文章基本信息

标题：Risk Premiums and the Storage of Agricultural Commodities
本地全文：下载
作者：Lin, Hua ; Fortenbery, T. Randall
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2006
卷号：37
期号：SUPPL
出版社：Food Distribution Research Society
摘要：The existence of a commodity market risk premium has attracted the interest of researchers for several decades. Most attempts to measure risk premiums have been focused on futures markets. However, if the risk premium is a payment made by hedgers (as suggested by Keynes) to reduce their risk profile, then the risk being reduced originates in the cash market. This suggests that the risk premium may also originate in the cash market. As such, the search for a risk premium should focus on the cash market, and, given Working's Supply of Storage Curve, should be measured as a function of stored inventory. This paper develops an expected utility based model that separates the risk premium from other storage incentives, and illustrates the role of the cash market risk premium on the storage decisions of two different market agents.