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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

Type
Article accepté pour publication ou publié
Date
2019
Nom de la revue
Economic Theory
Volume
68
Numéro
1
Éditeur
Springer
Pages
83--123
Identifiant publication
Métadonnées
Afficher la notice complète
Auteur(s)
Ekeland, Ivar
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Lautier, Delphine
Dauphine Recherches en Management [DRM]
Villeneuve, Bertrand cc
Laboratoire d'Economie de Dauphine [LEDa]
Résumé (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.
Mots-clés
Equilibrium model; Commodity; Speculation; Regulation; Futures markets; D4; G13; Q02
JEL
D4 - Market Structure, Pricing, and Design
G13 - Contingent Pricing; Futures Pricing
Q02 - Commodity Markets