Fisherian Futures Market

Kim, Minseong (2015): Fisherian Futures Market.

Abstract

The very fact that utility maximization in real business cycle and New Keynesian models is intertemporal suggests the possibility of a Fisherian intertemporal futures market, which is not state-contingent. Ex-ante speaking, the addition of a futures market does not result in any difference, but the addition does make difference ex-post. Furthermore, New Keynesian models rely on nominal effects, and what would introduction of a Fisherian futures market mean for these models? This paper answers this question by presenting a model that features Fisherian intertemporal futures markets.

• Item Type: MPRA Paper
• Language: English
• Keywords: futures market, certainty equivalence, new keynesian, collaterals, renegotiation
• Subjects: E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E12 - Keynes ; Keynesian ; Post-Keynesian; E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E13 - Neoclassical; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy

References

Tirole, J. (1986). Procurement and Renegotiation. Journal of Political Economy, 94(2), 235–259.