The Simultaneous Determination of Spot and Futures Prices in a Simple Model with Production Risk

Ronald Britto

The Quarterly Journal of Economics, 1984, vol. 99, issue 2, 351-365

Abstract: This paper deals with properties of a rational expectations equilibrium when there is futures trading. A simple two-good model is analyzed, where one of the goods is produced subject to production risk. Although the futures market provides insurance against price risk to producers, it is income risk that concerns them. Whether they hedge in equilibrium is shown to depend on the price and income elasticity of demand for their output as well as on the degree to which consumers—the other party in the futures transaction-—are risk-averse.

Date: 1984
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://hdl.handle.net/10.2307/1885530 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:qjecon:v:99:y:1984:i:2:p:351-365.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

The Quarterly Journal of Economics is currently edited by Robert J. Barro, Lawrence F. Katz, Nathan Nunn, Andrei Shleifer and Stefanie Stantcheva

More articles in The Quarterly Journal of Economics from President and Fellows of Harvard College
Bibliographic data for series maintained by Oxford University Press ().