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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/16847
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dc.contributor.authorSymeonidis, Lazarosen_UK
dc.contributor.authorProkopczuk, Marcelen_UK
dc.contributor.authorBrooks, Chrisen_UK
dc.contributor.authorLazar, Emeseen_UK
dc.date.accessioned2013-10-08T01:09:09Z-
dc.date.available2013-10-08T01:09:09Zen_UK
dc.date.issued2012-11en_UK
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.isoenen_UK
dc.publisherElsevieren_UK
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. https://doi.org/10.1016/j.econmod.2012.07.016en_UK
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.en_UK
dc.rights.urihttp://www.rioxx.net/licenses/under-embargo-all-rights-reserveden_UK
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.embargodate2999-12-31en_UK
dc.rights.embargoreason[futures basis inventory and commodity price volatility.pdf] The 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.en_UK
dc.identifier.doi10.1016/j.econmod.2012.07.016en_UK
dc.citation.jtitleEconomic Modellingen_UK
dc.citation.issn0264-9993en_UK
dc.citation.volume29en_UK
dc.citation.issue6en_UK
dc.citation.spage2651en_UK
dc.citation.epage2663en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusVoR - Version of Recorden_UK
dc.author.emaillazaros.symeonidis@stir.ac.uken_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationZeppelin Universityen_UK
dc.contributor.affiliationUniversity of Readingen_UK
dc.contributor.affiliationUniversity of Readingen_UK
dc.identifier.isiWOS:000311184700059en_UK
dc.identifier.scopusid2-s2.0-84866488086en_UK
dc.identifier.wtid678465en_UK
dcterms.dateAccepted2012-11-30en_UK
dc.date.filedepositdate2013-10-07en_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionVoRen_UK
local.rioxx.authorSymeonidis, Lazaros|en_UK
local.rioxx.authorProkopczuk, Marcel|en_UK
local.rioxx.authorBrooks, Chris|en_UK
local.rioxx.authorLazar, Emese|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2999-12-31en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filenamefutures basis inventory and commodity price volatility.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source0264-9993en_UK
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