برآورد پاداش ریسک در بازار آتی های نفت خام با رویکرد خودرگرسیونی برداری بیزین

نویسندگان
نفیسه بهرادمهر 1
محسن مهرآرا 1
محمد مزرعتی 2
هادی دادآفرید 1
1 دانشکده اقتصاد دانشگاه تهران
2 موسسه مطالعات بین المللی انرژی
10.29252/jemr.8.29.7
چکیده
در این مقاله، وجود پاداش ریسک(تفاوت بین قیمت آتی­ ها و قیمت نقدی مورد انتظار) در بازار آتی های نفت خام آمریکا طی دوره ۱۹۸۹:۰۱ تا ۲۰۱۲:۱۱ بررسی شده است و پس از آن تغییرپذیر بودن پاداش ریسک در طول زمان توضیح داده است. همچنین با استفاده از مدل‌های خودرگرسیون برداری بیزین(BVAR) و خودرگرسیون برداری(VAR)، پاداش ریسک در افق‌های زمانی مختلف در بازار آتی های نفت خام آمریکا پیش‌بینی می‌شود. نتایج تحقیق نشان می­ دهد که در سطح معناداری ۱۰ درصد در تمامی افق­ های زمانی (یک ماهه، دو ماهه، سه ماهه و چهار ماهه) وجود پاداش ریسک در بازار آتی های نفت خام آمریکا تایید می­ شود و از طرفی دیگر، با توجه به مقایسه RMSEمدل­ های مختلف BVAR و VAR، بهتر بودن پیش­ بینی­ های پاداش ریسک توسط مدل­ های BVAR نسبت به مدل­ های VAR تایید می شود.
کلیدواژه‌ها
قیمت نقدی مورد انتظار
قیمت آتی‌هاٰ
پاداش ریسک
نفت خام آمریکا (WTI)
مدل BVAR

عنوان مقاله English

Forecasting Risk Premium in Crude Oil futures Market with BVAR

نویسندگان English

nafiseh behradmehr 1
mohsen mehrara 1
mohammad mazraati 2
hadi dadafarid 1
1 university of tehran
2 Institute for International Energy Studies
چکیده English

In this paper, risk-premium (the difference between the future prices and expected future spot price) in US crude oil futures market over the period of 1989:1 to 2012: 11 is investigated, and then variability of risk-premium through time is explained. In addition, risk premium in different time horizons of US crude oil futures market is predicted using BVAR and VAR models. The results showed that significantly 10% risk-premium existence in US crude oil futures market is approved for all time horizons (one month, two months, three months and four months), and on the other hand,by comparing RMSE of BVAR and VAR models, the results generally confirmed better predictions of risk premium by BVAR models in comparison with VAR models.

کلیدواژه‌ها English

Expected Future Spot Price
Futures Price
Risk Premium
US Crude Oil (WTI)
BVAR Model
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