In conclusion, for these reasons we think our assumption--that the convenience yields
extracted from long-term Treasuries apply in the same measure to Treasury bills--is conservative; but it is nonetheless an assumption, and one should bear this in mind in interpreting our results.
Milonas and Henker (2001) found that crude oil price spreads are affected by convenience yields
and that oil spreads and convenience yields
are positively related in the near-maturity contracts.
But once home prices stopped rising, endogenous convenience yields
plummeted so that they now reflect only the much lower long-run usage benefits of homeownership.
as call options: An empirical analysis.
Therefore, in the existence of futures markets, we can take from the markets the values of convenience yields
Schwartz, 1998, "Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields
and Interest Rates", Journal of Financial and Quantitative Analysis, 33:33-59
You might object, "How could convenience yields
or liquidity premia be that large?
on the crop is related to the return, and is assumed stochastic in our model, but is a bounded variation process.
Offering photofinishing as a destination category rather than merely one of a number of service departments provided as a customer convenience yields
higher sales and profits, observes Tatreau.
Figure 4 also shows the corresponding optimal shadow spot prices computed using Equation (17) and implied by the combinations of optimal spot prices and convenience yields
obtained from the two-factor model.
Wright suggested that the authors' large estimates for convenience yields
resulted from conflating the liquidity premium with a credit spread.
With continuous production, inventories are held to maintain the flow of crude from producing fields to refineries.