An Equilibrium Model for Spot and Forward Prices of Commodities

• 成果类型: Article
• 署名作者: Anthropelos, Michail; Kupper, Michael; Papapantoleon, Antonis
• 署名单位: University of Piraeus; University of Konstanz; Technical University of Berlin
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2017.0850
• 发表日期: 2018
• 页码: 152-180
• 关键词: futures; financialization; RISK; INVESTMENT

摘要

We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity price. Financial investors take positions in these contracts to diversify their portfolios. The spot and forward equilibrium commodity prices are endogenously derived as the outcome of the interaction between producers and investors. Assuming that both are utility maximizers, we first prove the existence of an equilibrium in an abstract setting. Then, in a framework where the consumers' demand and the exogenously priced financial market are correlated, we provide semi-explicit expressions for the equilibrium prices and analyze their dependence on the model parameters. The model can explain why increased investors' participation in forward commodity markets and higher correlation between the commodity and the stock market could result in higher spot prices and lower forward premia.