What do we learn from the price of crude oil futures?
研究发现原油期货价格预测现货价格不如无变化预测准确，原因是期货价差波动反映了库存边际便利收益，且期货价差负值可作为预防性需求驱动的油价波动指标。
Abstract Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to be less accurate in the mean‐squared prediction error sense than no‐change forecasts. This result is driven by the variability of the futures price about the spot price, as captured by the oil futures spread. This variability can be explained by the marginal convenience yield of oil inventories. Using a two‐country, multi‐period general equilibrium model of the spot and futures markets for crude oil we show that increased uncertainty about future oil supply shortfalls under plausible assumptions causes the spread to decline. Increased uncertainty also causes precautionary demand for oil to increase, resulting in an immediate increase in the real spot price. Thus the negative of the oil futures spread may be viewed as an indicator of fluctuations in the price of crude oil driven by precautionary demand. An empirical analysis of this indicator provides evidence of how shifts in the uncertainty about future oil supply shortfalls affect the real spot price of crude oil. Copyright © 2010 John Wiley & Sons, Ltd.