Asset storability and price discovery in commodity futures markets: A new look
研究了可储存与不可储存商品期货市场的长期价格发现表现，发现资产可储存性不影响现货与期货价格的协整关系及期货预测现货价格的能力，但可能影响预测偏差的大小，对商品生产决策、套期保值和价格预测有重要启示。
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