Abstract
This paper develops a simple geometric technique for the simultaneous determination of spot and futures prices in commodity markets; and it explains the allocation between hedged and unhedged holdings of stocks. On the basis of this analysis, it is possible to determine whether changes in spot and futures prices have occurred as a result of (a) changes in the excess supply of current production, or (b) changes in price expectations.
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References
M. J. Brennan, ‘The Supply of Storage,’ American Economic Review, vol. 48, 1958.
Gerald Gold, Modern Commodity Futures Trading. New York 1959.
H. S. Houthakker, ‘The Scope and Limits of Futures Trading,’ The Allocation of Economic Resources, Moses Abramovitz et al. Stanford 1959, pp. 134–59.
L. G. Telser, ‘Futures Trading and the Storage of Cotton and Wheat,’ Journal of Political Economy, vol. 66, 1958.
James Tobin, ‘Liquidity Preference as Behavior Toward Risk,’ Review of Economic Studies, vol. 25, 1958.
Holbrook Working, ‘Futures Trading and Hedging,’ American Economic Review, vol. 43, 1953.
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© 1976 Palgrave Macmillan, a division of Macmillan Publishers Limited
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Stein, J.L. (1976). The Simultaneous Determination of Spot and Futures Prices. In: The Economics of Futures Trading. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-349-02693-7_7
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DOI: https://doi.org/10.1007/978-1-349-02693-7_7
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-02695-1
Online ISBN: 978-1-349-02693-7
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