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dc.contributor.authorFiguerola Ferretti Garrigues, Isabel Catalinaes-ES
dc.contributor.authorGonzalo, Jesuses-ES
dc.date.accessioned2016-02-25T12:56:31Z
dc.date.available2016-02-25T12:56:31Z
dc.date.issued15/09/2010es_ES
dc.identifier.issn0304-4076es_ES
dc.identifier.urihttp://hdl.handle.net/11531/6539
dc.descriptionArtículos en revistases_ES
dc.description.abstractno procedees-ES
dc.description.abstractIn this paper we present an equilibrium model of commodity spot (st ) and futures (ft ) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modelling endogenously the convenience yield, our theoretical model is able to capture the existence of backwardation or contango in the long-run spot-futures equilibrium relationship, st D _2ft C _3. When the slope of the cointegrating vector _2 > 1._2 < 1/ the market is under long run backwardation (contango). It is the first time in this literature in which the theoretical possibility of finding a cointegrating vector different from the standard _2 D 1 is formally considered. Independent of the value of _2, this paper shows that the equilibrium model admits an economically meaningful Error Correction Representation, where the linear combination of (st ) and (ft ) characterizing the price discovery process in the framework of Garbade and Silber (1983), coincides exactly with the permanent component of the Gonzalo and Granger (1995) Permanent_Transitory decomposition. This linear combination depends on the elasticity of arbitrage services and is determined by the relative liquidity traded in the spot and futures markets. Such outcome not only provides a theoretical justification for this Permanent_Transitory decomposition; but it offers a simple way of detecting which of the two prices is dominant in the price discovery process. All the results are testable, as can be seen in the application to spot and futures non-ferrous metals prices (Al, Cu, Ni, Pb, Zn) traded in the London Metal Exchange (LME). Most markets are in backwardation and futures prices are ``information dominant'' in highly liquid futures markets (Al, Cu, Ni, Zn).en-GB
dc.format.mimetypeapplication/pdfes_ES
dc.language.isoes-ESes_ES
dc.rightses_ES
dc.rights.uries_ES
dc.sourceRevista: Journal of Econometrics, Periodo: 1, Volumen: 158, Número: 1, Página inicial: 95, Página final: 107es_ES
dc.titleModelling and measuring price discovery in commodity marketses_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.description.versioninfo:eu-repo/semantics/publishedVersiones_ES
dc.rights.holderEl Journal mantiene los derechos de autor del artículoes_ES
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccesses_ES
dc.keywordsno procedees-ES
dc.keywordsBackwardation Cointegration Commodity markets Contango Convenience yield Futures prices Permanent_Transitory decomposition Price discoveryen-GB


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