Autore: Mollgaard, H. Peter
Titolo: Bargaining and efficiency in a speculative forward market
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1993 - Fascicolo: 39 - Pagina iniziale: 1 - Pagina finale: 49

The 15-Day forward market for Brent crude oil is predominantly speculative. Transactions on this market thus contradict the assumptions that lead to zero speculation theorems. We set up a stochastic game model of a market with a small number of speculative traders that differ only with respect to the expected spot price and (possibly) with respect to risk aversion. Contracting is done after pairwise negotiations in random matches. The Markov perfect equilibrium of the model can mimic the 15-Day market and need not be efficient in the sense of belonging to the bilateral core.




Testo completo: http://hdl.handle.net/1814/480

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