G13 - Contingent Pricing; Futures Pricing

• What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

  Staff Working Paper 2014-42 Ron Alquist, Gregory Bauer, Antonio Diez de los Rios

  Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, International topics JEL Code(s): C, C5, C53, G, G1, G12, G13, Q, Q4, Q43