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The informational value of crude oil futures prices

Lautier, Delphine (2003), The informational value of crude oil futures prices, Congrès de l'Association Française de FInances (AFFI), 2003-06, Lyon, France

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Lautier_cereg200306_1.PDF (447.4Kb)
Type
Communication / Conférence
Date
2003
Titre du colloque
Congrès de l'Association Française de FInances (AFFI)
Date du colloque
2003-06
Ville du colloque
Lyon
Pays du colloque
France
Pages
26
Métadonnées
Afficher la notice complète
Auteur(s)
Lautier, Delphine
Résumé (EN)
In order to enhance the understanding of the term structure of commodity prices, this article examines the temporal integration of the American crude oil futures market. The study relies on a database including futures prices for very long maturities (as far as seven years) and compares their informational value for various delivery dates. Segmentation is defined as a situation where different parts of the prices curve are disconnected from each other’s. Consequently, the information conveyed by some futures prices is useless to reconstitute the rest of the curve. Empirical tests are carried out with a term structure model, whose performances depend on the informational value of the futures prices retained for its estimation. The results lead to the conclusion that the crude oil futures market is segmented into three parts. The first corresponds to maturities below 28 months, the second is situated between the 29th and the 47th months, and the third consists of maturities ranging from the 4th to the 7th year.
Mots-clés
Kalman filter; Term structure; Crude oil; Segmentation
JEL
B23 - Econometrics; Quantitative and Mathematical Studies
O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products

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