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La volatilité des prix des matières premières

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  • Yves Simon
  • Delphine Lautier
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    Abstract

    [eng] The volatility of commodity prices . This article is centred on the volatility of commodity prices. It presents the instruments offering a protection against volatility and shows how they can be employed. The first section exposes these derivative instruments. It distinguishes them in step with the need they respond and the way they are traded. It also recalls the fundamental principles of hedging. The second section is devoted to the term structure of commodity prices and its dynamic behaviour. A study of the volatility of crude oil future prices illustrates the presentation. The last section underlines the interest of the information provided by future prices curves, not even for hedging purposes, but also for stock management and investment. . JEL classifications : G13, G14, G15, Q14, Q40, C51, C52, D84 [fre] Cet article expose la problématique de la volatilité des prix des matières premières, montre quels sont les moyens pour s'en protéger et explique comment les employer. Les instruments de couverture sont présentés en première section, en distinguant le type de besoin auquel ils répondent et le mode d'organisation du marché sur lesquels ils sont échangés. Cette présentation permet de rappeler les principes fondamentaux de la couverture. La deuxième section est consacrée à la structure par terme des prix des matières premières et à son comportement dynamique. Elle est illustrée par une étude de l'évolution de la volatilité des prix à terme du pétrole brut. Enfin, la section trois met en évidence l'intérêt que peut avoir l'information apportée par la courbe des prix, non seulement pour la couverture, mais également pour la gestion des stocks et l'investissement. . Classification JEL : G13, G14, G15, Q14, Q40, C51, C52, D84

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    File URL: http://dx.doi.org/doi:10.3406/ecofi.2004.5031
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    Bibliographic Info

    Article provided by Programme National Persée in its journal Revue d'économie financière.

    Volume (Year): 74 (2004)
    Issue (Month): 1 ()
    Pages: 45-84

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    Handle: RePEc:prs:recofi:ecofi_0987-3368_2004_num_74_1_5031

    Note: DOI:10.3406/ecofi.2004.5031
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecofi

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    1. Angus Deaton & Guy Laroque, 1990. "On The Behavior of Commodity Prices," NBER Working Papers 3439, National Bureau of Economic Research, Inc.
    2. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
    3. Fama, Eugene F & French, Kenneth R, 1988. " Business Cycles and the Behavior of Metals Prices," Journal of Finance, American Finance Association, vol. 43(5), pages 1075-93, December.
    4. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
    5. Schwartz, Eduardo, 1998. "Valuing long-term commodity assets," Journal of Energy Finance & Development, Elsevier, vol. 3(2), pages 85-99.
    6. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-70, March.
    7. Lautier, Delphine, 2003. "The informational value of crude oil futures prices," Economics Papers from University Paris Dauphine 123456789/1245, Paris Dauphine University.
    8. Neuberger, Anthony, 1999. "Hedging Long-Term Exposures with Multiple Short-Term Futures Contracts," Review of Financial Studies, Society for Financial Studies, vol. 12(3), pages 429-59.
    9. Chambers, Marcus J & Bailey, Roy E, 1996. "A Theory of Commodity Price Fluctuations," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 924-57, October.
    10. Deaton, Angus & Laroque, Guy, 1996. "Competitive Storage and Commodity Price Dynamics," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 896-923, October.
    11. Christopher L. Culp & Merton H. Miller, 1995. "Metallgesellschaft And The Economics Of Synthetic Storage," Journal of Applied Corporate Finance, Morgan Stanley, vol. 7(4), pages 62-76.
    12. Bryan Routledge & Duane Seppi & Chester Spatt, . "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-49, Carnegie Mellon University, Tepper School of Business.
    13. Eduardo S. Schwartz, 1998. "Valuing Long-Term Commodity Assets," Financial Management, Financial Management Association, vol. 27(1), Spring.
    14. Delphine Lautier, 1998. "Les opérations de Metallgesellschaft sur les marchés à terme de produits pétroliers:spéculation ou couverture ?," Revue Finance Contrôle Stratégie, revues.org, vol. 1(3), pages 107-129, September.
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