Abstract (EN)

We model the dynamic behavior of spot and futures commodity prices with aninfinite horizon rational expectations equilibrium model and provide a new type ofproof of the existence of the equilibrium. Numerical simulations of the model allowsto reproduce the existant heterogeneity of commodity markets and to explore the effects of physical choices and hedging decisions on the joint dynamics of the prices.Minimal changes between different scenarios enlighten the specific effects of marketstructure, autocorrelation of production, and global risk aversion: the market structure can change a virtually nonstorable commodity into a high-inventory one; a highautocorrelation in the production plays a role that is similar to storage; financializationgoes with a decrease in global risk aversion