Speculation in commodity futures markets: A simple equilibrium model

Abstract : We propose a simple and yet comprehensive equilibrium model of the interaction between the physical 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 the two first of them operate in the physical market. All of them, however, may initiate a position in the paper market, for hedging and/or speculation purposes. First, we give the necessary and sufficient conditions on the fundamentals of this economy for a rational expectations equilibrium to exist and we show that it is unique. Second, we propose a generalized framework for the analysis of price relationships: the model exhibits a surprising variety of behaviors at equilibrium which connects the normal backwardation theory and the storage theory. Third, the model addresses the regulatory issues of speculators’ presence in the market and their influence on prices
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Communication dans un congrès
séminaire Hotelling (RITM – ENS CACHAN), Feb 2014, Cachan, France. pp.37, 2014
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https://hal.archives-ouvertes.fr/hal-01655848
Contributeur : Christine Okret-Manville <>
Soumis le : mardi 5 décembre 2017 - 11:20:58
Dernière modification le : jeudi 11 janvier 2018 - 06:17:41

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Bertrand Villeneuve, Delphine Lautier, Ivar Ekeland. Speculation in commodity futures markets: A simple equilibrium model. séminaire Hotelling (RITM – ENS CACHAN), Feb 2014, Cachan, France. pp.37, 2014. 〈hal-01655848〉

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