. An explanation could be that spot and futures returns may exhibit statistically significant higher-order moments. A similar result was reported by Scheinkman and LeBaron, 1989 for stock return

45、s. Alternatively, parameterized asymmetric multivariate GARCH models could be employed in order to accommodate the asymmetric impact of unconditional shocks on the conditional variances.外文題目:The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality 出 處

46、:Energy Economics 作 者:Stelios D.Bekiros , Cees G.H Diks譯 文:原油現貨和期貨價格關系:協整,線性和非線性因果關系摘要 本文研究探討原油現貨價格日報價和西德克薩斯中質油(WTI)距到期1個月,2個月,3個月,4個月的期貨價格的線性及非線性關系。數據包括1991年10月至1999年10月和1999年11月至2007年10月兩個時期,而且后者明顯更加動亂。除了傳統的線性格蘭杰檢驗,在Diks 和 Panchenko進行協整控制后,我們還進行了非線性因果關系的非參數檢驗。除了傳統的成對分析,我們還做了校正其他變量后的因果關系。為了檢測所有研究的非

47、線性都是完全的非線性,我們分析了向量誤差修正模型的濾波殘差的非線性因果關系。最后,我們在使用GARCH-BEKK模型控制了數據中的異方差后對非線性的非因果關系的假設進行了研究。雖然線性因果關系在向量誤差修正模型協整過濾后消失,非線性因果關系在GARCH模型2次過濾后在一些情況下仍然堅持。這說明,現貨與期貨回歸可能會出現顯著不對稱和高階矩。此外,研究結果說明,如果非線性效應被解釋,市場不會一直領先或滯后,也就是說,領先或滯后的形式會隨時間而變化。關鍵詞:非參數的非線性因果關系;石油期貨市場;協整; 期貨市場在有效的價格發現機制的作用,一直是有廣泛實證研究的領域。一些研究以調查市場效率問題為目標來

48、處理商品的現貨和期貨價格之間的超前滯后關系。Garbade和Silber(1983)首先提出了一個模型,來檢驗期貨價格價格發現的作用和套利在商品現貨和期貨市場的價格變動的影響。Garbade-Silber模型被Oellermann 等 1989用在肉牛市場,被Schroeder 和 Goodwin 1991用在生豬商品市場中,被Silvapulle 和 Moosa 1999用在石油市場用來做類似的研究。Bopp 和 Sitzer 1987測試了在燃料油市場期貨價格是現貨價格的良好預測的假設,而Serletis ,Banack 1990 和 Chen ,Lin 2004利用協整分析測試了市場效率

49、。Crowder ,Hamed 1993和Sadorsky 2000也利用協整檢驗了簡單的效率假說和原油期貨套利條件。最后,Schwarz 和Szakmary 1994研究了在原油和取暖油市場的價格發現過程。 從理論上講,因為期貨價格和現貨價格反映了相關資產的相同的總價值,并且考慮到瞬間套利的可能,期貨價格不會引導或滯后于現貨價格。不過,實驗證據是多種多樣的,大多數研究說明,期貨影響現貨價格但不是反之亦然。這樣的結果通常是,由于更低的交易本錢和賣空的靈活性,期貨價格比現貨價格可以更快的對新信息作出反映。參照石油市場,如果有新信息說明石油價格可能會因為OPEC決定限制生產或嚴酷的冬季即將到來,一

50、個投機者有購置期貨原油或現貨原油的選擇。現場購置需要更多的初始費用和更長的時間來實現,而期貨交易可以立即實現,且只需少量的預付金。此外,對實物商品感興趣卻有存儲限制的人將購置期貨合約。因此,套期保值者和投機者都將對期貨的新信息作出反響而不是現貨交易。因為現貨交易的實行比擬慢,所以現貨價格會有滯后反響Silvapulle 和 Moosa, 1999。此外,價格發現機制,如Garbade 和 Silber 1983所示,支持期貨價格引導現貨價格的假說。他們的七個商品市場的研究說明,雖然期貨市場領先現貨市場,后者不只是回應前者。期貨交易也可以在一段時間內促進生產和消費的分配,尤其是提供一個市場方案中

51、的庫存量Houthakker, 1992。在這種情況下,如果逾期交貨的期貨價格高于早期的,消費的延遲和期貨價格的變化會導致隨后現貨價格的變化。根據Newberry(1992),期貨市場通過靈通的消息和其他市場參與者更大的損失來為市場操縱提供時機。例如,OPEC通過干預期貨市場來影響現貨市場競爭對手的生產決策,這對他來說是有利可圖的。最后,關于對期貨和現貨價格因果關系的假設的支持也可以在Moosa 和 Al-Loughani 1995 提出的期貨價格確定模型中找到。在他們的模型中期貨價格取決于需求來自套利和實際期貨價格之間的差異的套利者和需求來自存在預期現貨和實際期貨價格差異的期貨合約的投機者。在這兩種情況下的參考點是期貨價格,而不是現貨價格Silvapulle 和Moosa, 1999。 本研究的目的是測試西德克薩斯中質油(WTI)原油的現貨與期貨價格之間的線性和非線性超前滯后因果關系的存在。這是用來作為世界石油價格的指標,是紐約商品交易所(NYMEX)的原油期貨合約的相關商品。我們應用審查現貨和期貨價格之間的動態關系三步走的實證分析框架。首先,我們運用非參數Diks - Panchenko因果關系檢驗探討線性和非線性動態聯系,協整控制后, 進行一個參數的線性格蘭杰因果關系檢驗。在第二個步驟,使用VAR或VECM模型過