Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil
研究了库存如何影响炼油厂的汽油生产，并构建了原油价格与库存关系的结构模型，发现便利收益随库存增加而递减，且价格与库存的关系在时间上保持稳定，表明金融投资者活动对油价影响较弱。
This paper examines the role of inventories in refiners’ gasoline production and develops a structural model of the relationship between crude oil prices and inventories. Using data on inventories and prices of oil futures, I show that convenience yields decrease at a diminishing rate as inventories increase, consistent with the theory of storage. In addition to exhibiting seasonal and procyclical behaviors, I show that the historical convenience yield averages about 18 percent of the oil price from March 1989 to November 2014. Although some have argued that a breakdown of the relationship between crude oil inventories and prices following increased financial investors’ participation after 2004 was evidence of a speculative effect, I find that the proposed price-inventory relationship is stable over time. The empirical evidence indicates that crude oil prices remained tied to oil-market fundamentals such as inventories, suggesting that the contribution of financial investors’ activities was weak.