Portal de Periódicos da CAPES

Updating the estimation of the supply of storage

2006; Wiley; Volume: 26; Issue: 7 Linguagem: Inglês

10.1002/fut.20205

1096-9934

Carl Zulauf, Haijiang Zhou, Matthew C. Roberts,

Monetary Policy and Economic Impact

Journal of Futures MarketsVolume 26, Issue 7 p. 657-676 Research Article Updating the estimation of the supply of storage Carl R. Zulauf, Corresponding Author Carl R. Zulauf [email protected] Ohio State University, Columbus, OHDepartment of Agricultural, Environmental, and Development Economics, Agricultural Administration Building, Ohio State University, 2120 Fyffe Road, Columbus, OH 43210Search for more papers by this authorHaijiang Zhou, Haijiang Zhou International Fund Services, New York, NYSearch for more papers by this authorMatthew C. Roberts, Matthew C. Roberts Ohio State University, Columbus, OHSearch for more papers by this author Carl R. Zulauf, Corresponding Author Carl R. Zulauf [email protected] Ohio State University, Columbus, OHDepartment of Agricultural, Environmental, and Development Economics, Agricultural Administration Building, Ohio State University, 2120 Fyffe Road, Columbus, OH 43210Search for more papers by this authorHaijiang Zhou, Haijiang Zhou International Fund Services, New York, NYSearch for more papers by this authorMatthew C. Roberts, Matthew C. Roberts Ohio State University, Columbus, OHSearch for more papers by this author First published: 09 May 2006 https://doi.org/10.1002/fut.20205Citations: 8AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Abstract An updated supply of storage is estimated to reflect recent developments in the literature. This study adds a measure of price variability, specifically implied volatility. It also adds a measure of the call-option value to sell stocks before the end of the storage period, specifically a measure developed by Heaney (2002). The model is estimated for U.S. soybean stocks carried between crop years. A quadratic relationship is found between stocks to use ratio and implied volatility. A statistically significant, inverse, linear relationship is found between the storage-cost–adjusted spread and the estimated call-option value. This finding is consistent with the much debated idea that convenience yield is a return to storage that can offset losses from storage when intertemporal price spreads are negative. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:657–676, 2006 BIBLIOGRAPHY Benirschka, M., & Bindley, J. K. (1995). Optimal storage and marketing over space and time. American Journal of Agricultural Economics, 77, 512–524. 10.2307/1243220 Web of Science®Google Scholar Bobenrieth H., E. S. A., Bobenrieth H., J. R. A., & Wright, B. D. (2004). A model of supply of storage. Economic Development and Cultural Change, 52, 605–616. 10.1086/383331 Web of Science®Google Scholar Brennan, D., Williams, J., & Wright, B. D. (1997). Convenience yield without the convenience: A spatial–temporal interpretation of storage under backwardation. The Economic Journal, 107, 1009–1022. 10.1111/j.1468-0297.1997.tb00004.x Web of Science®Google Scholar Brennan, M. J. (1958). The supply of storage. American Economic Review, 48, 50–72. Web of Science®Google Scholar Brennan, M. J. (1991). The price of convenience and the valuation of commodity contingent claims. In D. Lund & B. Oksendal (Eds.), Stochastic model and option values (pp. 33–71). Amsterdam: North-Holland. Web of Science®Google Scholar Bresnahan, T. F., & Spiller, P. T. (1986). Futures market backwardation under risk neutrality. Economic Inquiry, 24, 429–441. 10.1111/j.1465-7295.1986.tb01821.x Web of Science®Google Scholar Chavas, J. P. (1988). On competitive speculation under uncertainty: An alternative view of the inverse-carrying charge. Journal of Economics and Business, 40, 117–128. 10.1016/0148-6195(88)90011-2 Web of Science®Google Scholar Chavas, J. P., Despins, P. M., & Fortenbery, T. R. (2000). Inventory dynamics under transaction costs. American Journal of Agricultural Economics, 82, 260–273. 10.1111/0002-9092.00023 Web of Science®Google Scholar Deaton, A., & Laroque G. (1992). On the behaviour of commodity prices. The Review of Economic Studies, 59, 1–23. 10.2307/2297923 Web of Science®Google Scholar Frechette, D. L. (1999). The supply of storage under heterogeneous expectations. Journal of Agricultural and Applied Economics, 31, 461–474. 10.1017/S1074070800008774 Google Scholar Frechette, D. L. (2001). Aggregation and the nature of price expectations. American Journal of Agricultural Economics, 83, 52–63. 10.1111/0002-9092.00136 Web of Science®Google Scholar Frechette, D. L., & Fackler, P. L. (1999). What causes commodity price backwardation? American Journal of Agricultural Economics, 81, 761–771. 10.2307/1244322 Web of Science®Google Scholar Gray, R. W., & Peck, A. E. (1981). The Chicago wheat futures market: Recent problems in historical perspective. Food Research Institute Studies, 18, 89–115. Google Scholar Heaney, R. (1998). A test of the cost-of-carry relationship using the London metal exchange lead contract. The Journal of Futures Markets, 18, 177–200. 