Article thumbnail

A Term Structure Model for Commodity Prices: Does Storability Matter?

By Chuanyi Lin and Matthew C. Roberts


Econometric models of commodity prices have been estimated for more than 80 years, but both structural and time series models require ad hoc assumptions to capture all the features of commodity price series. Commodities can be broadly divided into two categories: storable and non-storable. The purpose of this study is to investigate the effects of storability on commodity futures pricing, especially whether meats can be reasonably approximated by storable commodity term structure models. From the empirical analysis of seven commodity futures prices, the two-factor Schwartz model is found to perform well for less storable commodities.Demand and Price Analysis,

OAI identifier:
Downloaded from

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.

Suggested articles


  1. (1999). A Term Structure Model for Agricultural Futures.” Selected Paper Presented at AAEA annual meeting.
  2. (2006). An Introduction to CME Commodity Products.” CME Brochures. Available at
  3. (2006). An Overview of CME Commodity Futures for Hedgers.” CME Brochures. Available at
  4. (2006). CME Livestock Futures and Options: Introduction to Underlying Market Fundamentals.” CME Brochures. Available at
  5. (1995). Commodity Storage and Interseasonal Price Dynamics.” In:
  6. (1996). Competitive Storage and Commodity Price Dynamics.”
  7. (1958). Futures trading and the storage of cotton and wheat.”
  8. (1995). Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure.”
  9. (2006). Mercantile Exchange.
  10. (2002). Modeling Seasonality in Agricultural Commodity Futures.”
  11. (2003). Options, Futures, and Other Derivatives, 5 th edition.
  12. (1961). Rational Expectations and the Theory of Price
  13. (2001). Risk Management in Agricultural Markets: a Review.”
  14. (2000). Seasonality in Agricultural Commodity Futures: Comment.”
  15. (2000). Short-term Variations and Long-term Dynamics in
  16. (1936). Speculation and the Carryover.”
  17. (1991). Storage and Commodity Markets. New York:
  18. (1997). The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging.”
  19. (1949). The theory of price of storage.”
  20. (1948). Theory of the inverse carrying charge in futures markets.”