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Equilibrium in production and futures markets

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  • Hennessy, David A.

Abstract

This paper develops a general equilibrium analysis of production and futures markets with free entry/exit. It does so by analyzing partial equilibria with a reference utility level and entry/exit, first in a product market and then in a futures market. The markets are then considered jointly. Comparative statics results arise due to a mismatch between the source of disequilibrium and the compensation mechanism which restores reference utility. Risk aversion is a sufficient structure on preferences to determine most of the results. However, the well-known separation result is modified somewhat in the two-market model. Author Keywords: General equilibrium; Optimal hedge ratio; Separation

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 49 (1997)
Issue (Month): 5 ()
Pages: 399-418

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Handle: RePEc:eee:jebusi:v:49:y:1997:i:5:p:399-418

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Web page: http://www.elsevier.com/locate/jeconbus

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  1. Appelbaum, Elie & Katz, Eliakim, 1986. "Measures of Risk Aversion and Comparative Statics of Industry Equilibrium," American Economic Review, American Economic Association, vol. 76(3), pages 524-29, June.
  2. Ormiston, Michael B & Schlee, Edward E, 1994. "Wage Uncertainty and Competitive Equilibrium in Labour Markets," Economica, London School of Economics and Political Science, vol. 61(242), pages 137-45, May.
  3. Davis, George K, 1989. "Income and Substitution Effects for Mean-Preserving Spreads," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(1), pages 131-36, February.
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