This study examines the impacts of inventory and financial instability on the basis of the crude oil market. The results show that, first, the basis rises with inventory, and this effect is higher during low inventory regimes. This validates the theory of storage in the crude oil market. Second, the basis rises with financial instability, and this effect is higher during turbulent regimes. These results warn the oil market participants that, to make decisions based on the basis variation, traditionally known as a signal of scarcity or abundance, the underlying cause of the variation has to be considered.

Ahmadi, M., Bashiri Behmiri, N., Manera, M. (2020). The theory of storage in the crude oil futures market, the role of financial conditions. THE JOURNAL OF FUTURES MARKETS, 40(7), 1160-1175 [10.1002/fut.22113].

The theory of storage in the crude oil futures market, the role of financial conditions

Ahmadi M.
Primo
;
Manera M.
Ultimo
2020

Abstract

This study examines the impacts of inventory and financial instability on the basis of the crude oil market. The results show that, first, the basis rises with inventory, and this effect is higher during low inventory regimes. This validates the theory of storage in the crude oil market. Second, the basis rises with financial instability, and this effect is higher during turbulent regimes. These results warn the oil market participants that, to make decisions based on the basis variation, traditionally known as a signal of scarcity or abundance, the underlying cause of the variation has to be considered.
Articolo in rivista - Articolo scientifico
crude oil futures; financial stress; inventory; theory of storage; threshold SVAR;
English
12-mar-2020
2020
40
7
1160
1175
reserved
Ahmadi, M., Bashiri Behmiri, N., Manera, M. (2020). The theory of storage in the crude oil futures market, the role of financial conditions. THE JOURNAL OF FUTURES MARKETS, 40(7), 1160-1175 [10.1002/fut.22113].
File in questo prodotto:
File Dimensione Formato  
Ahmadi -2020-Journal of Futures Markets-VoR.pdf

Solo gestori archivio

Descrizione: The Theory of Storage in crude oil futures market, the role of financial conditions
Tipologia di allegato: Publisher’s Version (Version of Record, VoR)
Licenza: Tutti i diritti riservati
Dimensione 1.42 MB
Formato Adobe PDF
1.42 MB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/270545
Citazioni
  • Scopus 11
  • ???jsp.display-item.citation.isi??? 11
Social impact