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Quand la création d'un marché à terme peut-elle déstabiliser le cours au comptant ?

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  • Patrick Artus

Abstract

[eng] How can the creation of a futures marketincrease the volathjty of the spot price ?. . We build a simple model to analyse the joint functioning of the spot and futures markets of a given commodity. We center the analysis on the change in the volatility of the spot price following the creation of the futures market. In principle, a stabilizing influence of this creation can be expected. However, the opposite result of this creation can be obtained in various cases : liquidity constraints affecting arbitragers ; false expectations and slow learning processes ; random production technique ; existence of an imperfect signal of the future changes in the spot price. [fre] Quand la création d'un marché à terme. peut-elle déstabiliser le cours au comptant ?. . On développe un modèle simple qui permet d'analyser le fonctionnement conjoint du marché au comptant et du marché à terme d'un bien. L'analyse est centrée sur la variation de la volatilité du prix au comptant lorsqu'est créé le marché à terme. Alors qu'en principe on attend un effet stabilisant de cette création, l'effet opposé peut être obtenu dans divers cas : contraintes de liquidité affectant les arbitragistes ; anticipations erronées et apprentissage lent ; technique de production aléatoire ; existence d'un signal imparfait des variations de cours futurs.

Suggested Citation

  • Patrick Artus, 1990. "Quand la création d'un marché à terme peut-elle déstabiliser le cours au comptant ?," Revue Économique, Programme National Persée, vol. 41(1), pages 71-94.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_1_409195
    DOI: 10.3406/reco.1990.409195
    Note: DOI:10.3406/reco.1990.409195
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    References listed on IDEAS

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    1. Gilbert, Christopher L, 1985. "Futures Trading and the Welfare Evaluation of Commodity Price Stabilisation," Economic Journal, Royal Economic Society, vol. 95(379), pages 637-661, September.
    2. Hart, Oliver D & Kreps, David M, 1986. "Price Destabilizing Speculation," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 927-952, October.
    3. Turnovsky, Stephen J & Campbell, Robert B, 1985. "The Stabilizing and Welfare Properties of Futures Markets: A Simulation Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 277-303, June.
    4. Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-1387, September.
    5. Oliver D. Hart, 1977. "On The Profitability of Speculation," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 91(4), pages 579-597.
    6. Newbery, David M, 1987. "When Do Futures Destabilize Spot Prices?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 291-297, June.
    7. Anderson, Ronald W & Danthine, Jean-Pierre, 1980. "Hedging and Joint Production: Theory and Illustrations," Journal of Finance, American Finance Association, vol. 35(2), pages 487-498, May.
    8. Kawai, Masahiro, 1983. "Price Volatility of Storable Commodities under Rational Expectations in Spot and Futures Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(2), pages 435-459, June.
    9. McCafferty, Stephen & Driskill, Robert, 1980. "Problems of Existence and Uniqueness in Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 48(5), pages 1313-1317, July.
    10. repec:bla:econom:v:53:y:1986:i:210:p:159-80 is not listed on IDEAS
    11. Turnovsky, Stephen J., 1979. "Futures markets, private storage, and price stabilization," Journal of Public Economics, Elsevier, vol. 12(3), pages 301-327, December.
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    Cited by:

    1. Boyer, Robert, 2009. "Feu le régime d’accumulation tiré par la finance," Revue de la Régulation - Capitalisme, institutions, pouvoirs, Association Recherche et Régulation, vol. 5.
    2. repec:dau:papers:123456789/5069 is not listed on IDEAS

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