Futures Markets: A Consequence of Risk Aversion or Transactions Costs?
构建了一个风险中性的加工商模型，其中加工商面临非线性生产成本和现货与期货市场的交易成本，作为对以风险厌恶为主要因素的经典商品市场模型的反例。模型均衡再现了实际商品市场的关键内生特征，如期货价格低于现货价格、加工商持有库存并做空期货等。
A two-period model of an industry of risk-neutral processors who have nonlinear production costs and who face transact ions costs in the spot and futures markets is put forth as a countere xample to the models of commodity markets in which processors' risk a version plays the major role. The model's equilibrium exhibits the sa lient endogenous features of actual commodity markets, namely, that t he futures price is below the current spot price, that processors hol d inventories despite this opportunity cost, that those holding inven tories are short in futures, and that processors as a group hold an u nbalanced, usually net short, position in the futures market. Copyright 1987 by University of Chicago Press.