Convenience Yields, Risk Premiums, and the Interpretation of Oil Futures Prices During Times of Geopolitical Conflict

Erfan Danesh, Erik Heitfield and Yang-Ho Park
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Erfan Danesh: https://www.federalreserve.gov/econres/erfan-danesh.htm
Erik Heitfield: https://www.federalreserve.gov/econres/erik-a-heitfield.htm
Yang-Ho Park: https://www.federalreserve.gov/econres/yang-ho-park.htm

No 2026-10-09-1, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Earlier this year the Middle East conflict led to one of the largest global oil supply shocks in history (Bordoff and O'Sullivan, 2026). Past empirical research has found that commodity futures prices provide accurate predictions of future spot prices under normal market conditions (Reeve and Vigfusson, 2011; Chernenko et al., 2004).

Date: 2026-10-09
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:103904

DOI: 10.17016/2380-7172.4161

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