haku: @author Fort, R. / yhteensä: 2
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| Tekijä: | Fort, R. Quirk, J. |
| Otsikko: | Normal backwardation and the inventory effect. |
| Lehti: | Journal of Political Economy
1988 : FEB, VOL. 96:1, p. 81-99 |
| Asiasana: | FUTURES MARKETS |
| Kieli: | eng |
| Tiivistelmä: | Most explanations for the existence of backwardation /B/ are quite restrictive. Among the assumptions are put forward as opposed to true futures /F/ trading, differences in probability beliefs. In a simple model of short and long commodity hedgers, it is shown that a B equilibrium can occur in an F market even when hedgers are identical in these respects and speculators hold the same probability beliefs as hedgers. This result is driven by Houthakker's neglected notion that one possible explanation for B is the high correlation between cash and F prices when inventories of a commodity are large. While the simple existence of such an "inventory effect" /IF/ does not imply B, it is proved that B will occur under an appropriately specified IE. |
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