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3 edition of Futures prices in a production economy with investment constraints found in the catalog.

Futures prices in a production economy with investment constraints

Leonid Kogan

Futures prices in a production economy with investment constraints

by Leonid Kogan

  • 270 Want to read
  • 34 Currently reading

Published by National Bureau of Economic Research in Cambridge, Mass .
Written in English

    Subjects:
  • Futures -- Econometric models

  • Edition Notes

    StatementLeonid Kogan, Dmitry Livdan, Amir Yaron.
    SeriesNBER working paper paper series -- no. 11509., Working paper series (National Bureau of Economic Research) -- working paper no. 11509.
    ContributionsLivdan, Dmitry., Yaron, Amir., National Bureau of Economic Research.
    The Physical Object
    Pagination46 p. :
    Number of Pages46
    ID Numbers
    Open LibraryOL17627091M
    OCLC/WorldCa61271842

    futures price is a widely followed financial indicator of the U.S. stock market and the global economy. Second, the futures prices of copper and soybeans have stronger predictive powers for East Asian stock prices than their spot prices, which indicate that the futures prices are more informative than the spot prices. The global oil market is in contango though. The futures price of Brent crude for delivery in September is $35 (R) per barrel or nearly $7 or 25 percent higher than the current spot price of Author: Ryk de Klerk.

    Harris promoted the same economic ideas in a book that he edited in called Saving American Capitalism, a collection of 31 essays by 24 contributors. At that time, it seemed that capitalism needed saving: the centrally planned economies of the Soviet Union and its allies, a model promoted as the alternative to capitalism, had entirely.   Tang and Xiong's study appears to provide concrete evidence of a linkage between commodity index investment and futures price movements. The results are also consistent with other types of evidence about the price impact of investment flows in financial markets (Barberis, Shleifer, and Wurgler ). Nonetheless, there are several reasons for Cited by:

    High levels of uncertainty about long-run oil supplies from to coincided with significant changes in oil futures markets. Motivated by this fact, this paper provides new evidence on the relations between oil consumption, oil prices, and economic growth, and builds on this evidence to develop a quantitative real business cycle model to study oil price risk. HO, T.S.Y. []: “Intertemporal Commodity Futures Hedging and the Production Decision,” Journal of Fina – CrossRef Google Scholar KARATZAS, I., LEHOCZKY, J., and SHREVE, S. []: “Optimal Portfolio and Consumption Decisions for a Small Investor on a Finite Horizon,” SIAM Journal of Control and Optimizat Cited by: 5.


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Futures prices in a production economy with investment constraints by Leonid Kogan Download PDF EPUB FB2

Which futures prices are determined endogenously in a production economy in which investment is both irreversible and is capacity constrained. Investment constraints affect firms' investment decisions, which in turn determine the dynamic properties of their output and consequently imply that the supply-elasticity of the commodity changes over by: We develop an equilibrium model inwhich futures prices are determined endogenously in a production economy in which investment isboth irreversible and is capacity constrained.

Investment constraints affect firms' investmentdecisions, which in turn determine the dynamic properties of their output and consequently implythat the supply-elasticity of the commodity changes over time.

We develop an equilibrium model in which futures prices are determined endogenously in a production economy in which investment is both irreversible and is capacity constrained.

Investment constraints affect firms' investment decisions, which in turn determine the dynamic properties of their output and consequently imply that the supply-elasticity of the commodity changes over time.

We develop an equilibrium model inwhich futures prices are determined endogenously in a production economy in which investment isboth irreversible and is capacity constrained.

Investment constraints affect firms' investmentdecisions, which in turn determine the dynamic properties of their output and consequently implythat the supply-elasticity Cited by: mechanism of futures price formation. Futures prices are determined endogenously in an equilibrium production economy featuring constraints on investment, such as irreversibility.

Investment constraints afiect flrms investment decisions, which in turn determine the dynamic properties of their output. Futures Prices in a Production Economy with Investment Constraints Article in SSRN Electronic Journal January with 24 Reads How we measure 'reads'.

Oil Futures Prices in a Production Economy With Investment Constraints Abstract We document a new stylized fact, that the relationship between the volatility of oil futures prices and the slope of the forward curve is nonmonotone and has a V-shape.

