Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/16847
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dc.contributor.authorSymeonidis, Lazaros-
dc.contributor.authorProkopczuk, Marcel-
dc.contributor.authorBrooks, Chris-
dc.contributor.authorLazar, Emese-
dc.date.accessioned2013-10-08T01:09:09Z-
dc.date.issued2012-11-
dc.identifier.urihttp://hdl.handle.net/1893/16847-
dc.description.abstractWe employ a large dataset of physical inventory data on 21 different commodities for the period 1993-2011 to empirically analyze the behavior of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between inventory and the shape of the forward curve. Low (high) inventory is associated with forward curves in backwardation (contango), as the theory of storage predicts. Second, we show that price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect is more pronounced in backwardated markets. Our findings are robust with respect to alternative inventory measures and over the recent commodity price boom.en_UK
dc.language.isoen-
dc.publisherElsevier-
dc.relationSymeonidis L, Prokopczuk M, Brooks C & Lazar E (2012) Futures basis, inventory and commodity price volatility: An empirical analysis, Economic Modelling, 29 (6), pp. 2651-2663.-
dc.rightsThe publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.-
dc.subjectForward curvesen_UK
dc.subjectInventoryen_UK
dc.subjectCommodity price volatilityen_UK
dc.subjectTheory of storageen_UK
dc.subjectConvenience yielden_UK
dc.titleFutures basis, inventory and commodity price volatility: An empirical analysisen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-31T00:00:00Z-
dc.rights.embargoreasonThe publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.-
dc.identifier.doihttp://dx.doi.org/10.1016/j.econmod.2012.07.016-
dc.citation.jtitleEconomic Modelling-
dc.citation.issn0264-9993-
dc.citation.volume29-
dc.citation.issue6-
dc.citation.spage2651-
dc.citation.epage2663-
dc.citation.publicationstatusPublished-
dc.citation.peerreviewedRefereed-
dc.type.statusPublisher version (final published refereed version)-
dc.author.emaillazaros.symeonidis@stir.ac.uk-
dc.contributor.affiliationAccounting and Finance-
dc.contributor.affiliationZeppelin University-
dc.contributor.affiliationUniversity of Reading-
dc.contributor.affiliationUniversity of Reading-
dc.rights.embargoterms2999-12-31-
dc.rights.embargoliftdate2999-12-31-
dc.identifier.isi000311184700059-
Appears in Collections:Accounting and Finance Journal Articles

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