In this paper, based on a description of the four major players of commodity spot and futures markets, we establish a multi-phase equilibrium model of price determination, and then analyze the influence of the entry of a large number of index investors on the risk premium, inventory management, and different traders’ positions of commodity futures. The result shows that, the correlation between...

This paper lays out a framework for the analysis of the risk transfer role of speculators on futures markets and the impact of their trading on the production decisions of firms. We show that when speculators diversify their portfolios over a large number of markets, the equilibrium risk premium converges to an asymptotic premium, the behaviour of which is determined by the stochastic dependenc...

a r t i c l e i n f o JEL classification: D82 D83 Q49 L11 L12 L94 Keywords: Price pass-through Norwegian electricity market Price asymmetry Market power Transmission lag In this paper we estimate the pass-through of wholesale electricity price to the end consumer price with variable price contracts in the Norwegian electricity market using weekly data. We find substantial asymmetry when retaile...

Advance selling occurs when sellers allow buyers to purchase at a time preceding consumption (Shugan and Xie 2000). Electronic tickets, smart cards, online prepayments, and other technological advances make advance selling possible for many, if not all, service providers. These technologies lower the cost of making complex transactions at a greater distance from the seller’s site. They also giv...

Participants along a production chain which exchange intermediate products on spot markets face price risks, such as the transmission of price fluctuations of the final product. In a real options environment this uncertainty may cause investment reluctance on the different steps of the production chain. This paper analyzes weather a stronger vertical integration along the production chain allow...

Motivated by recent electronic marketplaces, we consider a single-product make-to-stock manufacturing system that uses two alternative selling channels: long-term contracts and a spot market of electronic orders. At time 0, the risk-averse manufacturer selects the long-term contract price, at which point buyers choose one of the two channels. The resulting long-term contract demand is a determi...

We consider a logistics spot market where the transportation orders from a number of firms are matched with two types of carriers through a reverse auction. In the spot market, local carriers compete with in-transit carriers that have lower costs. In order to analyze the effects of implementing a logistics spot market on these three parties: firms, local carriers, and in-transit carriers and al...

Participants along a production chain which exchange intermediate products on spot markets face price risks, such as the transmission of price fluctuations of the final product. In a real options environment this uncertainty may cause investment reluctance on the different steps of the production chain. This paper analyzes weather a stronger vertical integration along the production chain allow...