This pattern cannot be generated by standard models that emphasize by: Oil Futures Prices in a Production Economy with Investment Constraints LEONID KOGAN, DMITRY LIVDAN, and AMIR YARON* ABSTERACT We document a new stylized fact, that the relationship between the volatility of oil futures prices and the slope of the forward curve is.

Investment constraints affect firms' investment decisions and imply that the supply elasticity changes over time. Since demand shocks must be absorbed by changes in prices or changes in supply, time‐varying supply elasticity results in time‐varying volatility of futures by: futures prices and the slope of the forward curve is nonmonotone and has a V-shape.

This pattern cannot be generated by standard models that emphasize storage. We develop an equilibrium model of oil production in which investment is irreversible and capacity constrained.

Investment constraints affect firms’ investment decisions and imply that the supply elasticity changes over time. Leonid Kogan & Dmitry Livdan & Amir Yaron, "Oil Futures Prices in a Production Economy with Investment Constraints," Journal of Finance, American Finance Association, vol.

Request PDF | Oil Futures Prices in a Production Economy With Investment Constraints | We document a new stylized fact, that the relationship between the volatility of oil futures prices and the.

We document a new stylized fact, that the relationship between the volatility of oil futures prices and the slope of the forward curve is nonmonotone and has a V-shape.

This pattern cannot be generated by standard models that emphasize storage. We develop an equilibrium model of oil production in which investment is irreversible and capacity constrained. Investment constraints Cited by: Enter the password to open this PDF file: Cancel OK.

File name:. the mechanism of futures price formation. Future prices are determined endogenously in an equilibrium production economy featuring constraints on investment, such as irreversibility. Investment constraints afiect flrms investment decisions, which in turn determine the dynamic properties of their output.

We develop an equilibrium model in which futures prices are determined endogenously in a production economy in which investment is both irreversible and is capacity constrained. Investment constraints affect firms investment decisions, which in turn determine the dynamic properties of their output and consequently imply that the supply.

We develop an equilibrium model in which futures prices are determined endogenously in a production economy in which investment is both irreversible and is capacity constrained.

Investment constraints affect firms ’ investment decisions, which in turn determine the dynamic properties of their output and consequently imply that the supply.

Futures are financial contracts obligating the buyer to purchase an asset or the seller to sell an asset, such as a physical commodity or a financial instrument, at a predetermined future date.

Leonid Kogan, Dmitry Livdan, Amir Yaron (Forthcoming), Oil Futures Prices in a Production Economy with Investment Constraints, Journal of Finance,64 (3), Di (Andrew) Wu, Amir Yaron, Ravi Bansal (Draft), Socially Responsible Investing: Good is Good, Bad is Bad.

Gill Segal, Ivan Shaliastovich, Amir Yaron (), Good and Bad Uncertainty: Macroeconomic and Financial Market. Journal of Financial Economics 9 () North-Holland Publishing Company A CONTINUOUS TIME EQUILIBRIUM MODEL OF FORWARD PRICES AND FUTURES PRICES IN A MULTIGOOD ECONOMY* Scott F.

RICHARD Carnegie-Mellon University, Pittsburgh, PAUSA M. SUNDARESAN Carnegie-Mellon University, Pittsburgh, PAUSA Columbia University, New Cited by:. Oil Futures Prices in a Production Economy with Investment Constraints (with Leonid Kogan and Dmitry Livdan) Journal of Finance, June64(3), ; Asset Pricing with Idiosyncrtic Risk and Overlapping Generations (with Kjetil Storesletten and Chris Telmer) Review of Economic Dynamics,vol(4), production; and the interest of the producer ought to be minus price inflation in capital goods, UCC = r+δ-∆p • Investment depends upon the real interest rates, Tobin’s q (future profits), current profits (due to cashflow and credit constraints, and which may dependFile Size: KB.Economics is the study of choices made under constraints, usually the constraints of budgets, prices, and input costs.

Topics covered include consumer demand, production, exchange, the price system, resource allocation, and government intervention.

Author(s): Dr. Melissa Knox.