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Speculation in commodity futures markets: A simple equilibrium model

dc.contributor.authorLautier, Delphine
dc.contributor.authorEkeland, Ivar
dc.contributor.authorVilleneuve, Bertrand
HAL ID: 745441
ORCID: 0000-0001-7485-9262
dc.date.accessioned2014-02-28T08:24:51Z
dc.date.available2014-02-28T08:24:51Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12774
dc.language.isoenen
dc.subjectcommodity futures markets
dc.subjectspeculation
dc.subject.ddc332en
dc.subject.classificationjelQ.Q0.Q00en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelD.D8.D84en
dc.subject.classificationjelD.D8.D81en
dc.subject.classificationjelD.D4.D40en
dc.titleSpeculation in commodity futures markets: A simple equilibrium model
dc.typeCommunication / Conférence
dc.description.abstractenWe 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
dc.relation.ispartoftitleséminaire Hotelling (RITM – ENS CACHAN)
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleséminaire Hotelling (RITM – ENS CACHAN)
dc.relation.confcityParis
dc.relation.confcountryFRANCE
dc.relation.forthcomingnonen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2018-05-15T15:12:07Z
hal.identifierhal-01655848*
hal.version1*
hal.update.actionupdateMetadata*
hal.update.actionupdateFiles*


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