Show simple item record

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorLautier, Delphine
hal.structure.identifier
dc.contributor.authorRaynaud, Franck
hal.structure.identifierUniversity of Illinois
dc.contributor.authorRobe, Michel
dc.date.accessioned2018-04-27T11:29:28Z
dc.date.available2018-04-27T11:29:28Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17707
dc.language.isoenen
dc.subjectMutual informationen
dc.subjectMarket integrationen
dc.subjectShocks propagationen
dc.subjectInformation flowsen
dc.subjectDirected graphsen
dc.subjectTerm structureen
dc.subjectFuturesen
dc.subjectCrude oilen
dc.subjectWTIen
dc.subject.ddc332en
dc.subject.classificationjelQ.Q0.Q02en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelG.G4.G40en
dc.titleShock Propagation Across the Futures Term Structure: Evidence from Crude Oil Pricesen
dc.typeCommunication / Conférence
dc.description.abstractenTo what extent are futures prices interconnected across the maturity curve? Where in the term structure do price shocks originate, and which maturities do they reach? We propose an approach based on information theory to study these cross-maturity linkages and the extent to which connectedness is impacted by market events. We introduce the concepts of backward and forward information flows, and a novel type of directed graph, to investigate the propagation of price shocks across the WTI term structure. Using daily data, we show that the mutual information shared by contracts with different maturities increases substantially starting in 2004, falls back sharply in 2011-2014, and recovers thereafter. Our findings point to a puzzling re-segmentation by maturity of the WTI market in 2012-2014. We document that, on average, short-dated futures emit more information than do backdated contracts. Importantly, however, we also show that significant amounts of information flow backwards along the maturity curve -- almost always from intermediate maturities, but at times even from far-dated contracts. These backward flows are especially strong and far-reaching amid the 2007-2008 oil price boom/bust.en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2430168en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleUS Commodity Futures and Trading Commission Seminaren
dc.relation.confdate2018-02
dc.relation.confcityWashingtonen
dc.relation.confcountryUnited Statesen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2018-04-25T09:49:46Z
hal.faultCode{"meta":{"jel":["Vous ne pouvez pas saisir d'autres valeurs ('G.G4.G40') que celles se trouvant dans l'arbre ci-dessous..."]}}
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record