教師資料查詢 | 類別: 期刊論文 | 教師: 段昌文 CHANG-WEN DUAN (瀏覽個人網頁)

標題:Oil convenience yields estimated under demand/supply shock
學年95
學期2
出版(發表)日期2007/02/01
作品名稱Oil convenience yields estimated under demand/supply shock
作品名稱(其他語言)
著者Lin, William T.; 段昌文; Duan, Chang-wen
單位淡江大學財務金融學系
出版者Springer
著錄名稱、卷期、頁數Review of Quantitative Finance and Accounting 28(2), pp.203-225
摘要This paper extends the call option model of Milonas and Thomadakis (1997) to estimate oil convenience yields with futures prices. We define the business cycle of a seasonal commodity with demand/supply shocks and find that the convenience yield for crude oil exhibits seasonal behavior. The convenience yield for West Texas Intermediate (WTI) crude oil is the highest in the summer, while that for Brent crude oil is the highest in the winter. This implies that WTI crude oil is more sensitive to high summer demand and that Brent crude oil is more sensitive to shortages in winter supply. Convenience yields are negatively related to the inventory level of the underlying crude oil and positively related to interest rates due to the business cycle. We also show that convenience yields may explain price spread between WTI crude oil and Brent crude oil. Our computed convenience yields are consistent with Fama and French (1988) in that oil prices are more volatile than futures prices at low inventory level, verifying the Samuelson (1965) hypothesis that future prices are less variables than spot prices at lower inventory levels.
關鍵字
語言英文(美國)
ISSN0924-865X
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,紙本
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