| Record ID | marc_loc_2016/BooksAll.2016.part33.utf8:73698766:2405 |
| Source | Library of Congress |
| Download Link | /show-records/marc_loc_2016/BooksAll.2016.part33.utf8:73698766:2405?format=raw |
LEADER: 02405cam a22003017a 4500
001 2005618456
003 DLC
005 20100513083543.0
007 cr |||||||||||
008 050804s2005 mau sb 000 0 eng
010 $a 2005618456
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aKogan, Leonid,$d1974-
245 10 $aFutures prices in a production economy with investment constraints$h[electronic resource] /$cLeonid Kogan, Dmitry Livdan, Amir Yaron.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2005.
490 1 $aNBER working paper series ;$vworking paper 11509
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 8/4/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"We document a new stylized fact regarding the term-structure of futures volatility. We show that the relation between the volatility of futures prices and the slope of the term structure of prices is non-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 andthe slope of the term-structure"--National Bureau of Economic Research web site.
650 0 $aFutures$xPrices$xMathematical models.
700 1 $aLivdan, Dmitry.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 11509.
856 40 $uhttp://papers.nber.org/papers/W11509