Short-term variations and long-term dynamics in commodity prices
Short-term variations and long-term dynamics in commodity prices
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DOI：
10.1287/mnsc.46.7.893.12034
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发表时间：
2000-07-01
影响因子：
5.4
通讯作者：
Smith, JE
中科院分区：
文献类型：
--
作者：
Schwartz, E;Smith, JE
在本文中，我们开发了商品价格的双因素模型，该模型允许短期价格均值回归和价格回归均衡水平的不确定性。尽管这两个因素无法直接观察到，但可以根据现货和期货价格进行估计。直观上，长期期货合约的价格变动提供了有关均衡价格水平的信息，而短期和长期合约的价格差异提供了有关价格短期变化的信息。我们表明，尽管该模型没有明确考虑便利收益率随时间的变化，但该短期/长期模型相当于 Gibson 和 Schwartz（1990）开发的随机便利收益率模型。我们使用石油期货合约的价格来估计模型的参数，并将该模型应用于一些假设的与石油相关的资产，以证明其用途以及相对于 Gibson-Schwartz 模型的一些优势。
In this article, we develop a two-factor model of commodity prices that allows mean-reversion in short-term prices and uncertainty in the equilibrium level to which prices revert. Although these two factors are not directly observable, they may be estimated from spot and futures prices. Intuitively, movements in prices for long-maturity futures contracts provide information about the equilibrium price level, and differences between the prices for the short- and long-term contracts provide information about short-term variations in prices. We show that, although this model does not explicitly consider changes in convenience yields over time, this short-term/long-term model is equivalent to the stochastic convenience yield model developed in Gibson and Schwartz (1990). We estimate the parameters of the model using prices for oil futures contracts and apply the model to some hypothetical oil-linked assets to demonstrate its use and some of its advantages over the Gibson-Schwartz model.