Effects of speculation and interest rates in a "carry trade" model of commodity prices

被引：74

作者：

Frankel, Jeffrey A. ^{[1
]}

机构：

[1] Harvard Univ, Harvard Kennedy Sch, Cambridge, MA 02138 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2014年 / 42卷

关键词：

Carry trade; Commodity; Commodities; Real; Interest rate; Oil; Petroleum; Mineral; Volatility; Inventory; Inventories; Monetary; Spot price; Spread; Overshooting; Futures; Speculation; OIL; FUTURES; EXPECTATIONS;

D O I：

10.1016/j.jimonfin.2013.08.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper presents and estimates a model of the prices of oil and other storable commodities, a model that can be characterized as reflecting the carry trade. It focuses on speculative factors, here defined as the trade-off between interest rates on the one hand and market participants' expectations of future price changes on the other hand. It goes beyond past research by bringing to bear new data sources: survey data to measure expectations of future changes in commodity prices and options data to measure perceptions of risk. Some evidence is found of a negative effect of interest rates on the demand for inventories and thereby on commodity prices and positive effects of expected future price gains on inventory demand and thereby on today's commodity prices. (C) 2013 Elsevier Ltd. All rights reserved.

引用

页码：88 / 112

页数：25

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