بازده در دسترس بودن کالا و تعیین صرف ریسک: مورد بازار گاز طبیعی در ایالات متحده

This paper contributes to the understanding of commodity pricing issues by measuring and modeling two of the most important concepts in the storable commodity markets: the convenience yield and risk premium. An emphasis is placed on the empirical determination of these factors in the U.S. natural gas market. We find that the convenience yield and risk premium are measurable and economically significant. While we find that the determination of the convenience yield is largely consistent with economic theories, the evidence regarding the determination of the risk premium is mixed.