过剩的期货市场需求会影响石油现货价格吗？

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-07-07 DOI:10.1016/j.eneco.2025.108621

Joseph DeCoste

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引用次数: 0

摘要

在本文中，我发现了新的证据，证明期货市场的过度需求驱动了石油现货价格短期波动的一半以上，并且可以解释一些令人费解的油价行为事件。具体来说，我发现2008年全球金融危机和2014年油价暴跌期间的过度需求发挥了重要作用。这种关系在2003年之后更为强烈，这一时期通常与金融化和商品指数投资的上升有关。这些结果是使用一个新的符号限制向量自回归石油市场模型得到的，该模型明确地包括期货市场。该模型允许检测通过价格信号渠道反馈到现货价格的期货需求效应，而不是之前的研究仅仅依赖于假设的库存反应。

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Does excess futures market demand affect the spot price of oil?

In this paper, I find novel evidence that excess demand in futures markets drives over half of the short run variation in the spot price of oil, and can explain a number of puzzling incidents of oil price behavior. Specifically, I find a major role for excess demand during the 2008 global financial crisis and the 2014 oil price crash. This relationship is much stronger after 2003, the period which is commonly associated with a rise in financialization and commodity index investment. These results are obtained using a novel sign restricted vector autoregressive oil market model that explicitly includes futures markets. The model allows for the detection of futures demand effects which feedback into spot prices through a price signaling channel, in contrast to previous studies relying solely on an assumed inventory response.

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.