| Title: |
1 BUBBLING OVER ALONG THE OIL FUTURES YIELD CURVE |
| Authors: |
Daniel Tsvetanov; Jerry Coakley; Neil Kellard; Jel Code G |
| Contributors: |
The Pennsylvania State University CiteSeerX Archives |
| Source: |
http://www.efmaefm.org/0EFMAMEETINGS/EFMA ANNUAL MEETINGS/2014-Rome/papers/EFMA2014_0601_fullpaper.pdf. |
| Publication Year: |
2013 |
| Collection: |
CiteSeerX |
| Subject Terms: |
Multiple bubbles; Spot and futures prices; Bubble dating algorithm; Bubble duration |
| Description: |
We employ novel tests to investigate WTI crude oil spot and futures prices along the yield curve for the presence of rational bubbles. The empirical methodology adopted is consistent with periods of multiple bubbles and permits the origination and end dates of each bubble to be identified. The results indicate that all but the spot and nearby series exhibit significant bubble periods ending in late 2008. Moreover, the dating algorithms establish that the bubbles in longer-dated contracts start much earlier and are longer lasting than the bubble in the 3- to 12-month contracts. This information from the oil futures yield curve suggests a period of disconnect between the spot and longer dated futures contracts from 2004 to late 2008 which coincides with a spell of increased institutional investment in oil futures. |
| Document Type: |
text |
| File Description: |
application/pdf |
| Language: |
English |
| Relation: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.636.7711 |
| Availability: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.636.7711; http://www.efmaefm.org/0EFMAMEETINGS/EFMA ANNUAL MEETINGS/2014-Rome/papers/EFMA2014_0601_fullpaper.pdf |
| Rights: |
Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: |
edsbas.781E370A |
| Database: |
BASE |