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Oil, Money, and Yields

In: Virtual Barrels

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  • Ilia Bouchouev

    (Pentathlon Investments, LLC)

Abstract

By looking at a hypothetical economy where oil and US dollar function as two alternative standards of money, we arrive at the replica of the Fisher inflation law, which can be seen as the first rigorously defined quantitative carry trade. We revive a largely forgotten Keynesian concept of commodity own rate of interest and show how it relates to the convenience yield in the physical market and the roll yield in trading futures.

Suggested Citation

  • Ilia Bouchouev, 2023. "Oil, Money, and Yields," Springer Texts in Business and Economics, in: Virtual Barrels, chapter 2, pages 11-27, Springer.
    • Handle: RePEc:spr:sptchp:978-3-031-36151-7_2
    DOI: 10.1007/978-3-031-36151-7_2
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