Speculation in commodity futures markets: A simple equilibrium model
Résumé
We propose a simple and yet comprehensive equilibrium model of the interaction between the
physical and the derivative markets of a commodity. To represent all basic economic functions,
we take three types of agents: industrial processors, inventory holders and speculators. Only the
two first of them operate in the physical market. All of them, however, may initiate a position
in the paper market, for hedging and/or speculation purposes. First, we give the necessary and
sufficient conditions on the fundamentals of this economy for a rational expectations equilibrium
to exist and we show that it is unique. Second, we propose a generalized framework for the
analysis of price relationships: the model exhibits a surprising variety of behaviors at equilibrium
which connects the normal backwardation theory and the storage theory. Third, the model
addresses the regulatory issues of speculators’ presence in the market and their influence on
prices
Domaines
Mathématiques [math]
Origine : Fichiers produits par l'(les) auteur(s)