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...

This paper considers four competing propositions to explain the convex relationship between inventories and the risk-adjusted spread called the 'Working curve': the convenience yield, the risk premium, data aggregation and the imbedded options value inherent to a futures contract. We use 70...

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. In implementing this idea we compare three models for current scarcity, based on inventory levels, the spot...

To explain convenience yield accruing to commodity inventory holders, time to maturity (TTM) and TIME to harvest should interact with current scarcity. Using weekly data for corn, wheat and soyabeans (1986–2009), the interaction (multiplicative) model performs better than traditional versions...

While Gorton and Rouwenhorst (2005) suggest using business cycle in tactical asset allocation with commodity futures, Jensen et al (2002) suggest using monetary policy in guiding the timing of investment. We investigate whether it is useful to watch both.We find that clever timing in asset...

An exploratory estimation of ARFIMA(p,d,q) models on agricultural spot and futures markets showed us that the estimated d is quite sensitive to the number of lags included in the short-term dynamics. AIC and SIC agreed there were many lags but, familiarly, disagreed on how many. To address this...