Default Premiums in Commodity Markets: Theory and Evidence
建模了不履约风险对远期和期货定价的影响，并利用“亨特兄弟”事件中贵金属期货价格寻找证据，发现不履约的预期成本是商品市场的重要定价因素，且新信息常伴随这些成本的变化。
ABSTRACT We model the effect of nonperformance risk on forward and futures pricing and look for evidence of nonperformance risk in precious metals futures prices from the “Hunt Brothers”episode. Changes in default premiums are measured and related to the sequence of events in the metals markets during this period. Results suggest first that ex ante costs of nonperformance can be a significant, priced factor in commodity markets and second that the arrival of new information is often associated with changes in these costs. The evidence has implications for both theoretical and empirical research on commodity markets.