| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16875 |
| 来源ID | Working Paper 16875 |
| Limits to Arbitrage and Hedging: Evidence from Commodity Markets | |
| Viral V. Acharya; Lars A. Lochstoer; Tarun Ramadorai | |
| 发表日期 | 2011-03-10 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Motivated by the literature on limits-to-arbitrage, we build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in producers' hedging demand (speculators' risk-capacity) increase hedging costs via price-pressure on futures, reduce producers' inventory holdings, and thus spot prices. Consistent with our model, producers' default risk forecasts futures returns, spot prices, and inventories in oil and gas market data from 1980-2006, and the component of the commodity futures risk premium associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage generate limits to hedging by producers, and affect both asset and goods prices. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w16875 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574548 |
| 推荐引用方式 GB/T 7714 | Viral V. Acharya,Lars A. Lochstoer,Tarun Ramadorai. Limits to Arbitrage and Hedging: Evidence from Commodity Markets. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16875.pdf（816KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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