JAECK Edouard

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Affiliations
  • 2013 - 2019
    Dauphine recherches en management
  • 2016 - 2017
    Ecole doctorale de dauphine
  • 2016 - 2017
    Université Paris-Dauphine
  • 2016 - 2017
    Communauté d'universités et établissements Université de Recherche Paris Sciences et Lettres
  • 2019
  • 2017
  • 2016
  • 2014
  • Equilibrium relations between the spot and futures markets for commodities: an infinite horizon model.

    Ivar EKELAND, Edouard JAECK, Delphine LAUTIER, Bertrand VILLENEUVE
    Center for Environmental Economics Montpellier | 2019
    We give new insights into the dynamic behavior of commodity prices with an infinite horizon rational expectations equilibrium model for spot and futures commodity prices. Numerical simulations of the model emphasize the heterogeneity that exists in the behavior of commodity prices by showing the link between the physical characteristics of a market and some stylized facts of commodity futures prices. They show the impact of storage costs on both the variability of the basis and on the Samuelson effect. Finally, the simulations of the model show that an increase in the speculative activity on commodity futures markets has an overall positive effect on risk premia. However, not all of the agents benefit from it.
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