Future-Spot Price Spreads as Returns on Commodity Loans
نویسنده
چکیده
Commodity loans are presented as an interpretation of spreads between spot and futures prices in commodity markets. This interpretation suggests an alternative to convenience yield as an explanation for the existence of large positive differences between spot and futures prices that are inconsistent with the usual arbitrage arguments. A model is presented in which an owner of a stock of a commodity who has no commercial interest in the commodity may choose to retain inventory even in the face of seemingly profitable price spreads.
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