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Hedging pressure and speculation in commodity futures markets

Author

Listed:
  • Delphine Lautier

    (DRM - Dauphine Recherches en Management - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)

  • Ivar Ekeland

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)

  • Bertrand Villeneuve

    (LEDa - Laboratoire d'Economie de Dauphine - Université Paris-Dauphine)

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.

Suggested Citation

  • Delphine Lautier & Ivar Ekeland & Bertrand Villeneuve, 2018. "Hedging pressure and speculation in commodity futures markets," Post-Print hal-01787255, HAL.
  • Handle: RePEc:hal:journl:hal-01787255
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01787255
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    Keywords

    Spéculations; Marchés; Speculation; Finance;

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