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

交叉商品均衡定价：远期和期权价格的理论含义和实证检验项目摘要在这个项目中，我们正在开发一个跨商品定价的均衡模型，在这个模型中，一个或多个输入商品可以转换(转换)为一个或多个输出商品。这使我们能够分析由于商品产品转型的能力而出现的运营和实物选择，并确定它们对均衡价格过程的影响。我们的框架将单一商品的仓储期权模型和便利性收益扩展为一个综合了转换和仓储期权的通用多商品模型。该项目提供了几个方面的贡献。我们在一个灵活的规范中证明了K种商品的“良好”均衡的存在和唯一性，该均衡具有昂贵的存储和昂贵的转换成本，作为特例包括(1)使用替代燃料发电(多输入，一输出)，(2)将原油提炼成替代精炼产品，如喷气燃料，汽油或取暖油(一输入，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特性。该模型提供的结果与电力市场中的典型事实一致，包括电力和可储存潜在燃料之间的“火花”扩散行为。我们将把该模型应用于更多的实质性背景，并对该模型进行实证校准和测试，以探索我们的跨商品限制和转换期权的能力，以解释跨商品定价和对冲的动态特征，以及相关实物期权的存储、提炼和分销。

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.