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A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
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A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
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Journal Article
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
2020
Overview
This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short-term position changes are driven mainly by the liquidity demands of noncommercial traders, while long-term variation is driven primarily by the hedging demands of commercial traders. These two components influence expected futures returns with opposite signs. The gains from providing liquidity by commercials largely offset the premium they pay for obtaining price insurance.
Publisher
Wiley Periodicals, Inc,Blackwell Publishers Inc
Subject
