Oil Futures Prices in a Production Economy with Investment Constraints
发现原油期货价格波动与远期曲线斜率呈V形关系，并构建了一个考虑投资不可逆和产能约束的均衡模型来解释这一现象，对能源市场投资者和政策制定者有参考价值。
ABSTRACT We document a new stylized fact, that the relationship between the volatility of oil futures prices and the slope of the forward curve is nonmonotone and has a V‐shape. This pattern cannot be generated by standard models that emphasize storage. We develop an equilibrium model of oil production in which investment is irreversible and capacity constrained. Investment constraints affect firms' investment decisions and imply that the supply elasticity changes over time. Since demand shocks must be absorbed by changes in prices or changes in supply, time‐varying supply elasticity results in time‐varying volatility of futures prices. Estimating this model, we show it is quantitatively consistent with the V‐shape relationship between the volatility of futures prices and the slope of the forward curve.