The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices
研究发现，现有商品价格期限结构模型难以从短期合约推断长期期货价格，而加入库存数据的非线性四因子模型能显著改善原油长期期货价格预测，对实物商品资产估值有重要价值。
State-of-the-art term structure models of commodity prices have serious difficulties extrapolating the prices of long-maturity futures contracts from short-dated contracts. This situation is problematic for valuing real commodity-linked assets. We estimate a nonlinear four-factor continuous time model of commodity price dynamics. The model nests many previous specifications. To estimate the model, we use crude oil prices and inventories. The inventory data and nonlinear price dynamics have a large impact on oil price forecasts. The additional factor in our model compared with current three-factor models has a significant impact on model-implied long-maturity futures prices.Received November 23, 2015; editorial decision September 12, 2016 by Editor Geert Bekaert.