具生產不確定性與期貨避險之貨幣搜尋模型

Abstract

期貨契約是生產者與使用者管理因不確定因素而致之風險時常用的避險工具。本文於具生產風險與期貨市場之貨幣搜尋模型中探討此現象;並形述當商品需於現貨交易前投入生產時,生產的不確定性是影響個人最適決策的重要考量。此外,於遭逢生產風險但不具備期貨市場的穩定經濟體中,貨幣政策對最適生產決策無影響效果;然而,若透過期貨交易使交易障礙降低並轉移風險,以發揮保險與風險管理的功能時,則貨幣政策與生產不確定性可藉由期貨市場對生產與現貨市場交易造成影響;進而提升福利。

Futures contracts are widely used to hedge against risk caused by uncertainty in production when people decide on their production and trading strategies. By analyzing this phenomenon via a search monetary model with production shocks and a futures market, we illustrate that uncertainty in production is a crucial force behind agents'optimal choices when sellers produce in advance. Monetary policy has no impact on sellers' production decisions when the economy su ers production shocks without a futures market. However, if agents can take positions in the futures market to hedge, monetary policy and the uncertainty in production influence production and trading in the spot market through the futures market because the use of futures contracts acting as insurance can reduce trading frictions and help agents share risk. Hence, welfare is improved in our model.