Limits to Arbitrage and Hedging: Evidence from Commodity Markets

Preprint OPEN
Viral V. Acharya; Lars A. Lochstoer; Tarun Ramadorai;
(2011)
  • Subject: Commodities; Futures; Hedging; Limits to Arbitrage
    • jel: jel:G12 | jel:G33 | jel:G13 | jel:G24

Motivated by the literature on limits-to-arbitrage, we build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in producers' hedging demand (s... View more
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