The effects of futures trading on investment decision of producers.

摘要

In most of the previous literature in commodity futures theory, the emphasis has been put on the hedging decisions for the producers, and the investment decisions are only the side issues. In this paper, the effect of the existence of commodity futures on the investment decisions face the producers has been analyzed based on the analysis of three different models. First, a discrete time model is developed to analyze the commodities futures with seasonal outputs. Then I developed a continuous time model to analyze the commodities with continuous output flow. Finally, a more general model is developed to encompass the more complicated price behavior as well as irreversible investment problem. The results of these three models support the following conclusion: with the existence of futures markets, the investment the producer undertakes is greater than in the case where futures markets do not exist.