The Determinants of Convenience Yields
42 Pages Posted: 30 Dec 2013 Last revised: 3 Nov 2014
Date Written: August 30, 2013
In this study, we investigate the determinants of convenience yields across a broad range of commodities. We find that the convenience yields of commodities are exposed to both commodity-specific and systematic factors, but to a different extent. The difference in explanatory power of these factors for each commodity sheds light on the heterogeneity of commodity markets. One main difference between commodity sectors lies in their different sensitivities towards the state of the economy.
Keywords: Commodity futures; Convenience yield
JEL Classification: G13
Suggested Citation: Suggested Citation