This paper considers four competing propositions to explain the convex relationship between inventories and the cost-adjusted basis called the 'Working curve' - the convenience yield, the risk premium, data aggregation and the imbedded options value inherent to a futures contract. We use 70...

This paper revisits the asymmetric effect of the basis on commodity spot and futures price volatilities documented by Kogan, Livdan and Yaron (2008) and Lien and Yang (2008). Kogan et al. (2008) show both theoretically and empirically that, for a non-storable consumption good, the relationship...

To explain convenience yield accruing to commodity inventory holders, time to maturity (TTM) and TIME to harvest should interact with current scarcity. Using weekly data for corn, wheat and soyabeans (1986–2009), the interaction (multiplicative) model performs better than traditional versions...