淡江大學機構典藏:Item 987654321/23773
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 64178/96951 (66%)
Visitors : 9983346      Online Users : 19384
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/23773


    Title: Oil convenience yields estimated under demand/supply shock
    Authors: Lin, William T.;Duan, Chang-wen
    Contributors: 淡江大學財務金融學系
    Keywords: Business cycle;Convenience yield Demand/supply shock;Theory of storage;Two-period model
    Date: 2007-02
    Issue Date: 2010-08-10 09:29:46 (UTC+8)
    Publisher: Springer
    Abstract: 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.
    Relation: Review of Quantitative Finance and Accounting 28(2), p.203-225
    DOI: 10.1007/s11156-006-0008-5
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    0924-865X_28(2)p203-225.pdf354KbAdobe PDF299View/Open
    index.html0KbHTML135View/Open
    Oil convenience yields estimated under demand supply shock.pdf354KbAdobe PDF170View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback