| Price discount, inventories and the distortion of WTI benchmark | |
|---|---|
| 學年 | 100 |
| 學期 | 1 |
| 出版（發表）日期 | 2012-01-01 |
| 作品名稱 | Price discount, inventories and the distortion of WTI benchmark |
| 作品名稱（其他語言） | |
| 著者 | Kao, Chung-Wei; Wan, Jer-Yuh |
| 單位 | 淡江大學經濟學系 |
| 出版者 | Amsterdam: Elsevier BV * North-Holland |
| 著錄名稱、卷期、頁數 | Energy Economics 34(1), pp.117–124 |
| 摘要 | Applying a rolling estimation to the Hasbrouck information share model, this study investigates the changing status of WTI benchmark over time. Results show the ability of WTI in reflecting market conditions decreases sharply, and WTI's efficiency in processing information has been surpassed by Brent's since the second half of 2004. In the short run, the WTI distortion is related to its price discount problem, but the distortion cannot be indicated by contangos. In the long run, WTI's price discount problem coexists with a positive forward curve and both have harmed the price discovery role of WTI. The rising inventories in Cushing significantly deteriorate WTI's ability in serving as a world benchmark. |
| 關鍵字 | Oil price; Hasbrouck model; WTI Cushing problems; Rolling estimation |
| 語言 | en |
| ISSN | 0140-9883 |
| 期刊性質 | 國外 |
| 收錄於 | SCI SSCI EI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/75285 ) |
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