What does the convenience yield curve tell us about the crude oil market?

Arbeitspapier

Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period. We show that the convenience yield curve is well explained by a level and a slope factor. Consistent with the theory of storage, convenience yields have predictive power over future crude oil inventories, production, global real economic activity and the price of oil.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Canada Working Paper ; No. 2014-42

Classification and Topics

• Classification: Wirtschaft ; Forecasting Models; Simulation Methods ; Asset Pricing; Trading Volume; Bond Interest Rates ; Contingent Pricing; Futures Pricing; option pricing ; Energy and the Macroeconomy
• Subject: Asset pricing ; International topics

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Alquist, Ron ; Bauer, Gregory H. ; Díez de los Ríos, Antonio
• Event: Veröffentlichung
• (who): Bank of Canada
• (where): Ottawa
• (when): 2014

Further information

• DOI: doi:10.34989/swp-2014-42
• Handle: http://hdl.handle.net/10419/103025
• Last update: 10.03.2025, 11:44 AM CET