عنوان

Commodity, Futures and Financial Markets

9401133549

9789401133548

b595817

Commodity, Futures and Financial Markets

[Book]

edited by Louis Phlips

Dordrecht

Springer Netherlands

1991

xviii, 301 s

Advanced studies in theoretical and applied econometrics, 21

I: Export Earnings.- 1. Market Solutions to the Problem of Stabilizing Commodity Earnings.- 1. Introduction.- 2. Nonparametric Stabilization Rules.- 2.1. Operating on the Futures Markets: Optimal Hedging Strategies.- 2.2. Extensions: Private Stockholding and Speculation.- 2.3. Non-Market Interventions: Optimal Price Stabilization Rules.- 2.4. When is Price Stabilization Preferable to Hedging?.- 3. Conflicts between Market and Private Stabilization Schemes.- 3.1. Hedging.- 3.2. Price Stabilization.- 3.3. Strategic Errors.- 4. Intervention Costs: Stabilizing Net Revenues.- 4.1. Hedging Strategies with Costs.- 4.2. Buffer Stock Strategies with Costs.- 5. Empirical Analysis.- 5.1. Tests of Non-Normality.- 5.2. Hedging versus Price Stabilization: No Intervention Costs.- 5.3. Hedging versus Price Stabilization Allowing for Intervention Costs.- 6. Private versus Aggregate Market Strategies.- 7. Conclusions.- References.- 2. Hedging Commodity Export Earnings with Futures and Options Contracts.- 1. Introduction.- 2. Hedging with Futures Markets.- 2.1. An Optimal Model of Hedging on Futures Markets.- 2.2. Estimation Results.- 2.3. Optimal Hedging and Uncertain Production.- 2.4. Estimating the Risk Gains.- 3. Hedging with Options Contracts.- 3.1. Introduction.- 3.2. Joint Hedge with Futures and Options Contracts.- 3.3. The Joint Hedging Performance.- 4. Conclusion.- References.- Appendices.- 3. Options to Alleviate the Costs of Uncertainty and Stability: A Case Study of Zambia.- 1. Introduction.- 2. The Copper Price and Zambia 1964-1984.- 3. Instability and Uncertainty.- 4. Options to Stabilize or Insure Commodity Export Earnings.- 5. Conclusions.- References.- II: Financial Markets and Commodity Prices.- 4. The Response of Primary Commodity Prices to Exchange Rate Changes.- 1. Introduction.- 2. A Simple Static Model.- 3. Multi-Commodity Generalizations.- 4. Relation to Purchasing Power Parity.- 5. Stockholding and Intertemporal Price Adjustment.- 6. Futures Markets.- 7. The Exchange Rate Index.- 8. Choice of Weighting Schemes.- 9. Consequences of Exclusion of LDC Exchange Rates.- 10. Estimated Exchange Rate Elasticities.- 11. Conclusions.- References.- Appendix: Commodity Price Definitions.- 5. Exchange Rates and Storables Prices.- 1. Introduction.- 1.1. Consumers of Primary Commodities.- 1.2. Producers of Primary Commodities.- 1.3. Traders in Primary Commodities.- 1.4. Speculators and Arbitragers.- 2. Specification of Agents' Optimizing Behaviour.- 2.1. Commodity Processor.- 2.2. Producer.- 2.3. Marketing Board.- 2.4. Speculator in Currency.- 3. Solving the Model in Equilibrium.- 3.1. Currency Spot Clearing.- 3.2. Commodity Spot Clearing.- 3.3. Currency Forward Clearing.- 3.4. Commodity Futures Clearing.- 4. The Link between Exchange Rates and Commodity Prices.- 4.1. The Correlation Coefficient.- 4.2. Exchange Rate Elasticity.- 4.3. An Expected Depreciation of the Currency.- 4.4. Decreasing Exchange Rate Volatility.- 5. Summary.- References.- 6. An Evaluation of the Performance of Speculative Markets.- 1. Introduction.- 2. The Inadequacy of Conventional Tests of Market Performance.- 3. Welfare Measures.- 4. A Two-Period Model.- 4.1. The Structure of the Market Model.- 4.2. Bayesian Error.- 5. Application of the Theory.- 5.1. Research Design.- 5.2. Empirical Results.- 6. Conclusion.- References.- 7. Dynamic Welfare Analysis and Commodity Futures Markets Overshooting.- 1. Introduction.- 2. Basic Specification.- 2.1. Basic Model Specification.- 2.2. Fixed Output and Overshooting.- 2.3. Endogenous Output and Empirical Results.- 3. A Dynamic Multicommodity Welfare Measure.- 4. Methodology, Data, and Empirical Results.- 5. Conclusion.- References.- III: Monopolistic Commodity Markets.- 8. Futures Trading for Imperfect Cash Markets: A Survey.- 1. Introduction.- 2. Motives for Trading Futures.- 3. Speculation and Hedging by Powerful Agents.- 4. Hedging by the Competitive Fringe.- 5. Strategic Futures: Cournot Oligopolists.- 6. Strategic Futures: Cartel Futures Policies.- 7. Strategic Futures: Storable Goods.- 8. Strategic Futures: Durable Goods.- 9. Exhaustible Resources.- 10. Futures Price Bias and Volatility.- 11. Conclusion.- References.- 9. Duopoly, Inventories and Futures Markets.- 1. Introduction.- 2. The Model with Futures Only.- 2.1. The Cash Market.- 2.2 The Futures Market.- 3. The Model with Inventories Only.- 3.1. Producers' Decisions at Time 2.- 3.2. Producers' Decisions at Time 1.- 4. The Model with Both Futures and Inventories.- 4.1. The Cash Market.- 4.2. Time 1 Decisions.- 5. Conclusion.- References.- 10. Monopsony Power and the Period of Commitment in Nonrenewable Resource Markets.- 1. Introduction.- 2. Relations with Other Problems.- 3. The Markov Time-Consistent Equilibirum.- 4. A "Locally" Time-Consistent Equilibrium.- 5. A Comparison with Reproducible Goods.- 6. Conclusion.- References.

Econometrics.

Economics.

Industrial organization (Economic theory)

edited by Louis Phlips

Louis Phlips

[Book]

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