Commodity Prices, Convenience Yield and Inventory Behaviour

2021 ◽  
pp. 143-171
Author(s):  
Andrey Vavilov ◽  
Georgy Trofimov
Keyword(s):  
Commodity Prices ◽  
Convenience Yield

Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities

2009 ◽  
Vol 17 (1) ◽  
pp. 51-75
Author(s):  
Bong-Gyu Jang ◽  
Sang-Gyu Lim ◽  
Ho-Seok Lee
Keyword(s):  
Stochastic Process ◽  
Term Structure ◽  
Commodity Prices ◽  
Theoretical Models ◽  
Foreign Exchange Rate ◽  
Constant Ratio ◽  
Convenience Yield ◽  
Underlying Asset ◽  
Model Combining ◽  
Key Characteristics

We investigated term structure models for commodity prices to value derivative-linked securities (DLS) traded in Korea. We especially highlighted geometric Brownian motion (GBM) model considering a convenience yield and Schwartz model reflecting mean-reverting property. One of key characteristics of the paper is that this paper provides theoretical models for multi underlying assets and the model combining GBM model and Schwartz model. Furthermore, it gives us an analysis for quanto adjustment which occurs in the valuation of DLS. In case of GBM model, quanto adjustment seems to be relatively simple by adjusting a constant ratio to risk-free interest rate. Unlike GBM model, we find out that, in case of Schwartz model, such adjustment can be achieved only when the stochastic process of foreign exchange rate is considered. After having valuation, both models show stable results for DLS prices using WTI index as an underlying asset. However, they results in outcomes, which are relatively not stable, on valuing DLS written on multi underlying assets including nickel.

scholarly journals A stochastic control approach to managed futures portfolios

2019 ◽  
Vol 06 (01) ◽  
pp. 1950005 ◽  
Author(s):  
Tim Leung ◽  
Raphael Yan
Keyword(s):  
Stochastic Control ◽  
Utility Maximization ◽  
Commodity Prices ◽  
Trading Strategies ◽  
Maximization Problem ◽  
Convenience Yield ◽  
Yield Model ◽  
Managed Futures ◽  
Control Approach ◽  
Utility Maximization Problem

We study a stochastic control approach to managed futures portfolios. Building on the (Schwartz, 1997) stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity futures or multiple futures contracts over a finite horizon. By analyzing the associated Hamilton–Jacobi–Bellman (HJB) equation, we solve the investor’s utility maximization problem explicitly and derive the optimal dynamic trading strategies in closed form. We provide numerical examples and illustrate the optimal trading strategies using WTI crude oil futures data.

Russian Banking System under Conditions of Global Crisis

2009 ◽  
pp. 4-14 ◽  
Author(s):  
G. Gref ◽  
K. Yudaeva
Keyword(s):  
Banking System ◽  
Commodity Prices ◽  
Financial Sector ◽  
Banking Crises ◽  
Economic Recovery ◽  
Balance Sheets ◽  
Current Economic Crisis ◽  
Risk Appetite ◽  
The Us ◽  
The Face

Problems in the financial sector were at the core of the current economic crisis. Therefore, economic recovery will only become sustainable after taking care of the major weaknesses in the financial sector. This conclusion is relevant both for the US and UK - the two countries where crisis has started, and for other economies which financial institutions turned out to be fragile in the face of the swings in the risk appetite. Russia is one of the countries where the crisis has revealed serious deficiency in the financial sector. Our study of 11 banking crises during the last 25-30 years shows that sustainable economic recovery and decrease in the dependence on commodity prices will be virtually impossible without cleaning of balance sheets and capitalization of the financial sector.

A Factor Model for Co-Movements of Commodity Prices

CFA Digest ◽  
2014 ◽  
Vol 44 (7) ◽  
Author(s):  
Vipul K. Bansal
Keyword(s):  
Factor Model ◽  
Commodity Prices

Farzana Naqvi. Energy, Economy and Equity Interactions in a CGE Model for Pakistan. Aldershot: Ashgate Publishing Company, 1997. Hardbound. Price not given. xxii+290 pages.

1999 ◽  
Vol 38 (2) ◽  
pp. 219-222
Author(s):  
Hina Nazli
Keyword(s):  
Negative Impact ◽  
Commodity Prices ◽  
Government Revenue ◽  
Foreign Markets ◽  
Nontraded Goods ◽  
Real Gdp ◽  
International Donor ◽  
Energy Economy ◽  
Balance Of Trade ◽  
Donor Agencies

Modernisation of the agricultural, industrial and household sectors causes the demand for energy to increase more rapidly than its supply. In countries that aim to modernise quickly a heavy investment is required to redress this imbalance. That is why in countries such as Pakistan, the energy has remained on the top of the agenda of loan negotiation with international donor agencies. Energy serves as both a final consumption good and as an essential intermediate input in the production of goods. Thus any change in the price of energy at both these levels affects consumption as well as production and that, in turn, can cause changes in the prices of all other commodities. A change in the prices of exportables affects their demand in foreign markets and any change in the prices of import-competing and nontraded goods affects their demand at home. The net effects of all these changes can be measured in terms of the effects on real GDP, balance of trade, and government revenue. And, because any change in commodity prices exerts a negative impact on real consumption of households; the formulation of a comprehensive energy policy requires a framework that can take the immense complexity of the linkages of all the sectors of the economy into consideration. In the book under review, Dr Farzana Naqvi, argues that the issues of energy pricing can not be examined in isolation and presents a general equilibrium framework to address the complex issues related to energy, economy and equity.

Global Food Commodity Prices and Domestic Food Inflation: Some Insights from Morocco

New Medit ◽  
2020 ◽  
Vol 19 (3) ◽  
Author(s):  
Ahmed EL GHIN ◽  
Mounir EL-KARIMI
Keyword(s):  
Exchange Rate Regime ◽  
Commodity Prices ◽  
Food Prices ◽  
Consumer Prices ◽  
Floating Exchange Rate ◽  
Pass Through ◽  
The Impact ◽  
Food Inflation ◽  
Global Food ◽  
Domestic Food

This paper examines the world commodity prices pass-through to food inflation in Morocco, over the period 2004-2018, by using Structural Vector Autoregression (SVAR) model on monthly data. Several interesting results are found from this study. First, the impact of global food prices on domestic food inflation is shown significant, which reflects the large imported component in the domestic food consumption basket. Second, the transmission effect is found to vary across commodities. Consumer prices of cereals and oils significantly and positively respond to external price shocks, while those of dairy and beverages are weakly influenced. Third, there is evidence of asymmetries in the pass-through from world to domestic food prices, where external positive shocks generate a stronger local prices response than negative ones. This situation is indicative of policy and market distortions, namely the subsidies, price controls, and weak competitive market structures. Our findings suggest that food price movements should require much attention in monetary policymaking, especially that the country has taken preliminary steps towards the adoption of floating exchange rate regime.

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