The theory of storage stands that futures prices should be equal to the spot price plus the interest forgone in storing the commodity and the warehousing costs minus the convenience yield on the inventory. In this paper, we test several implications of the theory of storage on the pricing of United Kingdom natural gas futures. We obtain partial evidence for the theory of storage as a complete explanation of the pricing of this futures contract. Explicitly, (i) we obtain evidence to explain convenience yield seasonality with spot price volatility, unexpected demand shocks when supply is tight, inventory variations, and trading activity in the futures markets; (ii) we obtain indirect evidence for the theory of storage in accepting the Samuelson hypothesis; (iii) weak although significant influence of storage levels in determining the basis is obtained; (iv) we find weak evidence for the inventory influence of futures volatility; and (v) finally, the slope of the convenience yield structure is found to respond to inventory changes and trading activity in the futures markets that anticipates inventory scarcity. All in all, we can conclude that our evidence for the theory of storage in this market is strong but cannot completely explain futures pricing for natural gas.

仓储理论认为，期货价格应等于现货价格加上仓储商品所放弃的利息和仓储成本减去库存的便利收益率。在本文中，我们测试了存储理论对英国天然气期货定价的几种影响。我们获得了存储理论的部分证据，作为对该期货合约定价的完整解释。明确地，（i）我们获得证据来解释便利收益率季节性与现货价格波动、供应紧张时的意外需求冲击、库存变化和期货市场的交易活动；(ii) 我们在接受萨缪尔森假设时获得了存储理论的间接证据；(iii) 储存水平对确定基准的影响虽小但影响很大；(iv) 我们发现期货波动对库存影响的证据不足；(v) 最后，发现便利收益率结构的斜率对预期库存稀缺的期货市场中的库存变化和交易活动作出反应。总而言之，我们可以得出结论，我们对这个市场储存理论的证据是有力的，但不能完全解释天然气的期货定价。