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Updating the Estimation of the Supply of Storage Model

Author

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  • Zulauf, Carl R.
  • Zhou, Haijiang
  • Roberts, Matthew C.

Abstract

An updated supply of storage equation is estimated to reflect recent developments in the theoretical and empirical literature. Among the findings is an inverse relationship between storage cost adjusted price spread and a proxy measure of convenience yield, and a curvilinear relationship between stocks-to-use ratio and implied volatility.

Suggested Citation

  • Zulauf, Carl R. & Zhou, Haijiang & Roberts, Matthew C., 2005. "Updating the Estimation of the Supply of Storage Model," 2005 Annual meeting, July 24-27, Providence, RI 19122, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  • Handle: RePEc:ags:aaea05:19122
    as

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    File URL: http://purl.umn.edu/19122
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    References listed on IDEAS

    as
    1. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-157, 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 233-233.
    3. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399, April.
    4. Longstaff, Francis A, 1995. " How Much Can Marketability Affect Security Values?," Journal of Finance, American Finance Association, vol. 50(5), pages 1767-1774, December.
    5. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
    6. Milonas, Nikolaos T & Thomadakis, Stavros B, 1997. "Convenience Yield and the Option to Liquidate for Commodities with a Crop Cycle," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 24(2), pages 267-283.
    7. Paul L. Fackler & Michael J. Livingston, 2002. "Optimal Storage by Crop Producers," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(3), pages 645-659.
    8. Litzenberger, Robert H & Rabinowitz, Nir, 1995. " Backwardation in Oil Futures Markets: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 50(5), pages 1517-1545, December.
    9. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance.
    10. Bresnahan, Timothy F & Spiller, Pablo T, 1986. "Futures Market Backwardation under Risk Neutrality," Economic Inquiry, Western Economic Association International, vol. 24(3), pages 429-441, July.
    11. Sarahelen Thompson, 1986. "Returns to storage in coffee and cocoa futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(4), pages 541-564, December.
    12. Gray, Roger W. & Peck, Anne E., 1981. "The Chicago Wheat Futures Market: Recent Problems in Historical Perspective," Food Research Institute Studies, Stanford University, Food Research Institute, issue 01.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    supply of storage; implied volatility; convenience yield; Research Methods/ Statistical Methods; Q11; Q14; G10;

    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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