外文题目：  The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality           
出    处：              Energy Economics                       
作    者：            Stelios D.Bekiros , Cees G.H Diks     
原    文:
The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality!
Abstract
The present study investigates the linear and nonlinear causal linkages between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil. The data cover two periods October 1991-October 1999 and November 1999-October 2007, with the latter being significantly more turbulent. Apart from th
e conventional linear Granger test we apply a new nonparametric test for nonlinear causality by Diks and Panchenko after controlling for cointegration. In addition to the traditional pairwise analysis, we test for causality while correcting for the effects of the other variables. To check if any of the observed causality is strictly nonlinear in nature, we also examine the nonlinear causal relationships of VECM filtered residuals. Finally, we investigate the hypothesis of nonlinear non-causality after controlling for conditional heteroskedasticity in the data using a GARCH-BEKK model. Whilst the linear causal relationships disappear after VECM cointegration filtering, nonlinear causal linkages in some cases persist even after GARCH filtering in both periods. This indicates that spot and futures returns may exhibit asymmetries and statistically significant higher-order moments. Moreover, the results imply that if nonlinear effects are accounted for, neither market leads or lags the other consistently, videlicet the pattern of leads and lags changes over time.
Keywords: Nonparametric nonlinear causality; Oil Futures Market; Cointegration;
The role of futures markets in providing an efficient price discovery mechanism has been a
n area of extensive empirical research. Several studies have dealt with the Lead-lag relationships between spot and futures prices of commodities with the objective of investigating the issue of market efficiency. Garbade and Silber (1983) first presented a model to examine the price discovery role of futures prices and the effect of arbitrage on price changes in spot and futures markets of commodities. The Garbade-Silber model was applied to the feeder cattle market by Oellermann et al. (1989) and to the live hog commodity market by Schroeder and Goodwin (1991), while a similar study by Silvapulle and Moosa (1999) examined the oil market. Bopp and Sitzer (1987) tested the hypothesis that futures prices are good predictors of spot prices in the heating oil market, while Serletis and Banack (1990) and Chen and Lin (2004) tested for market efficiency using cointegration analysis. Crowder and Hamed (1993) and Sadorsky (2000) also used cointegration to test the simple efficiency hypothesis and the arbitrage condition for crude oil futures. Finally, Schwarz and Szakmary (1994) examined the price discovery process in the markets of crude and heating oil.
In theory, since both futures and spot prices “refect”the same aggregate value of the underl
ying asset and considering that instantaneous arbitrage is possible, futures should neither lead nor lag the spot price. However, the empirical evidence is diverse, although the majority of studies indicate that futures influence spot prices but not vice versa. The usual rationalization of this result is that the futures prices respond to new information more quickly than spot prices, due to lower transaction costs and flexibility of short selling. With reference to the oil market, if new information indicates that oil prices are likely to rise, perhaps because of an OPEC decision to restrict production, or an imminent harsh winter, a speculator has the choice of either buying crude oil futures or spot. Whilst spot purchases require more initial outlay and may take longer to implement, futures transactions can be implemented immediately by speculators without an interest in the physical commodity per se and with little up-front cash. Moreover, hedgers who are interested for the physical commodity and have storage constraints will buy futures contracts. Therefore, both hedgers and speculators will react to the new information by preferring futures rather than spot transactions. Spot prices will react with a lag because spot transactions cannot be executed so quickly (Silvapulle and Moosa, 1999). Furthermore, the price discovery mecha
nism, as illustrated by Garbade and Silber (1983), supports the hypothesis that futures prices lead spot prices. Their study of seven commodity markets indicated that, although futures markets lead spot markets, the latter do not just echo the former. Futures trading can also facilitate the allocation of production and consumption over time, particularly by providing a market scheme in inventory holdings (Houthakker, 1992). In this case, if futures prices for late deliveries are above those for early ones, delay of consumption becomes attractive and changes in futures prices result in subsequent changes in spot prices. According to Newberry (1992) futures markets provide opportunities for market manipulation by the better informed or larger at the expense of other market participants. For example, it is profitable for the OPEC to intervene in the futures market to influence the production decisions of its competitors in the spot market. Finally, support for the hypothesis that causality runs from futures to spot prices can also be found in the model of determination of futures prices proposed by Moosa and Al-Loughani (1995). In their model the futures price is determined by arbitrageurs whose demand depends on the difference between the arbitrage and actual futures price and by speculators whose demand for future
s contracts depends on the difference between the expected spot and the actual futures price. The reference point in both cases is the futures price and not the spot price (Silvapulle and Moosa, 1999). 
The aim of the present study is to test for the existence of linear and nonlinea causal lead-lag relationships between spot and futures prices of West Texas Intermediate(WTI) crude oil, which is used as an indicator of world oil prices and is the underlying commodity of New York Mercantile Exchange's (NYMEX) oil futures contracts. We apply a three-step empirical framework for examining dynamic relationships between spot and futures prices. First, we explore nonlinear and linear dynamic linkages applying the nonparametric Diks-Panchenko causality test, and after controlling for cointegration, a parametric linear Granger causality test. In the second step, after filtering the return series using the properly specified VAR or VECM model, the series of residuals are examined by the nonparametric Diks-Panchenko causality test. In addition to applying the usual bivariate VAR or VECM model to each pair of time series, we also consider residuals of a full five-variate model to account for the possible effect of the other variables. This step ensures that any remaining causality is stric
tly nonlinear in nature, as the VAR or VECM model has already purged the residuals of linear dependence. Finally, in the last step, we investigate the null hypothesis of nonlinear non-causality after controlling for conditional heteroskedasticity in the data using a GARCH-BEKK model, again both in a bivariate and in a five-variate representation. Our approach incorporates the entire variance-covariance structure of the spot and future prices interrelationship. The empirical methodology employed with the multivariate GARCH-BEKK model can not only help to understand the short-run movements, but also explicitly capture the volatility persistence mechanism. Improved knowledge of the direction and nature of causality and interdependence between the spot and futures markets, and consequently the degree of their integration, will expand the information set available to policymakers, international portfolio managers and multinational corporations for decision-making.
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