This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for …

fundamentals, focusing primarily on temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures …-thirds of the entire winter return variability occurs on these days. Moreover, when theory suggests no such relation, i.e., at … is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also …

producers' hedging demand (speculators' risk-capacity) increase hedging costs via price-pressure on futures, reduce producers …

, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market … for a storable commodity in which price expectations are unbounded. We derive its implications for price time series and … empirical tests of price behavior. In this model commodity price is equal to marginal consumption value, and hence bubbles as …

shadow price of labor, not to diminishing returns in fact, parametric evidence suggests that the short-run slope of marginal … relative to output price, they are too persistent for intertemporal substitution to be important. We conclude that …