Résumé (EN)

We propose a simple and yet comprehensive equilibrium model of the interaction between thephysical 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 thetwo first of them operate in the physical market. All of them, however, may initiate a positionin the paper market, for hedging and/or speculation purposes. First, we give the necessary andsufficient conditions on the fundamentals of this economy for a rational expectations equilibriumto exist and we show that it is unique. Second, we propose a generalized framework for theanalysis of price relationships: the model exhibits a surprising variety of behaviors at equilibriumwhich connects the normal backwardation theory and the storage theory. Third, the modeladdresses the regulatory issues of speculators’ presence in the market and their influence onprices