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We apply the concepts of mutual information and information flows and we built directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We focus on price relationships for North American crude oil futures because this key market experienced several structural shocks between 2000 and 2014: financialization (starting in 2003), infrastructure limitations (in 2008-2011) and regulatory changes (in 2012-2014). We find large variations over time in the amount of information shared by contracts with di erent maturities. The mutual information increased substantially starting in 2004 but fell back sharply in 2012-2014. In the crude oil space, our findings point to a possible re-segmentation of the futures market by maturity in 2012-2014. This raises questions about the causes of market segmentation. In addition, although on average short-dated contracts (up to 6 months) emit more information than backdated ones, a dynamic analysis reveals that, after 2012, similar amounts of information flow backward as flow forward along the futures maturity curve. Moreover, the directions of the transfers between pairs of maturities become drastically di erent. This has implications for the Samuelson e ect.
Author(s):
Delphine Lautier
University Paris-Dauphine
France
Franck Raynaud
University of Lausanne
Switzerland
Michel Robe
American University, Washington DC
United States