Dynamics of Arbitrage
Tóm tắt
We study the dynamics of cash-and-carry arbitrage using the U.S. crude oil market. Sizable arbitrage-related inventory movements occur at the New York Mercantile Exchange (NYMEX) futures contract delivery point but not at other storage locations, where instead, operational factors explain most inventory changes. We add to the theory-of-storage literature by introducing two new features. First, due to arbitrageurs contracting ahead, inventories respond to not only contemporaneous but also lagged futures spreads. Second, storage-capacity limits can impede cash-and-carry arbitrage, leading to the persistence of unexploited arbitrage opportunities. Our findings suggest that arbitrage-induced inventory movements are, on average, price stabilizing.
Từ khóa
Tài liệu tham khảo
2008, Interim Report on Crude Oil
2008, Medium-Term Oil Market Report
Working, 1949, The Theory of Price of Storage, American Economic Review, 39, 1254
Brennan, 1958, The Supply of Storage, American Economic Review, 48, 50
Goldstein, 2016
Chen, N. ; Dehghan, H. ; Ding, M. ; Du, J. ; Dwyer, D. ; Edwards, J. ; Ferry, D. ; Nazaren, P. ; Sun, Z. ; Zhang, J. ; and Zhang, S. . “EDF9: Introduction and Overview: Modeling Methodology.” White Paper, Moody’s Analytics, Quantitative Research Group, Moody’s Investors Service (2015).
Pirrong, 2012, Commodity Price Dynamics: A Structural Approach
Chinn, 2005
Stoll, 2010, Commodity Index Investing and Commodity Futures Prices, Journal of Applied Finance, 20, 7
Knittel, 2016, The Simple Economics of Commodity Price Speculation, American Economic Journal: Macroeconomics, 8, 85
Masters, 2008, Testimony before the Committee on Homeland Security and Governmental Affairs
Baker, 2020, Management Science
Parsons, 2010, Black Gold and Fool’s Gold: Speculation in the Oil Futures Market, Economia, 10, 81
Gilbert, 2010, Commodity Market Review, 2009–2010
Merton, 1974, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, 29, 449
Davis, 2007, Where Has All the Oil Gone?, Wall Street Journal