Advanced Search
MyIDEAS: Login to save this article or follow this journal

Uncertainty and the convenience yield in crude oil price backwardations

Contents:

Author Info

  • Considine, Timothy J.
  • Larson, Donald F.

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V7G-43NT3R5-3/2/3d4a849d6745e2247c4874c321068475
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 23 (2001)
Issue (Month): 5 (September)
Pages: 533-548

as in new window
Handle: RePEc:eee:eneeco:v:23:y:2001:i:5:p:533-548

Contact details of provider:
Web page: http://www.elsevier.com/locate/eneco

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-57, April.
  2. Olivier J. Blanchard, 1982. "The Production and Inventory Behavior of the American Automobile Industry," NBER Working Papers 0891, National Bureau of Economic Research, Inc.
  3. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
  4. Fair, Ray C., 1989. "The production-smoothing model is alive and well," Journal of Monetary Economics, Elsevier, Elsevier, vol. 24(3), pages 353-370, November.
  5. Robert S. Pindyck, 1990. "Inventories and the Short-Run Dynamics of Commodity Prices," NBER Working Papers 3295, National Bureau of Economic Research, Inc.
  6. Larson, Donald Frederick & DEC, 1994. "Copper and the negative price of storage," Policy Research Working Paper Series 1282, The World Bank.
  7. Gibson, Rajna & Schwartz, Eduardo S, 1990. " Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, American Finance Association, vol. 45(3), pages 959-76, July.
  8. Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 66, pages 233.
  9. Miller, Merton H & Upton, Charles W, 1985. "A Test of the Hotelling Valuation Principle," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 93(1), pages 1-25, February.
  10. Roy Bailey and Marcus Chambers, . "A Theory of Commodity Price Fluctuations," Economics Discussion Papers, University of Essex, Department of Economics 432, University of Essex, Department of Economics.
  11. Litzenberger, Robert H & Rabinowitz, Nir, 1995. " Backwardation in Oil Futures Markets: Theory and Empirical Evidence," Journal of Finance, American Finance Association, American Finance Association, vol. 50(5), pages 1517-45, December.
  12. Heal, Geoffrey & Barrow, Michael, 1980. "The Relationship between Interest Rates and Metal Price Movements," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 47(1), pages 161-81, January.
  13. Miller, Merton H & Upton, Charles W, 1985. " The Pricing of Oil and Gas: Some Further Results," Journal of Finance, American Finance Association, American Finance Association, vol. 40(3), pages 1009-18, July.
  14. Deaton, Angus & Laroque, Guy, 1996. "Competitive Storage and Commodity Price Dynamics," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(5), pages 896-923, October.
  15. Pindyck, Robert S, 1980. "Uncertainty and Exhaustible Resource Markets," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 88(6), pages 1203-25, December.
  16. Sundaresan, Suresh M, 1984. "Equilibrium Valuation of Natural Resources," The Journal of Business, University of Chicago Press, vol. 57(4), pages 493-518, October.
  17. Denise Young, 1992. "Cost Specification and Firm Behaviour in a Hotelling Model of Resource Extraction," Canadian Journal of Economics, Canadian Economics Association, vol. 25(1), pages 41-59, February.
  18. Farrow, Scott, 1985. "Testing the Efficiency of Extraction from a Stock Resource," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 93(3), pages 452-87, June.
  19. Margaret E. Slade & Henry Thille, 1997. "Hotelling Confronts CAPM: A Test of the Theory of Exhaustible Resources," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 685-708, August.
  20. Adelman, M A, 1990. "Mineral Depletion, with Special Reference to Petroleum," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 1-10, February.
  21. Dahl, Carol & Duggan, Thomas E., 1996. "U.S. energy product supply elasticities: A survey and application to the U.S. oil market," Resource and Energy Economics, Elsevier, Elsevier, vol. 18(3), pages 243-263, October.
  22. Halvorsen, Robert & Smith, Tim R, 1991. "A Test of the Theory of Exhaustible Resources," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 106(1), pages 123-40, February.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron, 2006. "Convenience Yields for CO2 Emission Allowance Futures Contracts," SFB 649 Discussion Papers SFB649DP2006-076, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Kuper, Gerard H., 2012. "Inventories and upstream gasoline price dynamics," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 208-214.
  4. Chiou Wei, Song Zan & Zhu, Zhen, 2006. "Commodity convenience yield and risk premium determination: The case of the U.S. natural gas market," Energy Economics, Elsevier, Elsevier, vol. 28(4), pages 523-534, July.
  5. Mark W. French, 2005. "Why and when do spot prices of crude oil revert to futures price levels?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-30, Board of Governors of the Federal Reserve System (U.S.).
  6. Möbert, Jochen, 2007. "Crude Oil Price Determinants," Darmstadt Discussion Papers in Economics 35713, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:23:y:2001:i:5:p:533-548. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.