Fundamentals, Derivatives Market Information, and Crude Oil Price Swings

摘要

We ask whether, after controlling for macroeconomic conditions and physicalmarketfundamentals, financial variables can help forecast disturbances in thecrude oil price space. In particular, we investigate the explanatory power of theterm structure of oil futures volatilities; relative changes in the extent of pricecointegration across the oil futures maturity curve; and, weekly public data onthe aggregate oil futures positions of commodity index traders, hedge funds andcalendar spread traders. Drawing on extant models linking commodityinventories and the term structure of futures prices, we propose and testempirically several conjectures about how the terms of futures calendar spreadshelp predict the magnitude and duration of oil-market disturbances.