根據 Kaldor (1939), Working (1948, 1949)及 Telser (1958)的倉儲理論，可以用買權來估計便利殖利率，因此我們以期貨契約為標的物，應用兩種方法對供給循環、需求循環與無循環之八種商品估計便利殖利率，以觀察 Fama and French (1987, 1988)之期貨與現貨之正價差與逆價差現象；為詮釋商品之商業循環，並以兩期模型來定義需求 /供給衝擊的發生。實證發現與 Fama and French (1987,1988)結論是一致的，即季節性明顯之商品，便利殖利率與存貨水準之關係為負的顯著，低存貨水準時便利殖利率愈大，現貨價格波動性是高於期貨價格，且便利殖利率之期限結構顯示為水平型態。
Following the theory of storage of Kaldor (1939),Working(1948,1949) and Telser (1958), convenience yield as call options. Therefore, the futures contract is underlying asset, we estimate the convenience yield for eight commodities of demand cycle, supply cycle and non-cycle with two approach. To observe the normal/inverted market of Fama and French(1987, 1988). This paper applies a two-period model which identical business cycle and demand/supply shock. We find that the behavior of the convenience yield is consistent with Fama and French(1987, 1988). The results are the convenience yield declines with increases in inventory, and futures prices less variable than spot prices when inventory is low for seasonal commodity. We also show that structure of the convenience yield is flat.
