Cavalcante, Mileno (2010): An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009.
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The main objective of this paper is to analyze the behavior of the term structure of the WTI futures market between 2002 and 2009, period known by a sustained price rise followed by a price slump and again by a new price rise. To achieve this goal, we use Principal Component Analysis (PCA) to decompose WTI futures price series into components which are used to explain series variability (e.g. changes in its term structure). After it, we try to identify how changes in oil markets fundamentals (physical and financial) may have contributed to oil futures term structure variability. The impact of these variables on WTI term structure is assessed using impulse-response functions and variance decomposition analysis. This work is of interest to market analysts, hedgers, and traders, among others, because it helps to clarify how changes in oil markets may affect their strategies in these markets.
|Item Type:||MPRA Paper|
|Original Title:||An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009|
|English Title:||An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009|
|Keywords:||WTI Term Structure; Principal Components Analysis; VARXs Models; Futures Pricing; Oil Market Fundamentals|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General
Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q49 - Other
G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing ; Futures Pricing
|Depositing User:||Mileno T. Cavalcante|
|Date Deposited:||06. Aug 2010 11:26|
|Last Modified:||14. Feb 2013 11:53|
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