Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
构建了一个包含商品现货价格、便利收益率和利率的三因子模型，发现原油和铜的便利收益率依赖于现货价格水平，而白银、黄金和铜的风险溢价随时间变化，这些都会导致价格均值回归。
ABSTRACT We characterize a three‐factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest rates. It also allows for time‐varying risk premia. Both may induce mean reversion in spot prices, albeit with very different economic implications. Empirical results show strong evidence for spot‐price level dependence in convenience yields for crude oil and copper, which implies mean reversion in prices under the risk‐neutral measure. Silver, gold, and copper exhibit time variation in risk premia that implies mean reversion of prices under the physical measure.