The convenience yield under commodity financialization
基于仓储理论和便利收益类似看涨期权的观点，利用1995-2018年大豆库存、现货和期货数据，发现金融市场波动和宏观变量影响大豆便利收益，支持商品金融化存在，且波动率指数与便利收益呈显著负相关。
Abstract A number of papers have dealt with commodity financialization finding strong evidence for its existence and its effect on commodity prices and volatility. We chose convenience yield (CY) to study the effect of commodity financialization based on the theory of storage and on the argument that CY resembles a call option. Using quarterly data in the period 1995–2018, on soybeans stocks, cash and futures prices, a dynamic Autoregressive Distributed Lag with Exogenous model is estimated to measure the effects of independent variables from both the financial and commodity markets on CY. The evidence reveals that financial markets volatility along macroeconomic global variables affect soybeans CY giving support to the existence of commodity financialization. Besides, we find a statistically significant and negative relation between volatility index and CY. Support for this evidence rests on the theory of storage, Real Option Analysis, and behavioral finance.