Short-Term Variations and Long-Term Dynamics in Commodity Prices
构建了一个两因子商品价格模型，将短期均值回归与长期均衡水平的不确定性结合，利用现货和期货价格估计因子，并应用于石油期货数据，展示了该模型相对于Gibson-Schwartz模型的优势。
In this article, we develop a two-factor model of commodity prices that allows meanreversion in short-term prices and uncertainty in the equilibrium level to which prices revert. Although these two factors are not directly observable, they may be estimated from spot and futures prices. Intuitively, movements in prices for long-maturity futures contracts provide information about the equilibrium price level, and differences between the prices for the short- and long-term contracts provide information about short-term variations in prices. We show that, although this model does not explicitly consider changes in convenience yields over time, this short-term/long-term model is equivalent to the stochastic convenience yield model developed in Gibson and Schwartz (1990). We estimate the parameters of the model using prices for oil futures contracts and apply the model to some hypothetical oil-linked assets to demonstrate its use and some of its advantages over the Gibson-Schwartz model.