Difference Systems in Financial Futures Markets
研究金融期货市场中基于收益率的差价系统如何影响市场均衡，发现现行系统限制了可交割供给，导致期货价格低于现货市场平价证券价格。
ABSTRACT Many financial futures markets allow substitutions for the par grade of security at delivery. Substitutes are deliverable at premiums or discounts—“differences” in commodities parlance—to the futures price. The rule that establishes these differences is called a difference system. This paper characterizes financial futures market equilibrium with yield‐based difference systems and investigates particular systems in use. The major finding is that currently used difference systems effectively limit deliverable supply in the futures markets and lead to futures prices which understate the cash market price of the par security.