The Present Value Model of Rational Commodity Pricing
Bibliographic Data
| ID | 9706943 |
|---|---|
| Authors | Robert S Pindyck (0000-0001-8296-9875, National Bureau of Economic Research, corresponding author), Robert Pindyck |
| Year | 1993 |
| Volume | 103 |
| Issue | 418 |
| Pages | 511 |
| Publication date | 1993-05-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.2307/2234529 |
| OpenAlex | W2073602069 |
| Language | EN |
| Citations received | 12 |
| References cited | 2 |
The present value model relates an asset's price to the sum of its discounted expected future payoffs. I explore the limits of the model by testing its ability to explain the pricing of storable commodities. For commodities the payoff stream is the convenience yield that accrues from holding inventories, and it can be measured directly from spot and futures prices. Hence the model imposes restrictions on the joint dynamics of spot and futures prices, which I test for four commodities. I find close conformance to the model for heating oil, but not for copper or lumber, and especially not for gold. The pattern is the same for the serial dependence of excess returns. These results suggest that for three of the four commodities, prices at least temporarily deviate from fundamentals
Capital asset pricing model · Commodity · Convenience yield · Crude oil · Econometrics · Economics · Financial economics · Forward price · Futures contract · Microeconomics · Spot contract · Stochastic game · Value (mathematics · Yield (engineering · Economic theories and models · Finance · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
Resource Curse or Not
European Carbon Prices and Banking Restrictions
What drives precious metals pricing? An explainable Mixed-frequency machine learning approach
The adverse consequences of global harvest and weather disruptions on economic activity
Testing for Co‐explosive Behaviour in Financial Time Series
Food Prices, Ethics and Forms of Speculation
The Impact of Food Prices on Conflict Revisited
Commodity Prices, Convenience Yields, and Inflation
Gold Investment Incentives
Gold Returns
Convenience Yield without the Convenience
A Model of Supply of Storage
| Unique citing works | 12 |
|---|---|
| Citations per year | 0,41 |
| Citation span | 1997 - 2026 (30) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 12 |