Macroeconomic Influences and the Variability of the Commodity Futures Basis

@inproceedings{Bailey1993MacroeconomicIA,
  title={Macroeconomic Influences and the Variability of the Commodity Futures Basis},
  author={Warren Bailey and Kalok Chan},
  year={1993}
}
The authors provide evidence that the spread between commodity spot and futures prices (the basis) reflects the macroeconomic risks common to all asset markets. The basis of many commodities is correlated with the stock index dividend yield and corporate bond quality spread. Explanatory power is related to exposure to macroeconomic fluctuations: about 40 percent of the variation in the basis of a portfolio of commodities with high business cycle sensitivity is explained by the stock and bond… CONTINUE READING

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