IDEAS home Printed from https://ideas.repec.org/a/oup/ecinqu/v29y1991i4p737-51.html
   My bibliography  Save this article

Speculative Intensity and Spot and Futures Price Variability

Author

Listed:
  • Driskill, Robert
  • McCafferty, Stephen
  • Sheffrin, Steven M

Abstract

This paper develops a simultaneous stochastic rational-expectations model of futures- and spot-price determination. Using the model, the authors find that increases in what they term speculative intensity increase spot-price variability arising from storage-cost shocks, but decrease spot-price variability from demand shocks. In contrast, increases in speculative intensity unambiguously decrease futures-price variability, regardless of the underlying source of disturbances. The authors are able to develop these comparative-static results because the model has a unique equilibrium. Copyright 1991 by Oxford University Press.

Suggested Citation

  • Driskill, Robert & McCafferty, Stephen & Sheffrin, Steven M, 1991. "Speculative Intensity and Spot and Futures Price Variability," Economic Inquiry, Western Economic Association International, vol. 29(4), pages 737-751, October.
    • Handle: RePEc:oup:ecinqu:v:29:y:1991:i:4:p:737-51
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chatrath, Arjun & Ramchander, Sanjay & Song, Frank, 1998. "Speculative activity and stock market volatility," Journal of Economics and Business, Elsevier, vol. 50(4), pages 323-337, July.
    2. C. W. Morgan, 1999. "Futures Markets and Spot Price Volatility: A Case Study," Journal of Agricultural Economics, Wiley Blackwell, vol. 50(2), pages 247-257, May.
    3. Batista Soares, David & Borocco, Etienne, 2022. "Rational destabilization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
    4. Erwin Bulte & Joost Pennings & Wim Heijman, 1996. "Futures markets, price stabilization and efficient exploitation of exhaustible resources," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 8(3), pages 351-366, October.
    5. David Batista Soares & Etienne Borocco, 2022. "Rational destabilization in commodity markets [Déstabilisation rationnelle des marchés de matières premières]," Post-Print hal-03256534, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:ecinqu:v:29:y:1991:i:4:p:737-51. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/weaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.