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Theory of the Inverse Carrying Charge in Futures Markets

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Cited by:

  1. Isengildina-Massa, Olga & Irwin, Scott H. & Good, Darrel L. & Gomez, Jennifer K., 2008. "The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 40(1), pages 89-103, April.
  2. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
  3. Isabel Figuerola‐Ferretti & Alejandro Rodríguez & Eduardo Schwartz, 2021. "Oil price analysts' forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1351-1374, September.
  4. Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
  5. C. Peter Timmer, 2014. "The political economy of food security: a behavioral perspective," Chapters, in: Raghbendra Jha & Raghav Gaiha & Anil B. Deolalikar (ed.), Handbook on Food, chapter 2, pages 22-40, Edward Elgar Publishing.
  6. Evans, Lewis & Counsell, Kevin & Guthrie, Graeme, 2006. "Options Provided by Storage can Explain High Electricity Prices," Working Paper Series 3943, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  7. Swinand, Gregory P & O'Mahoney, Amy, 2014. "Detecting abnormalities in the Brent crude oil commodities and derivatives pricing complex," MPRA Paper 56252, University Library of Munich, Germany.
  8. Karali, Berna & Ramirez, Octavio A., 2014. "Macro determinants of volatility and volatility spillover in energy markets," Energy Economics, Elsevier, vol. 46(C), pages 413-421.
  9. Skold, Karl Durwood, 1989. "The integration of alternative information systems: an application to the Hogs and Pigs report," ISU General Staff Papers 1989010108000010239, Iowa State University, Department of Economics.
  10. Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010. "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
  11. Aaron Smith, 2005. "Partially overlapping time series: a new model for volatility dynamics in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 405-422.
  12. 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.
  13. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2020. "The theory of storage in the crude oil futures market, the role of financial conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1160-1175, July.
  14. Nikolaos Milonas & Thomas Henker, 2001. "Price spread and convenience yield behaviour in the international oil market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 23-36.
  15. Stein-Erik Fleten & Ronald Huisman & Mehtap Kilic & Enrico Pennings & Sjur Westgaard, 2014. "Electricity futures prices: time varying sensitivity to fundamentals," Working Papers 2014/21, Institut d'Economia de Barcelona (IEB).
  16. Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015. "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, vol. 51(C), pages 599-608.
  17. Shi, Wei & Irwin, Scott H. & Good, Darrel L. & Dietz, Sarah N., 2005. "Wheat Forward Contract Pricing: Evidence on Forecast Power and Risk Premia," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19043, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  18. Geman, Hélyette & Smith, William O., 2013. "Theory of storage, inventory and volatility in the LME base metals," Resources Policy, Elsevier, vol. 38(1), pages 18-28.
  19. Balcilar, Mehmet & Gungor, Hasan & Hammoudeh, Shawkat, 2015. "The time-varying causality between spot and futures crude oil prices: A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 51-71.
  20. S. Wong & K. Chau & C. Yiu, 2007. "Volatility Transmission in the Real Estate Spot and Forward Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 281-293, October.
  21. Anne E. Peck & Jeffrey C. Williams, 1992. "Deliveries on Commodity Futures Contracts," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 63-74, December.
  22. de Groot, Wilma & Karstanje, Dennis & Zhou, Weili, 2014. "Exploiting commodity momentum along the futures curves," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 79-93.
  23. Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
  24. Atle Oglend & Vesa-Heikki Soini, 2020. "Equilibrium Working Curves with Heterogeneous Agents," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 355-372, August.
  25. Kim, Soohyeon & Kim, Jihyo & Heo, Eunnyeong, 2017. "Convenience yield of accessible inventories and imports: A case study of the Chinese copper market," Resources Policy, Elsevier, vol. 52(C), pages 277-283.
  26. Zulauf, Carl R. & Sanghyo, Kim, 2014. "Is Storage Rational When the Price is Expected to Decline? An Initial Study Using Data from U.S. Futures and Options Markets," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170593, Agricultural and Applied Economics Association.
  27. Maslyuk, Svetlana & Smyth, Russell, 2009. "Cointegration between oil spot and future prices of the same and different grades in the presence of structural change," Energy Policy, Elsevier, vol. 37(5), pages 1687-1693, May.
