Contracting and Price Adjustment in Commodity Markets: Evidence from Copper and Oil
分析同时存在现货和长期合约交易的市场中价格如何调整，模型显示合约交易占比影响价格对暂时冲击的持续效应，并用铜和原油数据验证了现货市场重要性增加会加快价格调整速度。
This paper analyzes price adjustment in markets where trade takes place through both spot-market and long-term-contract transactions. The authors develop a model illustrating the role of the resulting two-price system in describing price adjustment to transitory shocks; persistence effects of these shocks on prices depends on, inter alia, the fraction of trades carried out through contracts. The model is tested on price data from the world copper and crude oil markets. Econometric tests of the model provide support for the hypothesis that the increase in the importance of spot markets in copper and oil is associated with an increase in the speed of adjustment of spot prices to supply and demand disturbances. Copyright 1989 by MIT Press.