Stochastic convenience yield implied from commodity futures and interest rates

• 成果类型: Article
• 署名作者: Casassus, J; Collin-Dufresne, P
• 署名单位: Pontificia Universidad Catolica de Chile; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00799.x
• 发表日期: 2005
• 页码: 2283-2331
• 关键词: term structure; equilibrium; premia; prices; valuation; exchange; BEHAVIOR; MARKETS; options; MODEL

摘要

We characterize a three-factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest rates. It also allows for time-varying risk premia. Both may induce mean reversion in spot prices, albeit with very different economic implications. Empirical results show strong evidence for spot-price level dependence in convenience yields for crude oil and copper, which implies mean reversion in prices under the risk-neutral measure. Silver, gold, and copper exhibit time variation in risk premia that implies mean reversion of prices under the physical measure.