Equilibrium Forward Contracts on Nonstorable Commodities in the Presence of Market Power
研究了在现货市场存在且无交割延迟时，两家风险厌恶企业通过纳什谈判达成非可储存商品远期合约的均衡，发现风险对冲是远期合约盛行的原因，并分析了价格波动和相关性对合约的影响。
Bilateral supply contracts are widely used despite the presence of spot markets. In this paper, we provide a potential explanation for this prevalence of supply contracts even when spot markets are liquid and without delivery lag. Specifically, we consider the determination of an equilibrium forward contract on a nonstorable commodity between two firms that have mean-variance preferences over their risky profits and negotiate the forward contract through a Nash bargaining process. We derive the unique equilibrium forward contract in closed form and provide an extensive analysis. We show that it is the risk-hedging benefit from a forward that justifies its prevalence in spite of liquid spot markets. In addition, while a forward does not affect production decisions due to the presence of spot markets, it does affect inventory decisions of the storable input factor due to its hedging effect against the inventory risk. We also show that price volatilities and correlations are important determinants of the equilibrium contract. In particular, the equilibrium forward price can be nonmonotonic in the spot price volatility and can decrease as the initial spot price increases.