Futures prices in a production economy with investment constraints:
"We document a new stylized fact regarding the term-structure of futures volatility. We show thatthe relation between the volatility of futures prices and the slope of the term structure of prices isnon-monotone and has a 'V-shape'. This aspect of the data cannot be generated by basic...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11509 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "We document a new stylized fact regarding the term-structure of futures volatility. We show thatthe relation between the volatility of futures prices and the slope of the term structure of prices isnon-monotone and has a 'V-shape'. This aspect of the data cannot be generated by basic modelsthat emphasize storage while this fact is consistent with models that emphasize investmentconstraints or, more generally, time-varying supply-elasticity. 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. Since demand shocks must beabsorbed either by changes in prices, or by changes in supply, time-varying supply-elasticity resultsin time-varying volatility of futures prices. Calibrating this model, we show it is quantitativelyconsistent with the aforementioned 'V-shape'; relation between the volatility of futures prices and the slope of the term-structure"--National Bureau of Economic Research web site. |
| Beschreibung: | 46 S. graph. Darst. |
Internformat
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| 245 | 1 | 0 | |a Futures prices in a production economy with investment constraints |c Leonid Kogan ; Dmitry Livdan ; Amir Yaron |
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11509 | |
| 520 | 3 | |a "We document a new stylized fact regarding the term-structure of futures volatility. We show thatthe relation between the volatility of futures prices and the slope of the term structure of prices isnon-monotone and has a 'V-shape'. This aspect of the data cannot be generated by basic modelsthat emphasize storage while this fact is consistent with models that emphasize investmentconstraints or, more generally, time-varying supply-elasticity. 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. Since demand shocks must beabsorbed either by changes in prices, or by changes in supply, time-varying supply-elasticity resultsin time-varying volatility of futures prices. Calibrating this model, we show it is quantitativelyconsistent with the aforementioned 'V-shape'; relation between the volatility of futures prices and the slope of the term-structure"--National Bureau of Economic Research web site. | |
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| 700 | 1 | |a Yaron, Amir |d 1964- |e Verfasser |0 (DE-588)130591068 |4 aut | |
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| id | DE-604.BV023591602 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:28Z |
| indexdate | 2024-07-09T21:25:11Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016906932 |
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| physical | 46 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
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| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Kogan, Leonid 1974- Verfasser (DE-588)124834167 aut Futures prices in a production economy with investment constraints Leonid Kogan ; Dmitry Livdan ; Amir Yaron Cambridge, Mass. National Bureau of Economic Research 2005 46 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11509 "We document a new stylized fact regarding the term-structure of futures volatility. We show thatthe relation between the volatility of futures prices and the slope of the term structure of prices isnon-monotone and has a 'V-shape'. This aspect of the data cannot be generated by basic modelsthat emphasize storage while this fact is consistent with models that emphasize investmentconstraints or, more generally, time-varying supply-elasticity. 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. Since demand shocks must beabsorbed either by changes in prices, or by changes in supply, time-varying supply-elasticity resultsin time-varying volatility of futures prices. Calibrating this model, we show it is quantitativelyconsistent with the aforementioned 'V-shape'; relation between the volatility of futures prices and the slope of the term-structure"--National Bureau of Economic Research web site. Ökonometrisches Modell Futures Econometric models Livdan, Dmitry Verfasser (DE-588)130591033 aut Yaron, Amir 1964- Verfasser (DE-588)130591068 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11509 (DE-604)BV002801238 11509 http://papers.nber.org/papers/w11509.pdf kostenfrei Volltext |
| spellingShingle | Kogan, Leonid 1974- Livdan, Dmitry Yaron, Amir 1964- Futures prices in a production economy with investment constraints National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Futures Econometric models |
| title | Futures prices in a production economy with investment constraints |
| title_auth | Futures prices in a production economy with investment constraints |
| title_exact_search | Futures prices in a production economy with investment constraints |
| title_exact_search_txtP | Futures prices in a production economy with investment constraints |
| title_full | Futures prices in a production economy with investment constraints Leonid Kogan ; Dmitry Livdan ; Amir Yaron |
| title_fullStr | Futures prices in a production economy with investment constraints Leonid Kogan ; Dmitry Livdan ; Amir Yaron |
| title_full_unstemmed | Futures prices in a production economy with investment constraints Leonid Kogan ; Dmitry Livdan ; Amir Yaron |
| title_short | Futures prices in a production economy with investment constraints |
| title_sort | futures prices in a production economy with investment constraints |
| topic | Ökonometrisches Modell Futures Econometric models |
| topic_facet | Ökonometrisches Modell Futures Econometric models |
| url | http://papers.nber.org/papers/w11509.pdf |
| volume_link | (DE-604)BV002801238 |
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