Econometrica: Jan 1981, Volume 49, Issue 1

Efficiency and Speculation in a Model with Price-Contingent Contracts

https://doi.org/0012-9682(198101)49:1<131:EASIAM>2.0.CO;2-J
p. 131-151

Lars E. O. Svensson

This paper emphasizes the importance of endogenous (price) uncertainty as distinct from the standard exogenous uncertainty about the state of the world. Markets where agents can enter into forward contracts contingent upon future spot prices are studied with respect to existence of equilibrium, occurrence of speculation, and efficiency.

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