The Financialization of Storable Commodities
构建了一个包含期货市场、异质风险厌恶参与者和储存的动态均衡模型，以原油市场数据校准后发现，金融化降低了期货风险溢价并增加了期货持仓与现货价格的相关性，但对现货价格均值和波动性的长期影响有限。
I solve a dynamic equilibrium model of commodity spot and futures prices, incorporating an active futures market, heterogeneous risk-averse participants, and storage. When calibrated to data from the crude oil market, the model implies that financialization reduces the futures risk premium and increases correlation between futures open interest and the spot price level. However, there is no long-run increase in the mean spot price, and speculative storage generally attenuates financialization’s effect on spot price volatility. Therefore, financialization’s effect on spot price dynamics through storage arbitrage is likely modest, even if futures positions and risk premia are substantially altered. This paper was accepted by Gustavo Manso, finance.