Asset storability and price discovery in commodity futures markets: A new look
研究了可存储与不可存储商品期货市场在长期中的价格发现表现，发现资产存储性不影响期货价格与现货价格之间的协整关系及期货市场预测现货价格的有效性，但可能影响预测偏差的大小。
This article examines the price discovery performance of futures markets for storable and nonstorable commodities in the long run, allowing for the compounding factor of stochastic interest rates. The evidence shows that asset storability does not affect the existence of cointegration between cash and futures prices and the usefulness of future markets in predicting future cash prices. However, it may affect the magnitude of bias of futures markets’ estimates (or predictions) for future cash prices. These findings have several important implications for commodity production decision making, commodity hedging, and commodity price forecasting. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:279–300, 2001