Volume 8, Issue 29 (10-2017)                   jemr 2017, 8(29): 7-35 | Back to browse issues page

XML Persian Abstract Print

1- university of tehran
2- Institute for International Energy Studies
3- university of tehran , dadafarid.h@alumni.ut.ac.ir
Abstract:   (4450 Views)
In this paper, risk-premium (the difference between the future prices and expected future spot price) in US crude oil futures market over the period of 1989:1 to 2012: 11 is investigated, and then variability of risk-premium through time is explained. In addition, risk premium in different time horizons of US crude oil futures market is predicted using BVAR and VAR models. The results showed that significantly 10% risk-premium existence in US crude oil futures market is approved for all time horizons (one month, two months, three months and four months), and on the other hand,by comparing RMSE of BVAR and VAR models, the results generally confirmed better predictions of risk premium by BVAR models in comparison with VAR models.

Full-Text [PDF 4501 kb]   (1186 Downloads)    
Type of Study: Applicable | Subject: انرژی، منابع و محیط زیست
Received: 2016/07/20 | Accepted: 2017/10/9 | Published: 2017/12/16

1.  Borissov, B. (1997) ; BVAR Modelling in the Presence of Outliers; A Master thesis. University of Toledo: Department of Economics. http://www.utoledo. com/student/thesis
2.  Chernenko, S. V., Schwarz, K. B., Wright, J. H. (2004). The Information Content of Forward and Futures Prices: Market expectations and the price of risk. Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No. 808. [DOI:10.2139/ssrn.560386]
3.  Chinn, M., LeBlanc, M., Coibion, O. (2005). The Predictive Content of Energy Futures: An Update on Petroleum, Natural gas, Heating Oil and Gasoline. NBER Working Paper No. 11033, February. [DOI:10.3386/w11033]
4.  Considine, T. J., & Larson, D. F. (2001). Risk Premiums on Inventory Assets: The Case of Crude Oil and Natural Gas. The Journal of Futures Markets, 21, 109-126. https://doi.org/10.1002/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A [DOI:10.1002/1096-9934(200102)21:23.0.CO;2-A]
5. https://doi.org/10.1002/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A https://doi.org/10.1002/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A [DOI:10.1002/1096-9934(200102)21:23.0.CO;2-A]
6. https://doi.org/10.1002/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A https://doi.org/10.1002/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A [DOI:10.1002/1096-9934(200102)21:23.0.CO;2-A]
7. https://doi.org/10.1002/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A https://doi.org/10.1002/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A [DOI:10.1002/1096-9934(200102)21:23.0.CO;2-A]
8.  Cootner, P. H. (1960). Returns to Speculators: Telser vs. keynes, Journal of Political Economy, 68, 396-404. [DOI:10.1086/258347]
9.  Deaves, R., & Krinsky, I. (1995). Do Futures Prices for Commodities Embody, Risk Premiums?. The Journal of Futures Markets, (15) 6, 637-648. [DOI:10.1002/fut.3990150604]
10.  Derakhshan, M. (2011). Derivatives and Risk Management in Oil Markets. Second Edition, Tehran: Institute of International Energy Studies, 543-564.
11.  Fama, E., & French, K. (1987) Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and The Theory of Storage. Journal of Business, (60)1, 55-73. [DOI:10.1086/296385]
12.  Faridzad, A., & Mohajeri, A. (2011). Investigating of Crude Price Relationships in Spot Markets and Futures Markets Based on Basis of Risk and Crude Oil StorageUsing GARCH Model. Journal of Economic Modeling Research, 5, 75-103.
13.  Gorton, G., Hayashi, F., Rouwenhorst, K. G. ( 2012). The Fundamentals of Commodity Futures Returns. National Bureau of Economic Research. [DOI:10.1093/rof/rfs019]
