Macroeconomic Influences and the Variability of the Commodity Futures Basis
发现商品现货与期货价格之差（基差）反映了所有资产市场共有的宏观经济风险，约40%的高周期敏感性商品组合基差变动可由股票和债券收益率解释，且主要源于风险溢价而非现货价格预测。
ABSTRACT We provide evidence that the spread between commodity spot and futures prices (the basis) reflects the macroeconomic risks common to all asset markets. The basis of many commodities is correlated with the stock index dividend yield and corporate bond quality spread. Explanatory power is related to exposure to macroeconomic fluctuations: about 40 percent of the variation in the basis of a portfolio of commodities with high business cycle sensitivity is explained by the stock and bond yields. Further diagnostics indicate that these associations are largely due to the presence of risk premiums, rather than spot price forecasts, in the basis.