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Basis Variation and the Role of Inventories: Evidence from the Crude Oil Market

Abstract:

Understanding the variation in the spread between the futures price and the spot price (known as the basis) is important for efficient hedging and for explaining the dynamics of commodity spot prices. Classical studies based on the theory of storage explain the variation in the basis in terms of changes in the fundamentals of supply and demand and/or storage technology of the underlying commodity (Kaldor, 1939; Working, 1948; Brennan, 1958; and Telser, 1958). Other studies explain the variati...

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Publication status:
Published
Peer review status:
Not peer reviewed

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Institution:
University of Oxford
Department:
Oxford Institute for Energy Studies
Role:
Author
Publication date:
2009-01-01
Language:
English
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UUID:
uuid:012e8b60-4b3c-4137-9f51-8bee98732a2c
Local pid:
ora:10164
Deposit date:
2015-02-24

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