Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103025
Authors: 
Alquist, Ron
Bauer, Gregory H.
Díez de los Ríos, Antonio
Year of Publication: 
2014
Series/Report no.: 
Bank of Canada Working Paper 2014-42
Abstract: 
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.
Subjects: 
Asset pricing
International topics
JEL: 
C53
G12
G13
Q43
Document Type: 
Working Paper

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