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Shock propagation across the futures term structure: evidence from crude oil prices

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.accessioned2019-10-07T10:36:06Z
dc.date.available2019-10-07T10:36:06Z
dc.date.issued2019
dc.identifier.issn0195-6574
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20031
dc.language.isoenen
dc.subjectMutual informationen
dc.subjectMarket integrationen
dc.subjectInformation flowsen
dc.subjectDirected graphsen
dc.subjectWest Texas Intermediateen
dc.subject.ddc333en
dc.subject.classificationjelE.E4.E43en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelQ.Q3.Q30en
dc.titleShock propagation across the futures term structure: evidence from crude oil pricesen
dc.typeArticle accepté pour publication ou publié
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 a new 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 propose 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.relation.isversionofjnlnameThe Energy Journal
dc.relation.isversionofjnlvol40en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2019
dc.relation.isversionofjnlpages125-153en
dc.relation.isversionofdoi10.5547/01956574.40.3.dlauen
dc.contributor.countryeditoruniversityotherSWITZERLAND
dc.contributor.countryeditoruniversityotherUNITED STATES
dc.subject.ddclabelRessources souterraines ; pétrole, gaz, charbonen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-10-07T08:51:38Z
hal.identifierhal-02307118*
hal.version1*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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