Equilibrium Forward Curves for Commodities
构建了一个可储存商品远期价格期限结构的均衡模型，解释了库存非负约束如何使现货商品拥有远期合约所缺乏的时机选择期权，并预测了不同期限远期价格的波动性。
We develop an equilibrium model of the term structure of forward prices for storable commodities. As a consequence of a nonnegativity constraint on inventory, the spot commodity has an embedded timing option that is absent in forward contracts. This option's value changes over time due to both endogenous inventory and exogenous transitory shocks to supply and demand. Our model makes predictions about volatilities of forward prices at different horizons and shows how conditional violations of the ‘Samuelson effect’ occur. We extend the model to incorporate a permanent second factor and calibrate the model to crude oil futures data.