This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy-grain nexus. It also investigates the own- and cross-market impacts for lagged grain trading volume and open interest in the energy and grain markets. According to the results,...

This paper proposes that, when modeling for the relation between the convenience yield and current scarcity, time to maturity and time to harvest should interact with current scarcity, i.e. the two should enter multiplicatively. In implementing this idea we also compare three models for current...

Kaldor (1939) and Working (1948,1949) note that a commodity's backwardation is very much related to temporary scarcity. To them, the obvious measure of scarcity is the current level of inventories relative to a normal level. In 1987-2007 data, however, the spot price has become much more...

This paper revisits the asymmetric effect of the basis on commodity spot and futures price volatilities documented by Kogan, Livdan and Yaron (2008) and Lien and Yang (2008). Kogan et al. (2008) show both theoretically and empirically that, for a non-storable consumption good, the relationship...