Business cycles and the behavior of energy prices

Apostolos Serletis and Vaughn Hulleman

MPRA Paper from University Library of Munich, Germany

Abstract: This paper tests the theory of storage--the hypothesis that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases in energy markets (crude oil, heating oil, and unleaded gas markets). We use the Fama and French (1988) indirect test, based on the relative variation in spot and futures prices. The results suggest that the theory holds for the energy markets.

JEL-codes: P28 (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (9)

Published in The Energy Journal 2.15(1994): pp. 125-134

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Related works:
Chapter: Business Cycles and the Behavior of Energy Prices (2007)
Journal Article: Business Cycles and the Behavior of Energy Prices (1994)
Journal Article: Business Cycles and the Behavior of Energy Prices* (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1745

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