Soybean inventory and forward curve dynamics

• 成果类型: Article
• 署名作者: Geman, H; Nguyen, VN
• 署名单位: Universite PSL; Universite Paris-Dauphine; ESSEC Business School
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1050.0361
• 发表日期: 2005
• 页码: 1076-1091
• 关键词: term structure of soybean forward prices; State variables; scarcity-related volatility

摘要

We present two results concerning soybean prices. First, we exhibit a simple relationship between stocks and price volatility The observation of an increasing price volatility with decreasing inventory is often mentioned in the literature, but has so far been documented using a proxy for inventory (see Fama and French 1987, 1988; Litzenberger and Rabinowitz 1995). Instead, we reconstruct a yearly, quarterly, and monthly database of worldwide soybean inventories using aggregate data from the United States, Brazil, and Argentina. We show that under all time scales, price volatility is an increasing linear function of inverse inventory, which we term scarcity. Second, we show how the addition of the factor scarcity in a state-variable approach to the dynamics of the term structure of soybean forward prices improves the quality of the fit. We document this property on a 25-year database of CBOT futures contracts and show that the superior accuracy also affects long-maturity futures contracts, an important property for the valuation of long-term origination contracts between producing countries and the agrifood industry.