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Maturity Effects of Futures and Forward Prices in a Two-Factor General Equilibrium Model

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  • R. Cesari

Abstract

In the two-factor economy developed by Longstaff and Schwartz (1991) forward and futures prices of default-free bills and bonds are obtained and maturity effects analysed. It is shown that the relationship between futures price volatility and maturity is stochastic so that, as it may be seen through dynamic simulations over the 80s, the classical monotonic relation could sometimes be reversed.

Suggested Citation

  • R. Cesari, 1991. "Maturity Effects of Futures and Forward Prices in a Two-Factor General Equilibrium Model," Working Papers 124, Dipartimento Scienze Economiche, Universita' di Bologna.
    • Handle: RePEc:bol:bodewp:124
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