全球智库信息集成服务系统(G2TT): Futures Prices in a Production Economy with Investment Constraints

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w11509
来源ID	Working Paper 11509
	Futures Prices in a Production Economy with Investment Constraints
	Leonid Kogan; Dmitry Livdan; Amir Yaron
发表日期	2005-08-01
出版年	2005
语种	英语
摘要	We document a new stylized fact regarding the term-structure of futures volatility. We show that the relation between the volatility of futures prices and the slope of the term structure of prices is non-monotone and has a %u201CV-shape%u201D'. This aspect of the data cannot be generated by basic models that emphasize storage while this fact is consistent with models that emphasize investment constraints or, more generally, time-varying supply-elasticity. We develop an equilibrium model in which futures prices are determined endogenously in a production economy in which investment is both irreversible and is capacity constrained. Investment constraints affect firms' investment decisions, which in turn determine the dynamic properties of their output and consequently imply that the supply-elasticity of the commodity changes over time. Since demand shocks must be absorbed either by changes in prices, or by changes in supply, time-varying supply-elasticity results in time-varying volatility of futures prices. Calibrating this model, we show it is quantitatively consistent with the aforementioned %u201CV-shape%u201D relation between the volatility of futures prices and the slope of the term-structure.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w11509
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/569152
推荐引用方式 GB/T 7714	Leonid Kogan,Dmitry Livdan,Amir Yaron. Futures Prices in a Production Economy with Investment Constraints. 2005.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w11509.pdf（362KB）	智库出版物		限制开放	CC BY-NC-SA	浏览