Modelling the Global Price of Oil: Is there any Role for the Oil Futures-spot Spread?

In this work, we propose an analysis of the global market for crude oil based on a revised version Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On respect, replace proxy above-ground inventories with futures-spot spread. The latter is defined as percent deviation futures price from spot it represents measure convenience yield but expressed opposite sign. following provides economic interpretation residual structural shock, namely financial shock. This new shock designed to capture unanticipated change in benefit holding that driven incentives. We find evidence shocks have played important role explaining rises during period 2003-2008.