  28. Li, Yang & Brooks, Robert, 2022. "Evidence of arbitrage trading activity: The case of Chinese metal futures contracts," Emerging Markets Review, Elsevier, vol. 51(PB).
  29. Ron Alquist & Lutz Kilian, 2010. "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 539-573.
  30. Adjemian, Michael K. & Bruno, Valentina & Robe, Michel A. & Wallen, Jonathan, 2017. "What Drives Volatility Expectations in Grain and Oilseed Markets?," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258452, Agricultural and Applied Economics Association.
  31. John T. Cuddington & Arturo L. Va'squez Cordano, 2013. "Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses," Working Papers 2013-09, Colorado School of Mines, Division of Economics and Business.
  32. Brajesh Kumar, 2016. "Asymmetric Volatility of Net Convenience Yield: Evidence from Indian Commodity Futures Markets," Proceedings of Economics and Finance Conferences 3205752, International Institute of Social and Economic Sciences.
  33. Akihiro Omura & Neda Todorova, 2019. "The quantile dependence of commodity futures markets on news sentiment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 818-837, July.
  34. William Lin & Chang-Wen Duan, 2007. "Oil convenience yields estimated under demand/supply shock," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 203-225, February.
  35. Pieroni, Luca & Ricciarelli, Matteo, 2008. "Modelling dynamic storage function in commodity markets: Theory and evidence," Economic Modelling, Elsevier, vol. 25(5), pages 1080-1092, September.
  36. Stückler, Maria, 2002. "Handel auf Terminkontraktmärkten," Department of Economics Working Paper Series 80, WU Vienna University of Economics and Business.
  37. Baur, Dirk G. & Dimpfl, Thomas, 2018. "The asymmetric return-volatility relationship of commodity prices," Energy Economics, Elsevier, vol. 76(C), pages 378-387.
  38. Moyen, Nathalie & Slade, Margaret & Uppal, Raman, 1996. "Valuing risk and flexibility : A comparison of methods," Resources Policy, Elsevier, vol. 22(1-2), pages 63-74.
  39. Evans, Lewis & Guthrie, Graeme, 2007. "Commodity Price Behavior With Storage Frictions," Working Paper Series 19065, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  40. Frechette, Darren L., 1999. "Scarcity rents and the returns to mining," Resources Policy, Elsevier, vol. 25(1), pages 39-49, March.
  41. Robert S. Pindyck, 1994. "Inventories and the Short-Run Dynamics of Commodity Prices," RAND Journal of Economics, The RAND Corporation, vol. 25(1), pages 141-159, Spring.
  42. Chaves, Denis B. & Viswanathan, Vivek, 2016. "Momentum and mean-reversion in commodity spot and futures markets," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 39-53.
  43. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
  44. Coffey, Brian K. & Tonsor, Glynn T. & Schroeder, Ted C., 2018. "Impacts of Changes in Market Fundamentals and Price Momentum on Hedging Live Cattle," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 43(1), January.
  45. Raphaël Chiappini & Yves Jégourel, 2014. "Futures Market Volatility, Exchange Rate Uncertainty and Cereals Exports: Empirical Evidence from France," GREDEG Working Papers 2014-34, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
  46. Chaton, Corinne & Creti, Anna & Villeneuve, Bertrand, 2008. "Some economics of seasonal gas storage," Energy Policy, Elsevier, vol. 36(11), pages 4235-4246, November.
  47. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, vol. 33(3), pages 497-503, May.
  48. Qianqian Mao & Jens-Peter Loy & Thomas Glauben & Yanjun Ren, . "Are futures markets functioning well for agricultural perishables? Evidence from China's apple futures market," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 0.
  49. Evans, Lewis & Counsell, Kevin & Guthrie, Graeme, 2006. "Options Provided by Storage can Explain High Electricity Prices," Working Paper Series 19042, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  50. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
  51. Karungu, Peter & Reed, Michael, 1993. "A Modified Arbitrage Condition For Commodity Marketing," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 32(3), September.
  52. Jing Ao & Jihui Chen, 2020. "Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 627-654, October.
  53. Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005. "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers 11864, National Bureau of Economic Research, Inc.