14.  Hicks, J.R. (1939). Value and Capital. Oxford: Oxford University Press.
15.  Kaldor, N. (1939). Speculation and Economic Stability. Review of Economic Studies, 7, 1.-27. [DOI:10.2307/2967593]
16.  Karlsson, L.S & Kadiyala, K.R. (1993). Forecasting with Generelized Bayesian Vector Autoregressions. Journal of Forecasting, 12. [DOI:10.1002/for.3980120314]
17.  Kellard, N., Newbold, P., Rayner, T., Ennew, C. (1999). The Relative Efficiency of Commodity Futures Markets. The Journal of Futures Markets, 19, 413-432. https://doi.org/10.1002/(SICI)1096-9934(199906)19:4<413::AID-FUT2>3.0.CO;2-F [DOI:10.1002/(SICI)1096-9934(199906)19:43.0.CO;2-F]
18. https://doi.org/10.1002/(SICI)1096-9934(199906)19:4<413::AID-FUT2>3.0.CO;2-F https://doi.org/10.1002/(SICI)1096-9934(199906)19:4<413::AID-FUT2>3.0.CO;2-F [DOI:10.1002/(SICI)1096-9934(199906)19:43.0.CO;2-F]
19. https://doi.org/10.1002/(SICI)1096-9934(199906)19:4<413::AID-FUT2>3.0.CO;2-F https://doi.org/10.1002/(SICI)1096-9934(199906)19:4<413::AID-FUT2>3.0.CO;2-F [DOI:10.1002/(SICI)1096-9934(199906)19:43.0.CO;2-F]
20. https://doi.org/10.1002/(SICI)1096-9934(199906)19:4<413::AID-FUT2>3.0.CO;2-F https://doi.org/10.1002/(SICI)1096-9934(199906)19:4<413::AID-FUT2>3.0.CO;2-F [DOI:10.1002/(SICI)1096-9934(199906)19:43.0.CO;2-F]
21.  Keynes, J. M. (1930). A Treatise on Money. Volume II, London: MacMillan.
22.  Litterman, R.B. (1981). A Bayesian Procedure for Forecasting with Vector Autoregression. Federal Reserve Bank of Minneapolis, Working paper.
23.  Mazraati, M. (1999) ; Comparison of prediction performance in VAR and BVAR models (demand for major energy in Iran); Ph.D thesis, University of Tehran: Faculty of Economics.
24.  Melolinna, M. (2011). What Explains Risk Premia in Crude Oil Futures?. Monetary Policy and Research Department, Bank of Finland Research Discussion Papers. [DOI:10.2139/ssrn.1763231]
25.  Moosa, I. A., & Al-Loughani, N. E. (1994). Unbiasedness and Time Varying Risk Premia in The Crude Oil Futures Mrket. Energy Economics, 16, 99-105. [DOI:10.1016/0140-9883(94)90003-5]
26.  Pagano, P., & Pisani, M. (2009). Risk-Adjusted Forecasts of Oil Prices. The B.E. Journal of Macroeconomics.(9)6, 1-26. [DOI:10.2202/1935-1690.1626]
28.  Peroni, E., & McNown, R. (1998). Noninformative and Informative Tests of Effciency in Three Energy Futures Markets. The Journal of Futures Markets, 18, 939-964. https://doi.org/10.1002/(SICI)1096-9934(199812)18:8<939::AID-FUT4>3.0.CO;2-4 [DOI:10.1002/(SICI)1096-9934(199812)18:83.0.CO;2-4]
29. https://doi.org/10.1002/(SICI)1096-9934(199812)18:8<939::AID-FUT4>3.0.CO;2-4 https://doi.org/10.1002/(SICI)1096-9934(199812)18:8<939::AID-FUT4>3.0.CO;2-4 [DOI:10.1002/(SICI)1096-9934(199812)18:83.0.CO;2-4]
30. https://doi.org/10.1002/(SICI)1096-9934(199812)18:8<939::AID-FUT4>3.0.CO;2-4 https://doi.org/10.1002/(SICI)1096-9934(199812)18:8<939::AID-FUT4>3.0.CO;2-4 [DOI:10.1002/(SICI)1096-9934(199812)18:83.0.CO;2-4]
31. https://doi.org/10.1002/(SICI)1096-9934(199812)18:8<939::AID-FUT4>3.0.CO;2-4 https://doi.org/10.1002/(SICI)1096-9934(199812)18:8<939::AID-FUT4>3.0.CO;2-4 [DOI:10.1002/(SICI)1096-9934(199812)18:83.0.CO;2-4]
32.  Pindyck, R. (2001). The Dynamics of Commodity Spot and Futures Markets: A Primer. The Energy Journal, 22, 1-29. [DOI:10.5547/ISSN0195-6574-EJ-Vol22-No3-1]
33.  Theil, H., & Goldberger, A. (1961). On Pure and Mixed Estimation in Economics. International Economic Review, 2, 65-78. [DOI:10.2307/2525589]
34.  Todd, R.M. (1990). Improving Economic Forecasting with Bayesian Vector Autoregression. Edited in: "Modelling Economic Series, Editor: Granger C.W.J, Oxford University Press.

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.