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Business cycles and the behavior of energy prices

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  • Serletis, Apostolos
  • Hulleman, Vaughn

Abstract

This 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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File URL: http://mpra.ub.uni-muenchen.de/1745/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1745.

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Date of creation: 1994
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Publication status: Published in The Energy Journal 2.15(1994): pp. 125-134
Handle: RePEc:pra:mprapa:1745

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  1. Serletis, Apostolos, 1991. "Rational expectations, risk and efficiency in energy futures markets," Energy Economics, Elsevier, vol. 13(2), pages 111-115, April.
  2. 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.
  3. 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.
  4. 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.
  5. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
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Cited by:
  1. Thoma, Mark, 2004. "Electrical energy usage over the business cycle," Energy Economics, Elsevier, vol. 26(3), pages 463-485, May.

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