An Equilibrium Model for Spot and Forward Prices of Commodities

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ANTHROPELOS, Michail, Michael KUPPER, Antonis PAPAPANTOLEON, 2018. An Equilibrium Model for Spot and Forward Prices of Commodities. In: Mathematics of Operations Research. 43(1), pp. 152-180. ISSN 0364-765X. eISSN 1526-5471. Available under: doi: 10.1287/moor.2017.0850

@article{Anthropelos2018Equil-31208.2, title={An Equilibrium Model for Spot and Forward Prices of Commodities}, year={2018}, doi={10.1287/moor.2017.0850}, 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 xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <bibo:uri rdf:resource=""/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:creator>Anthropelos, Michail</dc:creator> <dcterms:issued>2018</dcterms:issued> <dcterms:isPartOf rdf:resource=""/> <dspace:isPartOfCollection rdf:resource=""/> <dc:contributor>Kupper, Michael</dc:contributor> <dc:date rdf:datatype="">2018-03-21T12:18:30Z</dc:date> <dc:contributor>Anthropelos, Michail</dc:contributor> <dcterms:title>An Equilibrium Model for Spot and Forward Prices of Commodities</dcterms:title> <dc:contributor>Papapantoleon, Antonis</dc:contributor> <dc:language>eng</dc:language> <dc:creator>Kupper, Michael</dc:creator> <dcterms:available rdf:datatype="">2018-03-21T12:18:30Z</dcterms:available> <dc:creator>Papapantoleon, Antonis</dc:creator> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <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> </rdf:Description> </rdf:RDF>

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