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Optimal Seasonal Distillate Inventory

Charles Tiplitz

Year: 1986
Volume: Volume 7
Number: Number 3
DOI: 10.5547/ISSN0195-6574-EJ-Vol7-No3-6
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Abstract:
This paper summarizes an investigation of the seasonal inventory of distillate (heating) oil. My object was to determine the extra amount of distillate stock (usually called seasonal stock) to be held at the primary echelon at the beginning of the heating season (about October 31).It began with the usual belief that some traditional amount of heating oil stock be available at the beginning of the heating season. This traditional amount had been based on trends of seasonal stocks adjusted for weather and other demand changes and overlooked such things as optima price theory. Even so, this approach was flawed because seasonal patterns had become so much less severe that conventional, even careful extrapolation produced misleading and inconsistent results.



The Dynamics of Commodity Spot and Futures Markets: A Primer

Robert S. Pindyck

Year: 2001
Volume: Volume22
Number: Number 3
DOI: 10.5547/ISSN0195-6574-EJ-Vol22-No3-1
No Abstract



Physical Markets, Paper Markets and the WTI-Brent Spread

Bahattin Buyuksahin, Thomas K. Lee, James T. Moser, and Michel A. Robe

Year: 2013
Volume: Volume 34
Number: Number 3
DOI: 10.5547/01956574.34.3.7
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Abstract:
We document that, starting in the Fall of 2008, the benchmark West Texas Intermediate (WTI) crude oil has periodically traded at unheard-of discounts to the corresponding Brent benchmark. We further document that this discount is not reflected in spreads between Brent and other benchmarks that are directly comparable to WTI. Drawing on extant models linking oil inventory conditions to the futures term structure, we test empirically several conjectures about how calendar and commodity spreads (nearby vs. first-deferred WTI; nearby Brent vs. WTI) should move over time and be related to storage conditions at Cushing. We then investigate whether, after controlling for macroeconomic and physical market fundamentals, spread behavior is partly predicted by the aggregate oil futures positions of commodity index traders.



Financial Stress and Basis in Energy Markets

Niaz Bashiri Behmiri, Maryam Ahmadi, Juha-Pekka Junttila, and Matteo Manera

Year: 2021
Volume: Volume 42
Number: Number 5
DOI: 10.5547/01956574.42.5.nbeh
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Abstract:
We investigate the relationship between energy commodities bases, inventory and financial stress from 1994 to 2018. We find that, from the 1998 Asian crisis the effect of financial stress on energy commodities bases gradually increased and from the 2008 crisis became positive, while the effect of inventory showed a gradual decline over time. The reactions of bases to changes in financial stress is nonlinear, as they are higher in the high financial stress periods. This is more profound in crude oil market than heating oil and natural gas. Moreover, the reactions of bases to the changes in inventory is nonlinear, as the reactions are lower when the inventory level is high confirming the theory of storage. We suggest that, in energy market, changes of inventory do not fully explain the variation of energy commodities bases, as the connection between commodity and financial markets increased during the recent years.





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