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Equilibrium relations between the spot and futures markets for commodities: an infinite horizon model

Ekeland, Ivar; Jaeck, Édouard; Lautier, Delphine; Villeneuve, Bertrand (2019), Equilibrium relations between the spot and futures markets for commodities: an infinite horizon model, Center for Environmental Economics Montpellier, 2019, Montpellier, France

Type
Communication / Conférence
Date
2019
Conference title
Center for Environmental Economics Montpellier
Conference date
2019
Conference city
Montpellier
Conference country
France
Metadata
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Author(s)
Ekeland, Ivar
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Jaeck, Édouard
Dauphine Recherches en Management [DRM]
Lautier, Delphine
Dauphine Recherches en Management [DRM]
Villeneuve, Bertrand cc
Laboratoire d'Economie de Dauphine [LEDa]
Abstract (EN)
We give new insights into the dynamic behavior of commodity prices with an infinite horizon rational expectations equilibrium model for spot and futures commodity prices. Numerical simulations of the model emphasize the heterogeneity that exists in the behavior of commodity prices by showing the link between the physical characteristics of a market and some stylized facts of commodity futures prices. They show the impact of storage costs on both the variability of the basis and on the Samuelson effect. Finally, the simulations of the model show that an increase in the speculative activity on commodity futures markets has an overall positive effect on risk premia. However, not all of the agents benefit from it.
Subjects / Keywords
Commodity prices; equilibrium model; market