MACROECONOMIC INFLUENCES AND THE VARIABILITY OF THE COMMODITY FUTURES BASIS

被引:71
作者
BAILEY, W [1 ]
CHAN, KC [1 ]
机构
[1] OHIO STATE UNIV,DEPT FINANCE,COLUMBUS,OH 43210
关键词
D O I
10.2307/2328912
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We provide evidence that the spread between commodity spot and futures prices (the basis) reflects the macroeconomic risks common to all asset markets. The basis of many commodities is correlated with the stock index dividend yield and corporate bond quality spread. Explanatory power is related to exposure to macroeconomic fluctuations: about 40 percent of the variation in the basis of a portfolio of commodities with high business cycle sensitivity is explained by the stock and bond yields. Further diagnostics indicate that these associations are largely due to the presence of risk premiums, rather than spot price forecasts, in the basis.
引用
收藏
页码:555 / 573
页数:19
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