Does excess futures market demand affect the spot price of oil?
研究发现期货市场的过度需求能解释石油现货价格短期变动的一半以上，尤其在2008年金融危机和2014年油价暴跌中作用显著，且2003年后金融化时期影响更强。
In this paper, I find novel evidence that excess demand in futures markets drives over half of the short run variation in the spot price of oil, and can explain a number of puzzling incidents of oil price behavior. Specifically, I find a major role for excess demand during the 2008 global financial crisis and the 2014 oil price crash. This relationship is much stronger after 2003, the period which is commonly associated with a rise in financialization and commodity index investment. These results are obtained using a novel sign restricted vector autoregressive oil market model that explicitly includes futures markets. The model allows for the detection of futures demand effects which feedback into spot prices through a price signaling channel, in contrast to previous studies relying solely on an assumed inventory response.