Theory of price of storage.

By M. Pavaskar. 2010

482 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/280caca31c079b73bcc290dde07dee56e6d1a63c

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Citations in the corpus

European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) (2009, unknown): “…the cost-of-carry relationship, and without storage costs for EUA allowances, the futures and spot prices are linked through S t = F T e –r ( T–t ) with S t the spot price at time t , F T the futures prices of a contract with delivery in T , and r the interest rate (Working (1949), Brennan (1958)).”
Financialization, Crisis and Commodity Correlation Dynamics (2013, background): “For early work on the theory of storage Kaldor (1939), Working (1949), Brennan (1958) and Telser (1958).”
Speculative bubbles in agricultural commodity markets (2013, background): “Early authors, for example Kaldor (1939) and Working (1949), defined the convenience yield as a negative component of the carrying charges, i.e. storage costs, insurance costs and finance charges paid to store a physical commodity, in an effort to explain the often-observed phenomenon of spot…”
The Skewness of Commodity Futures Returns (2018, unknown): “It occurs when inventories are low (Kaldor, 1939; Working, 1949; Brennan, 1958; Fama and French, 1987; Gorton, Hayashi and Rouwenhorst, 2012; Symeonidis, Prokopczuk, Brooks and Lazar, 2012), when the term structure of commodity futures prices slopes downward (Erb and Harvey, 2006; Gorton and Rouwenh”
Determinants of Agricultural and Mineral Commodity Prices (2010, background): “The theory of storage or costs-of-carry models (Working, 1949; Brenan, 1958), which explain the difference in the contemporaneous spot price and futures price of commodities by the net costs of carrying stock.”
The Financialization of Commodity Markets (2014, background): “The debate has largely focused on whether excessive speculation has distorted prices.”
Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure (2013, background): “By so doing, the Hirshleifer (1990) generalized hedging pressure hypothesis synthesises the viewpoints of Keynes (1930) and Working (1949).5 The early empirical tests of the hedging pressure hypothesis focused on the role of own commodity hedging pressure as a determinant of either futures prices…”
Forward curves, scarcity and price volatility in oil and natural gas markets (2009, background): “The theory of storage introduced in the founding papers by Kaldor (1939), Working (1948, 1949), Telser (1958), Brennan (1958), asserts that the holder of some inventory of a commodity earns a "convenience yield" because readily available stocks allow him to respond more efficiently to unexpected…”