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dc.contributor.authorCasassus, Jaime
dc.contributor.authorLiu, Peng
dc.contributor.authorTang, Ke
dc.date.accessioned2020-09-12T21:10:23Z
dc.date.available2020-09-12T21:10:23Z
dc.date.issued2013-05-01
dc.identifier.other9565613
dc.identifier.urihttps://hdl.handle.net/1813/72246
dc.description.abstractThis 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.
dc.language.isoen_US
dc.relation.isversionofAn earlier version of this article is also available in eCommons.
dc.relation.hasversionCasassus, J., Liu, P., & Tang, K. (2013). Economic linkages, relative scarcity, and commodity futures returns. Review of Financial Studies, 26(5), 1324-1362. doi:10.1093/rfs/hhs127
dc.relation.urihttps://hdl.handle.net/1813/70906
dc.rightsRequired Publisher Statement: © Oxford University Press. Final version published as: Casassus, J., Liu, P., & Tang, K. (2013). Economic linkages, relative scarcity, and commodity futures returns. Review of Financial Studies, 26(5), 1324-1362. doi:10.1093/rfs/hhs127 Reprinted with permission. All rights reserved.
dc.subjectcommodity futures
dc.subjecteconomic linkages
dc.subjectrelative scarcity
dc.subjectcorrelation term structure
dc.subjectconvenience yields
dc.subjectspread options
dc.titleEconomic Linkages, Relative Scarcity, and Commodity Futures Returns
dc.typearticle
dc.relation.doihttps://doi.org/10.1093/rfs/hhs127
dc.description.legacydownloadsPL1_Economic_linkages.pdf: 137 downloads, before Aug. 1, 2020.
local.authorAffiliationCasassus, Jaime: Pontificia Universidad Catolica de Chile
local.authorAffiliationLiu, Peng: pl333@cornell.edu Cornell University School of Hotel Administration
local.authorAffiliationTang, Ke: Renmin University of China


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