Publikation: An Equilibrium Model for Spot and Forward Prices of Commodities
Lade...
Dateien
Zu diesem Dokument gibt es keine Dateien.
Datum
2018
Autor:innen
Herausgeber:innen
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
DOI (zitierfähiger Link)
ArXiv-ID
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Sammlungen
Core Facility der Universität Konstanz
Titel in einer weiteren Sprache
Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published
Erschienen in
Mathematics of Operations Research. 2018, 43(1), pp. 152-180. ISSN 0364-765X. eISSN 1526-5471. Available under: doi: 10.1287/moor.2017.0850
Zusammenfassung
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.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
commodities; equilibrium; spot and forward prices; forward premium; stock and commodity market correlation
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690
ANTHROPELOS, Michail, Michael KUPPER, Antonis PAPAPANTOLEON, 2018. An Equilibrium Model for Spot and Forward Prices of Commodities. In: Mathematics of Operations Research. 2018, 43(1), pp. 152-180. ISSN 0364-765X. eISSN 1526-5471. Available under: doi: 10.1287/moor.2017.0850BibTex
@article{Anthropelos2018Equil-31208.2,
year={2018},
doi={10.1287/moor.2017.0850},
title={An Equilibrium Model for Spot and Forward Prices of Commodities},
number={1},
volume={43},
issn={0364-765X},
journal={Mathematics of Operations Research},
pages={152--180},
author={Anthropelos, Michail and Kupper, Michael and Papapantoleon, Antonis}
}RDF
<rdf:RDF
xmlns:dcterms="http://purl.org/dc/terms/"
xmlns:dc="http://purl.org/dc/elements/1.1/"
xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
xmlns:bibo="http://purl.org/ontology/bibo/"
xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
xmlns:foaf="http://xmlns.com/foaf/0.1/"
xmlns:void="http://rdfs.org/ns/void#"
xmlns:xsd="http://www.w3.org/2001/XMLSchema#" >
<rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/31208.2">
<dcterms:title>An Equilibrium Model for Spot and Forward Prices of Commodities</dcterms:title>
<dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<dcterms:abstract xml:lang="eng">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.</dcterms:abstract>
<dc:contributor>Papapantoleon, Antonis</dc:contributor>
<dc:creator>Papapantoleon, Antonis</dc:creator>
<dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2018-03-21T12:18:30Z</dcterms:available>
<dc:contributor>Anthropelos, Michail</dc:contributor>
<dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2018-03-21T12:18:30Z</dc:date>
<dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
<bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/31208.2"/>
<dc:creator>Kupper, Michael</dc:creator>
<dc:contributor>Kupper, Michael</dc:contributor>
<dcterms:issued>2018</dcterms:issued>
<foaf:homepage rdf:resource="http://localhost:8080/"/>
<dc:creator>Anthropelos, Michail</dc:creator>
<dc:language>eng</dc:language>
</rdf:Description>
</rdf:RDF>Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Unbekannt
