Acharya, Viral V.; Ramadorai, Tarun; Lochstoer, Lars A. - National Bureau of Economic Research (NBER) - 2011
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 (speculators' risk-capacity)...