  54. Anthony J. Vignola & Charles DaleEconomists, 1980. "The Efficiency Of The Treasury Bill Futures Market: An Analysis Of Alternative Specifications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(2), pages 169-188, June.
  55. Makki, Shiva S. & Tweeten, Luther G. & Miranda, Mario J., 2001. "Storage-trade interactions under uncertainty: Implications for food security," Journal of Policy Modeling, Elsevier, vol. 23(2), pages 127-140, February.
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  57. Qianqian Mao & Jens-Peter Loy & Thomas Glauben & Yanjun Ren, 2023. "Are futures markets functioning well for agricultural perishables? Evidence from China's apple futures market," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(12), pages 471-484.
  58. Pfuderer, Simone, 2014. "Are stockholders rational? An experimental approach to testing the competitive storage model," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France 170537, Agricultural Economics Society.
  59. Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, October.
  60. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2, July-Dece.
  61. Donald F. Larson & Julian Lampietti & Christophe Gouel & Carlo Cafiero & John Roberts, 2014. "Food Security and Storage in the Middle East and North Africa," The World Bank Economic Review, World Bank, vol. 28(1), pages 48-73.
  62. Brennan, Donna & Wright, Brian D. & Williams, Jeffrey, 1992. "Is Convenience Yield a Necessary Hypothesis? 'Supply of Storage' In a Wheat Market," CUDARE Working Papers 198611, University of California, Berkeley, Department of Agricultural and Resource Economics.
  63. Stein-Erik Fleten & Ronald Huisman & Mehtap Kilic & Enrico Pennings & Sjur Westgaard, 2014. "Electricity futures prices: time varying sensitivity to fundamentals," Working Papers 2014/21, Institut d'Economia de Barcelona (IEB).
  64. Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021. "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 133(C).
  65. S. Wong & C. Yiu & M. Tse & K. Chau, 2006. "Do the Forward Sales of Real Estate Stabilize Spot Prices?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 289-304, May.
  66. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
  67. Benninga, Simon & Eldor, Rafael & Zilcha, Itzhak, 1983. "Optimal hedging in the futures market under price uncertainty," Economics Letters, Elsevier, vol. 13(2-3), pages 141-145.
  68. Jaime Casassus & Peng Liu & Ke Tang, 2011. "Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns," Documentos de Trabajo 404, Instituto de Economia. Pontificia Universidad Católica de Chile..
  69. 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).
  70. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2013, January-A.
  71. Maria Stückler, 2002. "Handel auf Terminkontraktmärkten," Department of Economics Working Papers wuwp080, Vienna University of Economics and Business, Department of Economics.
  72. Siña, Matías & Guzmán, Juan Ignacio, 2019. "Real option valuation of open pit mines with two processing methods," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 30-39.
  73. An N. Q. Cao & Michel A. Robe, 2022. "Market uncertainty and sentiment around USDA announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 250-275, February.
  74. Kahl, Kandice H., 1989. "Determinants of the Storage Season Corn Basis in South Carolina," Working Papers 116878, Clemson University, Department of Agricultural and Applied Economics.
  75. Batten, Jonathan A. & Mo, Di & Pourkhanali, Armin, 2024. "Can inflation predict energy price volatility?," Energy Economics, Elsevier, vol. 129(C).
  76. Torun Fretheim & Glenn Kristiansen, 2015. "Commodity market risk from 1995 to 2013: an extreme value theory approach," Applied Economics, Taylor & Francis Journals, vol. 47(26), pages 2768-2782, June.
  77. Sanghyo Kim & Carl Zulauf, 2019. "Crowding out of private stocks by public stocks," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(11), pages 520-528.
  78. Charles O. Manasseh & Jonathan E. Ogbuabor & Obiorah K. Obinna, 2016. "Volatility and Commodity Price Dynamics in Nigeria," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1599-1607.
  79. Liu, Hsiang-Hsi, 1983. "An annual simultaneous equation econometric model of U.S. corn and soybean cash and futures markets," ISU General Staff Papers 198301010800009935, Iowa State University, Department of Economics.
  80. Lin, Chuanyi & Roberts, Matthew C., 2006. "Storability on Modeling Commodity Futures Prices," 2006 Annual meeting, July 23-26, Long Beach, CA 21484, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  81. Huang, Bwo-Nung & Yang, C.W. & Hwang, M.J., 2009. "The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach," Energy Economics, Elsevier, vol. 31(1), pages 91-98, January.