10.1002/(SICI)1096-9934(199804)18:2 3.0.CO;2-C Web of Science®Google Scholar Heaney, R. (2002). Approximation for convenience yield in commodity futures pricing. The Journal of Futures Markets, 22, 1005–1017. 10.1002/fut.10036 Web of Science®Google Scholar Heinkel, R., Howe, M. E., & Hughes, J. S. (1990). Commodity convenience yields as an option profit. The Journal of Futures Markets, 10, 519–533. 10.1002/fut.3990100508 Web of Science®Google Scholar Hoos, S., & Working, H. (1940). Price relations of Liverpool wheat futures. Wheat Studies [Food Research Institute, Stanford University], 17(Nov.), 101–143. Google Scholar Kaldor, N. (1939). Speculation and economic stability. The Review of Economic Studies, 1–27. 10.2307/2967593 Web of Science®Google Scholar Keynes, J. M. (1930). A treatise on money. Volume 2: The applied theory of money. New York: Harcourt, Brace. Google Scholar Khoury, N. T., & Martel, J. M. (1989). A supply of storage theory with asymmetric information. The Journal of Futures Markets, 9, 573–581. 10.1002/fut.3990090610 Web of Science®Google Scholar Litzenberger, R. H., & Rabinowitz, N. (1995). Backwardation in oil futures markets: Theory and empirical evidence. The Journal of Finance, 50, 1517–1545. 10.1111/j.1540-6261.1995.tb05187.x Web of Science®Google Scholar Longstaff, F. A. (1995). How much can marketability affect security values? The Journal of Finance, 50, 1767–1774. 10.1111/j.1540-6261.1995.tb05197.x Web of Science®Google Scholar Milonas, N. T., & Henker, T. (2001). Price spread and convenience yield behavior in the international oil market. Applied Financial Economics, 11, 23–36. 10.1080/09603100150210237 Google Scholar Milonas, N. T., & Thomadakis, S. B. (1997a). Convenience yield and the option to liquidate for commodities with a crop cycle. European Review of Agricultural Economics, 24, 267–283. 10.1093/erae/24.2.267 Web of Science®Google Scholar Milonas, N. T., & Thomadakis, S. B. (1997b). Convenience yields as call options: An empirical analysis. The Journal of Futures Markets, 17, 1–15. 10.1002/(SICI)1096-9934(199702)17:1 3.0.CO;2-P Web of Science®Google Scholar Routledge, B. R., Seppi, D. J., & Spatt, C. S. (2000). Equilibrium forward curves for commodities. Journal of Finance, 55, 1297–1338. 10.1111/0022-1082.00248 Web of Science®Google Scholar Samuelson, P. A. (1976). Is real-world price a tale told by the idiot of chance? Review of Economics and Statistics, 63, 120–123. 10.2307/1936018 Web of Science®Google Scholar Sharples, J. A., & Holland, F. D. (1981). Impact of the farmer-owned reserve on privately owned wheat stocks. American Journal of Agricultural Economics, 63, 538–543. 10.2307/1240545 Web of Science®Google Scholar Sorensen, C. (2002). Modeling seasonality in agricultural commodity futures. The Journal of Futures Markets, 22, 393–426. 10.1002/fut.10017 Web of Science®Google Scholar Susmel, R., & Thompson, A. (1997). Volatility, storage, and convenience: Evidence from natural gas markets. The Journal of Futures Markets, 17, 17–43. 10.1002/(SICI)1096-9934(199702)17:1 3.0.CO;2-J Web of Science®Google Scholar Telser, L. G. (1958). Futures trading and the storage of cotton and wheat. Journal of Political Economy, 66, 233–255. 10.1086/258036 Web of Science®Google Scholar Thompson, S. (1986). Returns to storage in coffee and cocoa futures markets. The Journal of Futures Markets, 6, 541–564. 10.1002/fut.3990060404 Web of Science®Google Scholar Weymar, H. (1966). The supply of storage revisited. American Economic Review, 56, 1226–1234. Web of Science®Google Scholar Williams, J. (1987). Futures markets: A consequence of risk aversion or transactions costs? Journal of Political Economy, 95, 1000–1023. 10.1086/261499 Web of Science®Google Scholar Working, H. (1933). Price relations between July and September wheat futures at Chicago since 1885. Wheat Studies [Food Research Institute, Stanford University], 9 (Mar.), 187–238. Google Scholar Working, H. (1934). Price relations between May and new-crop wheat futures at Chicago since 1885. Wheat Studies [Food Research Institute, Stanford University], 10 (Feb.), 183–228. Google Scholar Working, H. (1948). Theory of the inverse carrying charge in futures markets. Journal of Farm Economics, 30, 1–28. 10.2307/1232678 Web of Science®Google Scholar Working, H. (1949). The theory of price of storage. American Economic Review, 39, 1254–1262. Web of Science®Google Scholar Wright, B. D., & Williams, J. C. (1989). A theory of negative prices for storage. The Journal of Futures Markets, 9, 1–13. 10.1002/fut.3990090102 Web of Science®Google Scholar Wu, C. F. J. (1986). Jackknife, bootstrap, and other resampling methods in regression analysis. The Annals of Statistics, 14, 1261–1295. 10.1214/aos/1176350142 Web of Science®Google Scholar Citing Literature Volume26, Issue7July 2006Pages 657-676 ReferencesRelatedInformation