Table VI

Sensitivity tests: contango vs backwardation periods

Panel A: contango Granger-causality regressions
2-m on 1-m ICE Futures3-m on 1-m ICE Futures3-m on 2-m ICE Futures
VariableRco1(t)VariableRco1(t)VariableRco2(t)
Estimate0.96805Estimate0.95459Estimate0.98546
SD0.00614SD0.00832SD0.00308
t-value157.67t-value114.75t-value320.35
Pr>|t|0.0001Pr>|t|0.0001Pr>|t|0.0001
1-m on 2-m ICE Futures1-m on 3-m ICE Futures2-m on 3-m ICE Futures
VariableRco2(t)VariableRco3(t)VariableRco3(t)
Estimate1.02268Estimate1.02767Estimate1.01209
SD0.00649SD0.00896SD0.00316
t-value157.62t-value114.75t-value320.45
Pr>|t|0.0001Pr>|t|0.0001Pr>|t|0.0001
Panel B: backwardation Granger-causality regressions
2-m on 1-m ICE Futures3-m on 1-m ICE Futures3-m on 2-m ICE Futures
VariableRco1(t)VariableRco1(t)VariableRco2(t)
Estimate0.96221Estimate0.93835Estimate0.98182
SD0.0045SD0.00603SD0.00219
t-value213.81t-value155.54t-value447.35
Pr>|t|0.0001Pr>|t|0.0001Pr>|t|0.0001
1-m on 2-m ICE Futures1-m on 3-m ICE Futures2-m on 3-m ICE Futures
VariableRco2(t)VariableRco3(t)VariableRco3(t)
Estimate1.02509Estimate1.03868Estimate1.01522
SD0.00479SD0.00668SD0.00227
t-value213.81t-value155.46t-value447.08
Pr>|t|0.0001Pr>|t|0.0001Pr>|t|0.0001

Notes: Causality evidence, causality regressions, and the joint VAR estimation results (30-minute intraday data) are reported for the contango and backwardation periods. From January 2010 to mid-March 2011 is predominantly contango. From mid-March 2011 to end of the sample is predominantly backwardation period. In Panel E, AIC is the Akeike Information Criterion, SBC is the Schwarz Bayesian Criterion, and the HQC is the Hannan-Quinn Criterion

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