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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- Protopapadakis, Aris & Stoll, Hans R, 1983.
" Spot and Futures Prices and the Law of One Price,"
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- Carter, Colin A & Rausser, Gordon C & Schmitz, Andrew, 1983.
"Efficient Asset Portfolios and the Theory of Normal Backwardation,"
Journal of Political Economy,
University of Chicago Press, vol. 91(2), pages 319-31, April.
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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.
- 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.
- Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
- 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.
- 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.
- Telser, Lester G, 1986. "Futures and Actual Markets: How They Are Related," The Journal of Business, University of Chicago Press, vol. 59(2), pages S5-20, April.
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