期刊論文

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.; 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), p.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 Business cycle;Convenience yield Demand/supply shock;Theory of storage;Two-period model
語言 en_US
ISSN 0924-865X
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 USA
公開徵稿
出版型式 ,電子版,紙本
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