Detail A Note on Futures Markets With Small Price and Production Risks   Oleh:  Honda, Yuzo ; Ohta, Hiroshi Jenis: Article from Bulletin/Magazine Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 33 no. 2 (1992), page 479-486. Topik: PRODUCTION RISK; markets; small price; production risks Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel When the spot price and production risk are jointly normally distributed, the mean - variance approach has little theoretical justification. We use Taylor approximations instead and show the three results. One, farmers hedge less than expected production when the futures price is less than or equal to the expected spot price. Two, when the futures price equals the expected spot price, farmers facing production risk produce less than those without production risk. Three, normal backwardation (contango) prevails in the markets when correlation between the spot price and production risk is smaller (greater) in absolute value than the ratio of coefficients of variation of these variables. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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