Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

Casassus, Jaime; Collin‐Dufresne, Pierre

doi:10.1111/j.1540-6261.2005.00799.x

Cited by 386 publications

(270 citation statements)

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“…8 Table 1 contains the summary statistics for commodity prices and returns. The time to maturity ranges from 1 month to 22 7 Data are sampled every …ve business days. 8 Note that the oil and copper data are from the NYMEX and COMEX divisions, respectively.…”

Section: The Datamentioning

confidence: 99%

Time-varying long-run mean of commodity prices and the modeling of futures term structures

Tang

2012

Quantitative Finance

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The exploitation of the mean-reversion of commodity prices is important for inventory management, in ‡ation forecasting and contingent claim pricing. Bessembinder, Coughenour, Seguin and Smoller (1995) document the mean-reversion of commodity spot prices using futures term structure data; however, mean-reversion to a constant level is rejected in nearly all studies using historical spot price time series. This indicates that the spot prices revert to a stochastic long-run mean. By recognizing this, I propose a reduced-form model with the stochastic long-run mean as a separate factor. This model …ts the futures dynamics better than do classical models such as the Gibson-Schwartz (1990) model and the Casassus-CollinDufresne (2005) model with a constant interest rate. An application for option pricing is also presented in this paper.Please address any comments to Ke Tang, 512D Mingde Building, Renmin University of China, Beijing, 100872. Tel:+86 10 62519408; Email:ketang@ruc.edu.cn. I am grateful to two anonymous referees, whose comments and suggestions have greatly improved this paper.

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Section: The Datamentioning

confidence: 99%

Time-varying long-run mean of commodity prices and the modeling of futures term structures

Tang

2012

Quantitative Finance

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“…Empirical results show that crude oil and copper spot price depends on the convenience yield, suggesting that risk-neutral price when obedience mean reversion. Gold, risk silver, copper showing changes over time premium [21] Duffee (2005) Markov process will be introduced in the credit risk model. He focuses on the company's credit risk and credit derivatives pricing.…”

Section: Dr(t)=(θ-r(t))dt+√vdb(t)mentioning

confidence: 99%

Review on Term Structure

Huang¹

2016

Proceedings of the 6th International Conference on Electronic, Mechanical, Information and Management Society

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Abstract. Domestic and foreign scholars on corporate bonds affine term structure models with varying degrees of research, the results is very rich. We can predict bond forward rates for Treasury bonds, the current yield term structure includes information of long-term maturity structure. For example, if a bond yield curve is steeper than usual, the long maturity bond yields will be reduced over time. This prediction depends only on the relationship between the yield time series behavior, it can extract more information from the current term structure, improve prediction. Research abroad Interest Rate Term Structure affine model are as follows.

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“…For example, Singleton (2013) shows that the NYMEX WTI crude oil price peaked (at about 140 USD per barrel) around August 2008. Other studies providing detailed analyses with similar tendencies in commodity trading activities and price dynamics include Casassus and Collin-Dufresne (2005), Gorton and Rouwenhorst (2006), Hong and Yogo (2009), Acharya, Lochstoer, and Ramadorai (2013), and Gorton, Hayashi, and Rouwenhorst (2013).…”

Section: Introductionmentioning

confidence: 99%

Commodities, Financialization, and Heterogeneous Agents

Branger¹,

Grüning

Schlag

2016

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may www.econstor.euElectronic copy available at: http://ssrn.com/abstract=2759314Electronic copy available at: http://ssrn.com/abstract=2759314 Non-Technical SummarySince the seminal work of Keynes (1930) economists and researchers in finance have studied the theory and empirics of commodity futures markets and their fundamentals extensively. Over the past decade these markets have been the focus of an intense public debate and in academia. The reason is that commodity spot and futures prices, especially those for various food commodities as well as oil and gas, had increased to all-time highs. This pronounced price increase had occurred together with an equally sharp increase in long positions in these contracts held by financial speculators, which often trade in index products written on a basket of commodities. The volume of index-linked commodity investing went up dramatically from the beginning of 2006 until the end of 2007. At around the same time futures and spot prices had risen to all-time highs.Given this coincidence of large index-linked and financially motivated commodity positions on the one hand and increasing commodity prices on the other, the activities by financial speculators on commodity markets were perceived as harmful from a welfare perspective, especially in the context of food commodities. The poorer parts of the population, in particular in emerging countries, have to spend a large share of their income on these basic commodities. Consequently, it was suggested that futures markets should be regulated tightly via, for example, position limits.Nevertheless, despite the seemingly clear evidence presented above, the debate about a potential causality going from commodity investing to excessive price increases is still ongoing, with evidence both for and against the hypothesis. One reason for this difference of opinion is probably that the empirical analyses are still plagued by a number of problems. First, the financialization phenomenon in the sense of strongly increasing position sizes held by financial investors can only be observed from 2004 onwards, that is, over a relatively short sample. Second, the data do not usually exhibit the quality needed to study potential causal effects reliably. For example, it is often hard to distinguish financial speculators from other types of investors and to obtain their exact trading positions, since one can only obtain aggregate net positions.Overall, as t...

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Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

Cited by 386 publications

References 52 publications

Time-varying long-run mean of commodity prices and the modeling of futures term structures

Time-varying long-run mean of commodity prices and the modeling of futures term structures

Review on Term Structure

Commodities, Financialization, and Heterogeneous Agents

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