Hedging pressure and speculation in commodity markets
Ekeland, Ivar; Lautier, Delphine; Villeneuve, Bertrand (2019), Hedging pressure and speculation in commodity markets, Economic Theory, 68, 1, p. 83--123. 10.1007/s00199-018-1115-y
TypeArticle accepté pour publication ou publié
Journal nameEconomic Theory
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Dauphine Recherches en Management [DRM]
Laboratoire d'Economie de Dauphine [LEDa]
Abstract (EN)We propose a micro-founded equilibrium model to examine the interactions between the physical and the derivative markets of a commodity. This model provides a unifying framework for the hedging pressure and storage theories. The model shows a variety of behaviors at equilibrium that can be used to analyze price relations for any commodity. Further, through a comparative statics analysis, we precisely identify the losers and winners in the financialization of the commodity markets. Therefore, this paper clarifies the political economy of regulatory issues, like speculators’ influence on prices.
Subjects / KeywordsEquilibrium model; Commodity; Speculation; Regulation; Futures markets; D4; G13; Q02
Showing items related by title and author.
Equilibrium relations between the spot and futures markets for commodities: an infinite horizon model Ekeland, Ivar; Jaeck, Édouard; Lautier, Delphine; Villeneuve, Bertrand (2019) Communication / Conférence