ナカジマ カツシ   NAKAJIMA Katsushi   中島 克志    所属   立命館アジア太平洋大学  国際経営学部    職種   准教授
言語種別	英語
発行・発表の年月	2019/08
形態種別	論文（学術誌・プロフェショナル誌）
査読	査読あり
標題	Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model
執筆形態	単著
掲載誌名	Asia-Pacific Financial Markets
巻・号・頁	27,pp.35-59
概要	This study analyzes the relationships of commodity spot and futures prices with convenience yield. Convenience yield is received by the owner of a spot commodity but not by the owner of the right to the commodity (e.g., futures). This is the first study to explicitly model commodity spot and futures prices using firms and speculators (i.e., supply and demand of a commodity). We found that spot and futures prices are related to convenience yield. Based on this we were able to identify the structure of convenience yield, which can be decomposed into two components: yield and cost. When speculators are introduced, the spot commodity price is the discounted futures price minus the present value of the marginal storage cost plus the convenience yield on the spot storage.
DOI	https://doi.org/10.1007/s10690-019-09280-6
ISSN	1387-2834