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dc.contributor.authorWest, Jason
dc.contributor.editorAkimov, Alexandr
dc.date.accessioned2020-01-16T08:00:16Z
dc.date.available2020-01-16T08:00:16Z
dc.date.issued2011
dc.identifier.issn1836-8123
dc.identifier.otherRePEc:gri:fpaper:finance:201102
dc.identifier.urihttp://hdl.handle.net/10072/390413
dc.description.abstractThe presence of a st rong contango in the term structure for thermal coal implies a h ighly negative convenience yield. This paper examines the conditions that lead to negative convenience yields for bulk commodities. We show that convenience yields for bulk commodities are dominated by the effect of oversupply rather than the combined effect of increases in inventory costs and decreases in the volatility of the underlying cash commodity. Producers clearly prefer to stockpile the commodity rather than adjust production in response to a contraction in demand. The data also reveals the inverse relationship between convenience yields and inventory levels is more significant when convenience yields are negative and deferred forward contracts are less volatile than near maturity contracts. We also demonstrate that the effect of convenience yield monotonically diminishes with maturity.
dc.format.extent19 pages
dc.languageEnglish
dc.publisherGriffith University
dc.publisher.placeBrisbane, Australia
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto19
dc.subject.keywordsQ41 - Energy: Demand and Supply
dc.subject.keywordsC53 - Forecasting Methods; Simulation Methods
dc.subject.keywordsCommodities
dc.subject.keywordsConvenience yield
dc.subject.keywordsForward markets.
dc.title2011-02: A Note on the Presence of Inconvenience Yields in Bulk Commodity Markets (Working paper)
dc.typeReport
dc.type.descriptionDiscussion Paper
gro.facultyGriffith Business School
gro.description.notepublicFinance
gro.rights.copyrightCopyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
gro.date.issued2011
gro.hasfulltextFull Text
gro.griffith.authorWest, Jason


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