Commodity Storage under Backwardation: Does the Working Curve Still Work?

Kishore Joseph, Scott Irwin and Philip Garcia

No 103888, 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania from Agricultural and Applied Economics Association

Abstract: We investigate storage in the presence of backwardation and the existence of the Working curve for CBOT corn, soybeans, and wheat markets and the KCBOT wheat market using recent data, 1990-2010. Incorporating Telser’s concept of the cost of carry, we employ two measures of the spread—the percent of full carry for futures-futures and futures-spot (maximum) spreads which are adjusted for interest and storage rates. Both spreads are calculated relative to the next nearby futures contract and are matched with closest weekly deliverable stock information available at the delivery locations for the contracts. Our findings indicate that storage at a loss is pervasive both in terms of the percent of observations that exhibited storage at a loss, and the magnitude of the stockholdings for those observations. The evidence for the importance of convenience yield in the Working curve is a little less systematic, with strongest support emerging in the KCBOT wheat market, CBOT wheat and corn in Toledo/Maumee, corn in Chicago, and soybeans at almost all locations.

Keywords: Agribusiness; Demand and Price Analysis (search for similar items in EconPapers)
Pages: 18
New Economics Papers: this item is included in nep-mic
References: View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://ageconsearch.umn.edu/record/103888/files/2011%20AAEA_KJ%20DRAFT%201.pdf (application/pdf)

Related works:
Journal Article: Commodity Storage under Backwardation: Does the Working Curve Still Work? (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea11:103888

DOI: 10.22004/ag.econ.103888

Access Statistics for this paper

More papers in 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().