教師資料查詢 | 類別: 期刊論文 | 教師: 萬哲鈺 Wan Jer-yuh (瀏覽個人網頁)

標題: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
語言英文
ISSN0140-9883
期刊性質國外
收錄於SCI;SSCI;EI
產學合作
通訊作者
審稿制度
國別荷蘭
公開徵稿
出版型式紙本
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