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Speculative Intensity and Spot and Futures Price Variability

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Author Info
Driskill, Robert
McCafferty, Stephen
Sheffrin, Steven M

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Abstract

This paper develops a simultaneous stochastic rational-expectations model of futures- and spot-price determination. Using the model, the authors find that increases in what they term speculative intensity increase spot-price variability arising from storage-cost shocks, but decrease spot-price variability from demand shocks. In contrast, increases in speculative intensity unambiguously decrease futures-price variability, regardless of the underlying source of disturbances. The authors are able to develop these comparative-static results because the model has a unique equilibrium. Copyright 1991 by Oxford University Press.

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Publisher Info
Article provided by Oxford University Press in its journal Economic Inquiry.

Volume (Year): 29 (1991)
Issue (Month): 4 (October)
Pages: 737-51
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Handle: RePEc:oup:ecinqu:v:29:y:1991:i:4:p:737-51

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  1. Erwin Bulte & Joost Pennings & Wim Heijman, 1996. "Futures markets, price stabilization and efficient exploitation of exhaustible resources," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 8(3), pages 351-366, October. [Downloadable!] (restricted)
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This page was last updated on 2009-10-23.

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