IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Pricing LME Commodity Futures Contracts

  • Richard Heaney
Registered author(s):

    It is generally argued that there is a link between commodity prices and stock levels and this paper provides a test of two economic models that attempt to explain commodity pricing, the stock-out model with two separate pricing states and the convenience yield model. Global stock levels are collected and interest-adjusted basis is calculated for the LME commodities, copper, lead and zinc spanning the period November 1964 to December 2003. A two-regime Markov model with an added stock variable appears to fit the data reasonably well, providing evidence supporting the existence of two separate commodity pricing regimes and the existence of a convenience yield effect that is inversely related to the level of stocks on hand.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Paper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 172.

    in new window

    Date of creation: 11 Aug 2004
    Date of revision:
    Handle: RePEc:ecm:ausm04:172
    Contact details of provider: Phone: 1 212 998 3820
    Fax: 1 212 995 4487
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ecm:ausm04:172. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.