Online Appendix to Limits to Arbitrage and Hedging: Evidence from Commodity Markets

In this Online Appendix, we solve a general equilibrium version of the model in the main text and show that the predictions of the model are robust to this extension. We also solve a general equilibrium model where the managerial costs of default are the motivation for \u85rm hedging. We show that the implications of this calibrated model are qualitatively the same as in the model with risk averse managers. We also solve a model where default leads to supply disruptions, which alters the spot price dynamics and thus has implications for the futures risk premium. In this model higher default risk will tend decrease the futures risk premium as a supply disruption will bene\u85t the long side of the futures contract. This is counter to our empirical results, which thus are consistent with the hedging story. Finally, we give some additional empirical results that were not included in the main paper and describe in more detail the micro data set used in the paper