  82. Christophe Gouel, 2013. "Comparing Numerical Methods for Solving the Competitive Storage Model," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 267-295, February.
  83. Vignola, Anthony & Dale, Charles, 1980. "The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications," MPRA Paper 48812, University Library of Munich, Germany.
  84. John Sequeira & MICHAEL McALEER, 2000. "Testing the risk premium and cost-of-carry hypotheses for currency futures contracts," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 277-289.
  85. Sophie van Huellen, 2018. "How financial investment distorts food prices: evidence from U.S. grain markets," Agricultural Economics, International Association of Agricultural Economists, vol. 49(2), pages 171-181, March.
  86. Irwin, Scott H., 2020. "Trilogy for troubleshooting convergence: Manipulation, structural imbalance, and storage rates," Journal of Commodity Markets, Elsevier, vol. 17(C).
  87. Wakita, Shigeru, 2001. "Efficiency of the Dojima rice futures market in Tokugawa-period Japan," Journal of Banking & Finance, Elsevier, vol. 25(3), pages 535-554, March.
  88. Deren Unalmis & Ibrahim Unalmis & Derya Filiz Unsal, 2012. "On the Sources and Consequences of Oil Price Shocks : The Role of Storage," Working Papers 1230, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  89. Athanasios Triantafyllou & George Dotsis & Alexandros Sarris, 2020. "Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 71(3), pages 631-651, September.
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  91. Daskalakis, George, 2018. "Temporal restrictions on emissions trading and the implications for the carbon futures market: Lessons from the EU emissions trading scheme," Energy Policy, Elsevier, vol. 115(C), pages 88-91.
  92. Maslyuk, Svetlana & Smyth, Russell, 2008. "Unit root properties of crude oil spot and futures prices," Energy Policy, Elsevier, vol. 36(7), pages 2591-2600, July.
  93. Douglas, Stratford & Popova, Julia, 2008. "Storage and the electricity forward premium," Energy Economics, Elsevier, vol. 30(4), pages 1712-1727, July.
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  97. Scott, Ayesha & Schoen, Tilman & Fernandez-Perez, Adrian, 2020. "The Predictive Power of NZX Dairy Futures," 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia 305230, Australian Agricultural and Resource Economics Society.
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  99. Stepanek, Christian & Walter, Matthias & Rathgeber, Andreas, 2013. "Is the convenience yield a good indicator of a commodity's supply risk?," Resources Policy, Elsevier, vol. 38(3), pages 395-405.
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  101. Eugenio S.A. Bobenrieth & Juan R.A. Bobenrieth & Ernesto A. Guerra & Brian D. Wright & Di Zeng, 2021. "Putting the Empirical Commodity Storage Model Back on Track: Crucial Implications of a “Negligible” Trend," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(3), pages 1034-1057, May.
  102. Olga Isengildina-Massa & Scott H. Irwin & Darrel L. Good & Jennifer K. Gomez, 2008. "Impact of WASDE reports on implied volatility in corn and soybean markets," Agribusiness, John Wiley & Sons, Ltd., vol. 24(4), pages 473-490.
  103. Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2015. "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 339-356, April.
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  126. Marcus Stronzik & Margarethe Rammerstorfer & Anne Neumann, 2008. "Theory of Storage: An Empirical Assessment of the European Natural Gas Market," Discussion Papers of DIW Berlin 821, DIW Berlin, German Institute for Economic Research.
  127. Spodniak, Petr & Collan, Mikael, 2018. "Forward risk premia in long-term transmission rights: The case of electricity price area differentials (EPAD) in the Nordic electricity market," Utilities Policy, Elsevier, vol. 50(C), pages 194-206.
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  129. Goswami, Alankrita & Adjemian, Michael K. & Karali, Berna, 2022. "The impact of futures contract storage rate policy on convergence expectations in domestic commodity markets," Food Policy, Elsevier, vol. 111(C).
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  134. Evans, Lewis & Guthrie, Graeme, 2007. "Commodity Price Behavior With Storage Frictions," Working Paper Series 3966, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
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