Determinants of Hedging and Risk Premia in Commodity Futures Markets
研究商品期货套期保值和风险溢价的决定因素，分析期货价格与股市回报及生产者收入的协方差如何影响风险溢价，并探讨供给冲击、有限参与、收入弹性、生产成本等因素的作用。
This paper examines the determinants of commodity futures hedging and of risk premia arising from covariation of the futures price with stock market returns, and with the reve? nues of producers. Owing to supply shocks that stochastically redistribute real wealth (surplus) between producers and consumers, and to limited participation in the futures market, the total risk premium in the model is not proportional to the contract's covariance with aggregate consumption. Stock market variability interacts with the incentive to hedge, causing the producer hedging component of the risk premium to increase (de? crease) with income elasticity, for a normal (inferior) good. Production costs that depend on output raise the premium. We argue that output and demand shocks will typically be positively correlated, raising the premium. High supply elasticity reduces the absolute heding premium by reducing the variability of spot price and revenue.