지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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We analyze the adjustment process to long-run equilibrium and short-run dynamics with WTI spot and futures prices using a bivariate 3-regime TVECM. After dividing the entire sample into 5 sub-samples, we apply this model to each sub-sample. This allows us to check the differentiable effects of market conditions which can vary by sub-samples and regimes, on investors' behaviors. The estimation results show quite interesting points.
First, the middle regimes of all 5 sub-samples are not targeted by investors, so we can find their activities only in lower and/or upper regimes. Second, we can make 3 different groups with 5 sub-samples. Sub-sample 1shows brisk movements in futures markets under the price information leadership of spot markets and relatively longer adjustment time compared to the other 4 sub-samples. Sub-samples 2, 3, and 4 show the opposite phenomena to sub-sample 1 probably caused by sporadic big shocks on world economy. Sub-sample 5 shows mixed results in lower and upper regimes. We can analyze quite differentiable and opposite adjustments according to regimes in this sub-sample even under the dominated contango condition, which can be regarded as the precious harvest of employing a bivariate 3-regime TVECM in this paper.
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참고문헌 (24)
참고문헌 신청
Andrews D.W.K. / 1993 / Tests for parameter instability and structural change with unknown change point / Econometrica 61
Andrews D.W.K. / 1994 / Optimal tests when a nuisance parameter is present only under the alternative / Econometrica 62
Bai J. / 1998 / Estimating and testing linear models with multiple structural changes / Econometrica 66
Brennan M.J. / 1958 / The supply of storage / American Economic Review 48
Brock W.A. / 1987 / A test for independence based on the correlation dimension
Andrews D.W.K. / 1994 / Optimal tests when a nuisance parameter is present only under the alternative / Econometrica 62
Bai J. / 1998 / Estimating and testing linear models with multiple structural changes / Econometrica 66
Brennan M.J. / 1958 / The supply of storage / American Economic Review 48
Brock W.A. / 1987 / A test for independence based on the correlation dimension
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