Hedging pressure and speculation in commodity futures markets

Delphine Lautier, Ivar Ekeland and Bertrand Villeneuve
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Delphine Lautier: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Ivar Ekeland: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: We propose a micro-founded equilibrium model to examine the interactions between the physical and the derivative markets of a commodity. This model provides a unifying framework for the hedging pressure and storage theories. The model shows a variety of behaviors at equilibrium that can be used to analyze price relations for any commodity. Further, through a comparative statics analysis, we precisely identify the losers and winners in the financialization of the commodity markets. Therefore, this paper clarifies the political economy of regulatory issues, like speculators' influence on prices.

Keywords: Spéculations; Marchés; Speculation; Finance (search for similar items in EconPapers)
Date: 2018-02
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Citations: View citations in EconPapers (1)

Published in 2nd Commodity Winter Workshop, Feb 2018, Nantes, France

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01787255

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