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CommodityFuturesPrices:

MoreEvidenceonForecastPower,RiskPremia

andtheTheoryofStorage

ChrisBrooks,MarcelProkopczukandYingyingWu

October31,2011

∗

Abstract

Inthispaper,weextendpreviousstudiesandtesttwocommodityfu-

ngthentheirtestingpowerbyextendingthe

find

enhancedevidenceforseasonalityinthebasis,whichsupportsthetheoryof

erofthebasistoforecastsubsequentpricechangesisalso

strengthened,whiletheresultsonthepresenceorotherwiseofariskpre-

er,weshowthatwecannotattribute

theforecastingpowerofcommodityfuturestotheextenttowhichtheyex-

eralsoexamineswhethertherearetime-varying

caseswhere

structuralbreaksoccur,onlyparallelmovementsaredetected,illustrating

thattheforecastingpowerofthebasisisstableoverthedifferenteconomic

environmentsinvestigated.

JELclassification:G13

Keywords:CommodityFutures,TheoryofStorage,RiskPremia

Electronic copy available at: /abstract=1948608

1Introduction

Recently,commoditieshavecaughtmuchattentiondueinparttothebooming

romtheirhedgingfunctionforcommer-

cialtraders,commoditiesareregardedbyinvestorsasgoodalternativeinvestment

vehiclesduetotheirlowcorrelationswithincommoditysubgroupsandwithother

dgeofcommodityfuturespricinghelpsinvestorstounder-

fferentfrom

otherassetclassessuchasstocksandbonds,commoditieshavetheirownfeatures

mmodityhasitsownmarketwhereitspriceis

determinedbytheforcesofsupplyanddemand.

Futurescontractswrittenoncommoditiesembedauniquecomponent-the

convenienceyield-whichaccruestothephysicalholderofcommoditiesthatcould

lastingdiscussionhasconcernedthequestionastowhethercommodityfutures

pricescontainapositive,ityfutures

pricingtheorieshavebeenexaminedfrommanydifferentperspectives.

Therelativelylessdebatedtheoryofstorageisbuiltonthefoundationof

ve-

nienceyield,initiallydocumentedbyKaldor(1939),describesthelinkagebetween

eory

iselaboratedbyWorking(1949)andBrennan(1958),andPindyck(2001)further

linksthecashandstoragemarketstodeterminetheshorttermdynamicsofspot

nerallyagreedthattheconvenienceyieldisinverselyrelatedto

theinventorylevel,whichisverifiedbyNgandPirrong(1994)andMilonasand

Thomadakis(1997)whomeasuretheconvenienceyieldinarealoptionsframe-

heless,empirically,onebigproblemisthattheconvenienceyieldis

andFrench(1987)thereforeproposeanindirectapproachtotestthetheoryof

storageandfindsupportiveresults.

Anotherbodyofliteratureaimstoaddressthequestionoftheexistenceor

absenceofariskpremiumincommodityfuturesmarkets(riskpremiumtheory).

ThisissueoriginatesfromthetheoryofnormalbackwardationproposedbyKeynes

(1930),wherethetermstructureofcommoditypricesisattributedtothegreater

1

Electronic copy available at: /abstract=1948608