Equilibrium Forward Curves for Commodities
نویسندگان
چکیده
منابع مشابه
Equilibrium Forward Curves for Commodities
This paper presents an equilibrium model of the term structure of forward prices for storable commodities. Our approach differs from Brennan (1991) and Schwartz (1997) in that we do not explicitly assume an exogenous "convenience yield." Rather, our spot commodity has an embedded timing option that is absent in forward contracts, which arises from a non-negativity constraint on inventory. The v...
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We consider an equilibrium forward contract on a nonstorable commodity when forward market participants have market powers. The forward contract is negotiated through a Nash bargaining process due to market powers. We derive the unique equilibrium forward contract in closed form and provide an extensive comparative statics analysis. We show in particular that the introduction of a forward marke...
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The water relations play a fundamental role in seed comprehension of biology. In order to describe the process of drying and the effect on water activity, which controls biological change in storage, a sound knowledge of the relationship between equilibrium moisture content (EMC) and water activity/equilibrium relative humidity (ERH) is essential. The relationship between the total moisture con...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2000
ISSN: 0022-1082
DOI: 10.1111/0022-1082.00248