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，一种或多种投入商品可以转化为一种或多种产出商品。这使我们能够分析由于商品产品转换能力而出现的操作和物理选择，并确定它们对均衡价格过程的影响。我们的框架扩展了存储选项的单一商品模型，并方便地生成了包含转换和存储选项的通用多商品框架。该项目提供了几个方面的贡献。我们展示了K种商品的“良好行为”均衡的存在性和唯一性，这些商品在灵活的规格下具有昂贵的存储和转换成本，包括作为特殊情况(1)使用替代燃料发电（许多投入，一个产出），(2)将原油提炼成替代精炼产品，如喷气燃料，汽油或取暖油（一个投入，许多产出）和(3)商品在地理网络上的移动。分析了模型的比较静力学特性。该模型提供的结果与电力市场的风格化事实一致，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，并根据经验对模型进行校准和测试，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，以及行使相关的实物期权来存储、提炼和分销商品。

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.