Arbitrage conditions, interest rates, and intertemporal commodity price relationships
AbstractRecent studies have presented different views on the relationship between interest rates and commodity prices. The theory of storage and arbitrage approaches fully incorporate nominal interest rates in commodity price spreads. Alternative frameworks admit a relationship between the interest rate and commodity own rates of interest and, as a result, the commodity price spread would not completely incorporate the nominal interest rate. The various views on interest rate-commodity price relationships, the potential role of nonneutralities, and existing empirical evidence are examined.
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Bibliographic InfoPaper provided by Department of Agricultural & Resource Economics, UC Berkeley in its series Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series with number qt0831h7hq.
Date of creation: 01 Mar 1988
Date of revision:
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future trading; interest; prices; risk; storage; Social and Behavioral Sciences;
Other versions of this item:
- Kitchen, John & Rausser, Gordon C., 1988. "Arbitrage conditions, interest rates, and intertemporal commodity price relationships," CUDARE Working Paper Series 489, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
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