What explains risk premia in crude oil futures?

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Title: What explains risk premia in crude oil futures?
ISBN: 978-952-462-659-0
Author: Melolinna, Marko
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2011
Series number: 2/2011
Year of publication: 2011
Publication date: 5.1.2011
Published in: Published in OPEC Energy Review, 35, 4, December 2011: 287-307
DOI: 10.1111/j.1753-0237.2011.00201.x
Pages: 40 s.
Keywords: öljy; futuurit; riskit; preemiot; mallit; raakaöljy; VAR
Abstract: This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in explaining and forecasting the risk premia in practice. Whilst the existence of the premia and the validity of the models can be established at certain time points, it turns out that the choice of sample period has a considerable effect on he results. Hence, the risk premia are highly timevarying. The study also establishes a model, based on speculative positions in the futures markets, which has some predictive power for future oil spot prices.
Note: Ilmestynyt myös OPEC Energy Review 2011 , 35 ; 4.
Rights: https://helda.helsinki.fi/bof/copyright


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