Fisherian Futures Market

Minseong Kim

MPRA Paper from University Library of Munich, Germany

Abstract: The very fact that utility maximization in real business cycle and New Keynesian models is intertemporal suggests the possibility of a Fisherian intertemporal futures market, which is not state-contingent. Ex-ante speaking, the addition of a futures market does not result in any difference, but the addition does make difference ex-post. Furthermore, New Keynesian models rely on nominal effects, and what would introduction of a Fisherian futures market mean for these models? This paper answers this question by presenting a model that features Fisherian intertemporal futures markets.

Keywords: futures market; certainty equivalence; new keynesian; collaterals; renegotiation (search for similar items in EconPapers)
JEL-codes: E12 E13 E32 E43 E44 (search for similar items in EconPapers)
Date: 2015-12-16
New Economics Papers: this item is included in nep-mac and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:68387

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