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The Stabilizing and Welfare Properties of Futures Markets: A Simulation Approach

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  • Turnovsky, Stephen J
  • Campbell, Robert B

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  • Turnovsky, Stephen J & Campbell, Robert B, 1985. "The Stabilizing and Welfare Properties of Futures Markets: A Simulation Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 277-303, June.
  • Handle: RePEc:ier:iecrev:v:26:y:1985:i:2:p:277-303
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    References listed on IDEAS

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    1. Fischer, Stanley, 1975. "The Demand for Index Bonds," Journal of Political Economy, University of Chicago Press, vol. 83(3), pages 509-534, June.
    2. Pindyck, Robert S, 1982. "Adjustment Costs, Uncertainty, and the Behavior of the Firm," American Economic Review, American Economic Association, vol. 72(3), pages 415-427, June.
    3. Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
    4. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    5. Pindyck, Robert S., 1980. "Adjustment cost, demand uncertainty, and the behavior of the firm," Working papers 1112-80A., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    6. J. P. Gould, 1968. "Adjustment Costs in the Theory of Investment of the Firm," Review of Economic Studies, Oxford University Press, vol. 35(1), pages 47-55.
    7. Robert E. Lucas & Jr., 1967. "Adjustment Costs and the Theory of Supply," Journal of Political Economy, University of Chicago Press, vol. 75, pages 321-321.
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    Cited by:

    1. Fabienne Féménia & Alexandre Gohin, 2010. "Faut-il une intervention publique pour stabiliser les marchés agricoles ? Revue des questions non résolues," Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement, INRA Department of Economics, vol. 91(4), pages 435-456.
    2. Campbell, Robert B. & Turnovsky, Stephen J., 1985. "An analysis of the stabilizing and welfare effects of intervention in spot and futures markets," Journal of Public Economics, Elsevier, vol. 28(2), pages 165-209, November.
    3. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
    4. Lence, Sergio H., 2002. "Do Futures Benefit Farmers Who Adopt Them?," 2002 Annual meeting, July 28-31, Long Beach, CA 19768, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. V. V. Chari & Ravi Jagannathan, 1990. "The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum, pages 12-24.
    6. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9-10), pages 1273-1293.
    7. Wagner, Helmut & Matanovic, Eva, 2012. "Volatility Impact of Stock Index Futures Trading - A Revised Analysis," MPRA Paper 51204, University Library of Munich, Germany.
    8. Patrick Artus & Claude Jessua, 1996. "La spéculation," Revue Économique, Programme National Persée, vol. 47(3), pages 409-424.
    9. Kofman, Paul & Viaene, Jean-Marie, 2000. "The demise of commodity price agreements: the role of exchange rates and special interests," European Journal of Political Economy, Elsevier, vol. 16(4), pages 775-805, November.
    10. Zant, Wouter, 2001. "Hedging Price Risks of Farmers by Commodity Boards: A Simulation Applied to the Indian Natural Rubber Market," World Development, Elsevier, vol. 29(4), pages 691-710, April.
    11. Santos, Joseph, 2003. "Commodity futures contracts: Furnishing an elastic currency in the nineteenth century," Journal of Macroeconomics, Elsevier, vol. 25(4), pages 561-578, December.
    12. Patrick Artus, 1990. "Quand la création d'un marché à terme peut-elle déstabiliser le cours au comptant ?," Revue Économique, Programme National Persée, vol. 41(1), pages 71-94.
    13. Sergio H. Lence, 2009. "Do Futures Benefit Farmers?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(1), pages 154-167.
    14. Patrick Artus, 1996. "Création d'un marché à terme, nature des imperfections financières et stabilité du prix au comptant," Revue Économique, Programme National Persée, vol. 47(5), pages 1043-1062.
    15. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex.

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