14章金融案翻译.docVIP

CHAPTER 14 FORWARD AND FUTURES PRICES Objectives To explain the economic role of futures markets To show what information can and cannot be inferred from forward and futures prices. OutlineTOC \f 14.1 Distinctions Between Forward and Futures Contracts 14.2 The Economic Function of Futures Markets 14.3 The Role of Speculators 14.4 Relation Between Commodity Spot and Futures Prices 14.5 Extracting Information from Commodity Futures Prices 14.6 Spot-Futures Price Parity for Gold 14.7 Financial Futures 14.8 The Implied Risk-Free Rate 14.9 The Forward Price Is Not a Forecast of the Spot Price 14.10 Forward-Spot Parity with Cash Payouts 14.11 Implied Dividends 14.12 The Foreign-Exchange Parity Relation 14.13 The Role of Expectations in Determining Exchange Rates Summary Futures contracts make it possible to separate the decision of whether to physically store a commodity from the decision to have financial exposure to its price changes. Speculators in futures markets improve the informational content of futures prices and make futures markets more liquid than they would otherwise be. The futures price of wheat cannot exceed the spot price by more than the cost of carry: The forward-spot price parity relation for gold is that the forward price equals the spot price times the cost of carry: This relation is maintained by the force of arbitrage. One can infer the implied cost of carry and the implied storage costs from the observed spot and forward prices and the risk-free interest rate. The forward-spot parity relation for stocks is that the forward price equals the spot price times 1 plus the risk-free rate less the expected cash dividend. This relation can therefore be used to infer the implied dividend from the observed spot and forward prices and the risk-free interest rate. The forward-spot price parity relation for the dollar/yen exchange rate involves two interest rates: where F is the forward price of the yen, S is the current spot price, rY is the yen interest