Modelling the Global Price of Oil:Is there any Role for the Oil Futures-spot Spread?
用布伦特原油3个月期货与现货的价差替代全球原油库存代理变量，构建结构向量自回归模型，发现价差与石油实际价格正相关，且能更好捕捉金融市场的投机冲击。
This paper illustrates the main benefits of accounting for the oil futures-spot spread in a Structural Vector Autoregressive model of the international market for crude oil. To this end, we replace the proxy for global above-ground crude oil inventories with the spread, which is derived by Brent crude futures prices with maturity 3-months. This model can be motivated on the basis of several economic considerations. First, the spread exploits the price discovery role in the crude oil futures markets. Second, the spread-based model alongside a proper set of identifying assumptions accounts for the presence of informational frictions and it allows for the feedback effect from futures to spot markets. Finally, the inventory proxy is affected by measurement error. The dynamic response functions show a positive relationship between the spread and the real price of oil, triggered by speculative shocks to financial markets. Moreover, this study provides a clear picture of the historical dynamic of the real price of oil and the spread during some of the exogenous events in the oil markets.