Crude oil price behavior before and after the Gulf War: Implications for commodity pricing and investments in oil-related real options.

摘要

Since the Second Persian Gulf War, crude oil price fundamentals have probably been changed. Therefore, study of the characteristics of price movements before, during, and after the Gulf War help us better understand structural changes in the crude oil market. Using daily and monthly data for NYMEX crude oil futures contracts in chapter 2, empirical results using variations in futures prices, futures bases, and changes in bases confirm the shape of the marginal convenience yield curve. However, using variations in percentage bases, variations in changes in percentage bases, and relative variations between futures and spot prices are not valid measures. In addition, we find no relationship between crude oil futures percentage bases and variations in nominal interest rates.; Chapter 3 applies the risk premium theory to see if the futures price has the forecast power or time-varying risk premium. First, for pre-war data, some high inventory contracts show risk premia and most low inventory futures have forecasting powers. Second, for post-war data, some high futures and all low futures show significant risk premia. Third, for the Gulf War period data, most low contract prices appear to have forecasting powers.; Chapter 4 re-examines the dynamic relationship between spot and futures prices to determine whether investors expect mean reversion. Estimated per period futures term structure slopes with respect to spot prices are all significantly negative: mean reversion in crude oil futures prices is a normal expectation over sample period. Also mean reversion of crude oil futures prices is mostly affected by the positive relation between implied benefit yields and spot prices. Furthermore, for both high and low inventory futures, the post-war data show stronger mean reversion than the pre-war data. This result is inconsistent with a priori expectation, which mean reversion in post-war data is weakened because crude oil futures prices for post-war data are thought to reflect market adjustment toward increased production costs.