Cross-Commodity Equilibrium Pricing: Theoretical Implications and Empirical Tests of Forward and Option Prices

跨商品均衡定价：远期和期权价格的理论含义和实证检验

• 批准号: 9905543
• 负责人: Chester Spatt
• 金额: $ 23.54万
• 依托单位: Carnegie-Mellon University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1999
• 资助国家: 美国
• 起止时间: 1999-07-01 至 2002-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9905543&HistoricalAwards=false
• 关键词: Cross; Commodity; Equilibrium; Pricing; Theoretical

Cross-Commodity Equilibrium Pricing: Theoretical Implications and Empirical Tests of Forward and Option PricesProject AbstractIn this project we are developing an equilibrium model of cross-commodity pricing in a setting in which one or more input commodities can be transformed (converted) into one or more output commodities. This allows us to analyze the operational and physical options that emerge as a consequence of the ability to transform commodity products and determine their effect on equilibrium price processes. Our framework extends single commodity models of the storage option and convenience yield to a general multicommodity framework that incorporates conversion as well as storage options. The project offers contributions along several dimensions. We show the existence and uniqueness of a "well-behaved" equilibrium with K commodities with costly storage and costly conversion in a flexible specification that includes as special cases (1) the use of alternative fuels to produce electricity (many inputs, one output), (2) the refinement of crude oil into alternative refined products such as jet fuel, gasoline or heating oil (one input, many outputs) and (3) the movement of a commodity over a geographic network. The comparative statics properties of the model are analyzed. The model delivers results that are consistent with the stylized facts in the market for electricity, including the behavior of the 'spark' spread between electricity and a storable potential fuel. We will apply the model to additional substantive contexts and calibrate and test the model empirically to explore the ability of our cross-commodity restrictions and the conversion options to explain the dynamic features of pricing and hedging across commodities as well as the exercise of the associated physical options to store, refine and distribute commodities.

跨商品均衡定价：远期和期权价格的理论含义和实证检验项目摘要在本项目中，我们正在开发一个跨商品定价的均衡模型，在这种模型中，一种或多种输入商品可以转换（转换）为一种或多种输出商品。 这使我们能够分析由于改变商品产品的能力而出现的操作和物理选项，并确定它们对均衡价格过程的影响。 我们的框架扩展了单一商品模型的存储选项和便利性收益率的一般多商品框架，包括转换以及存储选项。 该项目提供了沿着几个方面的贡献。 我们证明了在一个灵活的规范中，K种商品具有昂贵的储存和昂贵的转换的“良好”均衡的存在性和唯一性，其中包括作为特例（1）使用替代燃料发电（多投入，一产出），（2）将原油精炼成替代精炼产品，如喷气燃料、汽油或取暖油（一个输入，许多输出）和（3）商品在地理网络上的移动。 分析了该模型的比较静力学性质。 该模型提供的结果与电力市场中的程式化事实一致，包括电力和可储存的潜在燃料之间的“火花”传播行为。 我们将把该模型应用于其他实质性背景，并根据经验校准和测试该模型，以探索我们的跨商品限制和转换期权解释跨商品定价和对冲的动态特征以及行使相关实物期权以存储、精炼和分销商品的能力。