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- W1994933007 abstract "Abstract This paper develops a model of the futures market with two types of participants: farmers and speculators. Farmers undertake production decisions and face both output and spot price risk as opposed to speculators who face only spot price risk. Agents have constant absolute risk aversion von Neumann-Morgenstern utility functions and form rational expectations about the future output shock and spot price. We assume that traders specialize in information collection. In our model, the futures price is not a sufficient statistic for the market information. We show that the rational expectations equilibrium (REE) futures price is privately revealing to traders who purchase costly information. This REE is efficient in the sense that in equilibrium traders are in possession of all market information. We demonstrate that traders (a) have an incentive to collect costly information and (b) are better-off by specializing in collecting the information in which they have a comparative advantage (in terms of the quality of the information that they can obtain). Finally, we show that the futures market stabilizes the spot price." @default.
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- W1994933007 date "1989-04-01" @default.
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- W1994933007 title "A privately revealing rational expectations equilibrium for the futures market" @default.
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- W1994933007 doi "https://doi.org/10.1016/0014-2921(89)90019-6" @default.
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