Economic Linkages, Relative Scarcity, and Commodity Futures Returns
Jaime Casassus; Peng Liu; Ke Tang
Review of Financial Studies, May 2013. Vol. 26, Nº 5. Pages 1324-1362
Abstract: This paper shows that economic linkages among commodities create a source of long-term correlation between futures returns. We extend the theory of storage to a multi-commodity level and find that the convenience yield of a commodity depends on its relative scarcity with respect to other related commodities. This implies a feedback effect between commodities that is necessary to replicate the upward-sloping correlation term structure of futures returns observed for related commodities. We present a multi-commodity affine model that validates our theoretical predictions and considerably reduces the pricing errors in out-of-sample crack spread options.
Ir a publicación