Modelling and measuring price discovery in commodity markets
AbstractIn this paper we present an equilibrium model of commodity spot () and futures () prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modelling endogenously the convenience yield, our theoretical model is able to capture the existence of backwardation or contango in the long-run spot-futures equilibrium relationship, . When the slope of the cointegrating vector [beta]2>1([beta]2
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 158 (2010)
Issue (Month): 1 (September)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Backwardation Cointegration Commodity markets Contango Convenience yield Futures prices Permanent-Transitory decomposition Price discovery;
Other versions of this item:
- Isabel Figuerola-Ferretti & Jesus Gonzalo, 2007. "Modelling and measuring price discovery in commodity markets," Business Economics Working Papers wb074510, Universidad Carlos III, Departamento de Economía de la Empresa.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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