What explains risk premia in crude oil futures?

Arbeitspapier

This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in explaining and forecasting the risk premia in practice. Whilst the existence of the premia and the validity of the models can be established at certain time points, it turns out that the choice of sample period has a considerable effect on he results. Hence, the risk premia are highly timevarying. The study also establishes a model, based on speculative positions in the futures markets, which has some predictive power for future oil spot prices.

Object Details

• ISBN: 978-952-462-659-0
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Finland Research Discussion Papers ; No. 2/2011

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Melolinna, Marko
• Event: Veröffentlichung
• (who): Bank of Finland
• (where): Helsinki
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/212181
• Last update: 10.03.2025, 11:43 AM CET