The State Price Density Implied by Crude Oil Futures and Option Prices

• 成果类型: Article
• 署名作者: Christoffersen, Peter; Jacobs, Kris; Pan, Xuhui (Nick)
• 署名单位: University of Toronto; University of Houston System; University of Houston; University of Oklahoma System; University of Oklahoma - Norman
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab011
• 发表日期: 2022
• 页码: 1064
• 关键词: nonparametric-estimation; monetary-policy; stock returns; tell us; volatility; RISK; shocks; nonlinearities; MONOTONICITY; macroeconomy

摘要

Both large oil price increases and decreases are associated with deteriorating economic conditions. The projection of the state price density (SPD) onto oil returns estimated from oil futures and option prices displays a U-shaped pattern. Because investors assign high state prices to large negative and large positive oil returns, the U-shaped SPD may steepen in either tail when economic conditions deteriorate. The positive return region of the SPD is more closely related to economic conditions. The oil SPD contains information about economic conditions and future security returns that is distinct from the information in the stock index SPD.