Hoarding the Herd: The Convenience of Productive Stocks
Frank Asche (),
Atle Oglend and
Journal of Futures Markets, 2015, vol. 35, issue 7, 679-694
This paper investigates the convenience yield that emerges in markets with productive stocks. We isolate the economic fundamentals giving rise to the yield, and show how these map to the empirical convenience yield measure. A model for price dynamics is derived from an economic model for optimal stock levels. We show how the price process reduces to a simple non‐linear first‐order Markov process. The model is estimated for the Norwegian market for farmed salmon by Generalized Methods of Moments, where stock growth is approximated by sea‐water temperature. Our estimation result supports the theorized role of stock growth as a convenience yield component. Our results are relevant for the functioning of futures markets for commodities such as fish and other animal production where systematic stock growth affects the term structure. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:679–694, 2015
References: Add references at CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:35:y:2015:i:7:p:679-694
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
Access Statistics for this article
Journal of Futures Markets is currently edited by Robert I. Webb
More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().