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

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorEkeland, Ivar
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorJaeck, Édouard
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorLautier, Delphine
hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorVilleneuve, Bertrand
HAL ID: 745441
ORCID: 0000-0001-7485-9262
dc.date.accessioned2019-07-05T11:41:34Z
dc.date.available2019-07-05T11:41:34Z
dc.date.issued2019
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19176
dc.language.isoenen
dc.subjectCommodity pricesen
dc.subjectequilibrium modelen
dc.subjectmarketen
dc.subject.ddc515en
dc.titleEquilibrium relations between the spot and futures markets for commodities: an infinite horizon modelen
dc.typeCommunication / Conférence
dc.description.abstractenWe 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.en
dc.relation.ispartofdate2019
dc.subject.ddclabelAnalyseen
dc.relation.conftitleCenter for Environmental Economics Montpellieren
dc.relation.confdate2019
dc.relation.confcityMontpellieren
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2019-07-05T09:29:11Z
hal.identifierhal-02174950*
hal.version1*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut
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