Résumé en anglais

We propose a simple equilibrium model, where the physical and the derivativemarkets of the commodity interact. There are three types of agents: industrial pro-cessors, inventory holders and speculators. Only the two first of them operate in thephysical market. All of them, however, may initiate a position in the paper market,for hedging and/or speculation purposes. We give the necessary and sufficient con-ditions on the fundamentals of this economy for a rational expectations equilibriumto exist and we show that it is unique. This is the first contribution of the paper.Our model exhibits a surprising variety of behaviours at equilibrium, and our secondcontribution is that the paper offers a unique generalized framework for the analysisof price relationships. The model indeed allows for the generalization of hedgingpressure theory, and it shows how this theory is connected to the storage theory.Meanwhile, it allows to study simultaneously the two main economic functions ofderivative markets: hedging and price discovery. In its third contribution, throughthe distinction between the utility of speculation and that of hedging, the modelillustrates the interest of a derivatives market in terms of the welfare of the agents.