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Although the dependency of global economic activity on crude….pdf

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Although the dependency of global economic activity on crude…

Deutsches Institut für Wirtschaftsforschung www.diw.de Discussion Papers 988 Guglielmo Maria Caporale • Davide Ciferri • Alessandro Girardi Time-Varying Spot and Futures Oil Price Dynamics Berlin, March 2010 Opinions expressed in this paper are those of the author(s) and do not necessarily reflect views of the institute. IMPRESSUM © DIW Berlin, 2010 DIW Berlin German Institute for Economic Research Mohrenstr. 58 10117 Berlin Tel. +49 (30) 897 89-0 Fax +49 (30) 897 89-200 http://www.diw.de ISSN print edition 1433-0210 ISSN electronic edition 1619-4535 Available for free downloading from the DIW Berlin website. Discussion Papers of DIW Berlin are indexed in RePEc and SSRN. Papers can be downloaded free of charge from the following websites: http://www.diw.de/de/diw_01.c.100406.de/publikationen_veranstaltungen/publikationen/diskussionspapiere/diskussionspapiere.html /s/diw/diwwpp.html /sol3/JELJOUR_Results.cfm?form_name=journalbrowsejournal_id=1079991 Time-varying spot and futures oil price dynamics a b c Guglielmo Maria Caporale , Davide Ciferri and Alessandro Girardi a Brunel University (London), CESifo and DIW Berlin b University of Perugia c ISAE, Rome March 2010 Abstract We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important role than spot markets in the case of contracts with shorter maturities, but the relative cont