where μ and σ > 0 are constant. Our

where μ and σ > 0 are constant. Our specification implies that the supply news processes are uncorrelated across commodities (dDkt dDit = 0, dDkt dDt = ). This assumption is for expositional simplicity; it can be relaxed in future work. We comment on the case of correlated supply news in footnote 10 (Section II.A) and in Section III.C.Financial Markets. Available for trading are K standard futures contracts written on commodities k = 1,..., K. A futures contract on commodity k matures at time τ < T and, upon maturity, gets rolled over to the next contract with maturity τ. This process is repeated until time T , at which point consumption takes place. The payoff of the contract is one unit of commodity k. Each contract is continuously resettled at the futures price fkt and is in zero net supply. Gains/losses on each contract are posited to follow dfkt = fkt[μfktdt + σfktdωt], (3)where μfkt and the K + 1 vector of volatility components σfkt are determined endogenously in equilibrium (Section II).