Arbitrage conditions, interest rates, and intertemporal commodity price relationships
Recent 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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- Carter, Colin A. & Rausser, Gordon C. & Schmitz, Andrew, 1982.
"Efficient asset portfolios and the theory of normal backwardation,"
CUDARE Working Paper Series
133R, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
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- Carter, Colin A. & Rausser, Gordon C. & Schmitz, Andrew, 1982. "Efficient asset portfolios and the theory of normal backwardation," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt59c8m4x6, Department of Agricultural & Resource Economics, UC Berkeley.
- Jeffrey A. Frankel, 1984. "Commodity Prices and Money: Lessons from International Finance," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(5), pages 560-566.
- Aris Protopapadakis & Hans R. Stoll, "undated".
"Spot and Futures Prices and the Law of One Price,"
Rodney L. White Center for Financial Research Working Papers
17-82, Wharton School Rodney L. White Center for Financial Research.
- Robert G. Chambers, 1984. "Agricultural and Financial Market Interdependence in the Short Run," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(1), pages 12-24.
- Telser, Lester G, 1986. "Futures and Actual Markets: How They Are Related," The Journal of Business, University of Chicago Press, vol. 59(2), pages 5-20, April.
- 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.
- 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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