An equilibrium model for spot and forward prices of commodities

Zitieren

Dateien zu dieser Ressource

Dateien Größe Format Anzeige

Zu diesem Dokument gibt es keine Dateien.

ANTHROPELOS, Michail, Michael KUPPER, Antonis PAPAPANTOLEON, 2015. An equilibrium model for spot and forward prices of commodities

@unpublished{Anthropelos2015equil-31208, title={An equilibrium model for spot and forward prices of commodities}, year={2015}, author={Anthropelos, Michail and Kupper, Michael and Papapantoleon, Antonis} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/31208"> <dc:contributor>Anthropelos, Michail</dc:contributor> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-06-19T07:42:10Z</dc:date> <dcterms:issued>2015</dcterms:issued> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/31208"/> <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 their future commodity price uncertainty. On the other hand, speculators invest in these contracts to diversify their portfolios. The forward and the spot equilibrium commodity prices are endogenously derived as the outcome of the interaction between producers and speculators. Assuming that both are utility maximizers and that the demand shocks 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 speculators' 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:creator>Kupper, Michael</dc:creator> <dc:creator>Anthropelos, Michail</dc:creator> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-06-19T07:42:10Z</dcterms:available> <dc:contributor>Papapantoleon, Antonis</dc:contributor> <dc:language>eng</dc:language> <dcterms:title>An equilibrium model for spot and forward prices of commodities</dcterms:title> <dc:contributor>Kupper, Michael</dc:contributor> <dc:creator>Papapantoleon, Antonis</dc:creator> </rdf:Description> </rdf:RDF>

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto