The Simultaneous Determination of Spot and Futures Pries in a Simple Model with Production Risk
分析了一个包含生产风险的简单两商品模型中的理性预期均衡，探讨生产者如何通过期货市场对冲价格风险，并说明其套期保值决策取决于需求的价格和收入弹性以及消费者的风险规避程度。
This paper deals with properties of a rational expectations equilibrium when there is futures trading. A simple two-good model is analyzed, where one of the goods is produced subject to production risk. Although the futures market provides insurance against price risk to producers, it is income risk that concerns them. Whether they hedge in equilibrium is shown to depend on the price and income elasticity of demand for their output as well as on the degree to which consumers—the other party in the futures transaction-—are risk-averse.