The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices

• 成果类型: Article
• 署名作者: Khan, Saqib; Khokher, Zeigham; Simin, Timothy
• 署名单位: University of Regina; Tulane University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw087
• 发表日期: 2017
• 页码: 2818
• 关键词: stochastic convenience yield; term structure; DYNAMICS; equilibrium; futures; BEHAVIOR

摘要

State-of-the-art term structure models of commodity prices have serious difficulties extrapolating the prices of long-maturity futures contracts from short-dated contracts. This situation is problematic for valuing real commodity-linked assets. We estimate a nonlinear four-factor continuous time model of commodity price dynamics. The model nests many previous specifications. To estimate the model, we use crude oil prices and inventories. The inventory data and nonlinear price dynamics have a large impact on oil price forecasts. The additional factor in our model compared with current three-factor models has a significant impact on model-implied long-maturity futures prices.