Theory of storage, inventory and volatility in the LME base metals
Theory of storage, inventory and volatility in the LME base metals
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DOI：
10.1016/j.resourpol.2012.06.014
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发表时间：
2013-03-01
期刊：
影响因子：
10.2
通讯作者：
Smith, William O.
中科院分区：
文献类型：
--
作者：
Geman, Helyette;Smith, William O.
与商品有关的仓储理论，对库存商品的数量作了两种预测。当库存低时（即稀缺的情况），现货价格将超过期货价格，现货价格波动将超过期货价格波动。相反，在非稀缺时期，现货价格和现货价格波动将保持相对温和。我们测试这些预测的六个基本金属交易的伦敦金属交易所（铝，铜，铅，镍，锡和锌），并找到强有力的验证理论。将上海期货交易所（Shanghai Futures Exchange）公布的中国库存数据包括在内，进一步加强了这种关系。本文还介绍了超额波动率、库存隐含现货价格和库存隐含现货波动率的概念及其应用。(C)2012爱思唯尔有限公司保留所有权利。
The theory of storage, as related to commodities, makes two predictions involving the quantity of the commodity held in inventory. When inventory is low (i.e. a situation of scarcity), spot prices will exceed futures prices, and spot price volatility will exceed futures price volatility. Conversely, during periods of no scarcity, both spot prices and spot price volatility will remain relatively subdued. We test these predictions for the six base metals traded on the London Metal Exchange (aluminium, copper, lead, nickel, tin and zinc), and find strong validation for the theory. Including Chinese inventories reported by the Shanghai Futures Exchange strengthens the relationship further. We also introduce the concepts of excess volatility, inventory-implied spot price and inventory-implied spot volatility and illustrate some applications. (C) 2012 Elsevier Ltd. All rights reserved.