Business cycles and the behavior of energy prices
AbstractThis paper tests the theory of storage--the hypothesis that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases in energy markets (crude oil, heating oil, and unleaded gas markets). We use the Fama and French (1988) indirect test, based on the relative variation in spot and futures prices. The results suggest that the theory holds for the energy markets.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1745.
Date of creation: 1994
Date of revision:
Publication status: Published in The Energy Journal 2.15(1994): pp. 125-134
Other versions of this item:
- P28 - Economic Systems - - Socialist Systems and Transition Economies - - - Natural Resources; Environment
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- Fama, Eugene F & French, Kenneth R, 1988. " Business Cycles and the Behavior of Metals Prices," Journal of Finance, American Finance Association, vol. 43(5), pages 1075-93, December.
- Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, vol. 66, pages 233.
- Serletis, Apostolos, 1991. "Rational expectations, risk and efficiency in energy futures markets," Energy Economics, Elsevier, vol. 13(2), pages 111-115, April.
- Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
- French, Kenneth R, 1986. "Detecting Spot Price Forecasts in Futures Prices," The Journal of Business, University of Chicago Press, vol. 59(2), pages S39-54, April.
- Thoma, Mark, 2004. "Electrical energy usage over the business cycle," Energy Economics, Elsevier, vol. 26(3), pages 463-485, May.
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