The thesis consists basically of two parts. The first part deals with speculators in commodity markets. In particular, we are interested in the role of speculators in stabilizing or destabilizing market price. The second part takes up hedgers in commodity futures markets. Here, we are concerned with the asymmetries between short and long hedgers. Specifically, we study whether or not the asymmetries discussed in the literature will lead to a backwardation equilibrium in futures markets.
\r\n\r\nThe two approaches differ in the way speculators are treated in the framework as market participants. In the literature dealing with speculators and stabilization, the non-speculators are inactive; their only role is to provide an (exogenous) non-speculative excess demand function based on which speculators choose their transactions to maximize their objective functions. Conversely, in the futures market literature, under rational expectations and common beliefs on the part of all traders, speculators are only the supporting actors while hedgers play the leading roles; speculators act only to reduce the imbalance between short and long hedging. The difference between these two approaches is, however, not as clear-cut as it seems to be. The reason is simply that hedgers often take some speculative positions in their decision-making process. Consequently, it can be argued that both speculators and non-speculators are active participants in the futures markets. This specific characteristic thus generates the ambiguities about the role of speculators in stabilizing or destabilizing market price in the futures market framework.
\r\n\r\nThe main results of the thesis are as follows. From an ex post viewpoint, Chapter 1 indicates that profitable speculation will necessarily stabilize market price if and only if the non-speculative excess demand function is linear, with no lag structure and with the law of demand being satisfied. This conclusion falsifies the famous Friedman conjecture (i.e., profitable speculation necessarily stabilizes market price). We then study the case of linear non-speculative excess demand function using an ex ante approach. At a rational expectations equilibrium, it is shown that Friedman's conjecture holds when speculators' expected utility function can be expressed in terms of mean-variance consideration. Whether or not there are nonlinear non-speculative excess demand functions that verify the Friedman conjecture in ex ante framework is a matter for future research.
\r\n\r\nIn Chapters 3 through S, we deal with two well-known asymmetries between short and long hedging, namely, asymmetric arbitrage opportunities and the so-called Houthakker effect. First, we show that the asymmetric arbitrage argument has no standing in the way of establishing the existence of a backwardation equilibrium in forward markets, whereas some highly restrictive assumptions must be imposed for the asymmetric arbitrage argument to lead to a backwardation equilibrium in a true futures market. Thus the theoretical argument for a link between asymmetric arbitrage opportunities and a backwardation equilibrium is weak. Yet the question remains as to whether or not asymmetric arbitrage opportunities prevail in functioning futures markets. This is studied in Chapter 4 with respect to wheat and corn futures contracts traded on the Chicago Board of Trade (CBOT). The results indicate that asymmetric arbitrage opportunities have impacts upon CBOT wheat futures markets, but not upon CBOT corn futures markets. Consequently, the asymmetric arbitrage argument may apply only to some specific commodities.
\r\n\r\nFinally, in Chapter 5, we apply the same sample to test the existence of the Houthakker effect. Again, the hypothesis is rejected. Therefore, the two well-known asymmetries between short and long hedging do not have impacts upon CBOT wheat and corn futures markets. notwithstanding their roles in the way of a backwardation equilibrium.
\r\n\r\nThe thesis is concerned with developing an understanding of the way in which futures markets function, and the role of speculators and hedgers in the markets. The results presented here indicate that it is only under rather restrictive conditions that definite results concerning these issues can be derived, particularly in the context of the true futures markets, that is, markets in which several delivery options exist under a futures contract.
", "doi": "10.7907/9n64-3x45", "publication_date": "1986", "thesis_type": "phd", "thesis_year": "1986" }, { "id": "thesis:11385", "collection": "thesis", "collection_id": "11385", "cite_using_url": "https://resolver.caltech.edu/CaltechTHESIS:02062019-101425283", "primary_object_url": { "basename": "Fort_RD_1985.pdf", "content": "final", "filesize": 68541619, "license": "other", "mime_type": "application/pdf", "url": "/11385/1/Fort_RD_1985.pdf", "version": "v4.0.0" }, "type": "thesis", "title": "Theory and Practice in the Analysis of Commodity Futures Price Distributions", "author": [ { "family_name": "Fort", "given_name": "Rodney Douglas", "orcid": "0000-0003-4610-6663", "clpid": "Fort-Rodney-Douglas" } ], "thesis_advisor": [ { "family_name": "Quirk", "given_name": "James P.", "clpid": "Quirk-J-P" } ], "thesis_committee": [ { "family_name": "Quirk", "given_name": "James P.", "clpid": "Quirk-J-P" }, { "family_name": "Kiewiet", "given_name": "D. Roderick", "clpid": "Kiewiet-D-R" }, { "family_name": "Dubin", "given_name": "Jeffrey A.", "clpid": "Dubin-J-A" }, { "family_name": "Noll", "given_name": "Roger G.", "clpid": "Noll-R-G" } ], "local_group": [ { "literal": "div_hss" } ], "abstract": "This thesis is concerned with commodity futures markets. More specifically, it addresses itself to two issues -- the behavior of commodity futures prices and the effect of these price distributions on hedgers in commodity markets. On the former issue, the distribution of futures prices, the aim is to bring heretofore neglected theoretical implications to an empirical investigation into distributional form. Concerning the latter issue, price distributions and hedging activity, the arguments behind possible trends in futures prices due to short hedging dominance (short hedging in excess of offsetting long hedging, across the entire market) are highlighted, formalized, and tested empirically.
", "doi": "10.7907/ae1b-0k61", "publication_date": "1985", "thesis_type": "phd", "thesis_year": "1985" }, { "id": "thesis:13835", "collection": "thesis", "collection_id": "13835", "cite_using_url": "https://resolver.caltech.edu/CaltechTHESIS:06302020-165754230", "primary_object_url": { "basename": "Thesis - R. Isaac 1981.pdf", "content": "final", "filesize": 4710804, "license": "other", "mime_type": "application/pdf", "url": "/13835/1/Thesis - R. Isaac 1981.pdf", "version": "v3.0.0" }, "type": "thesis", "title": "Essays on the Role of Information in Natural Resource Exploration and Development", "author": [ { "family_name": "Isaac", "given_name": "Robert Mark", "orcid": "0000-0001-8216-9042", "clpid": "Isaac-Robert-Mark" } ], "thesis_advisor": [ { "family_name": "Noll", "given_name": "Roger G.", "clpid": "Noll-R-G" } ], "thesis_committee": [ { "family_name": "Noll", "given_name": "Roger G.", "clpid": "Noll-R-G" }, { "family_name": "Kiewiet", "given_name": "D. Roderick", "clpid": "Kiewiet-D-R" }, { "family_name": "Plott", "given_name": "Charles R.", "orcid": "0000-0001-8363-3628", "clpid": "Plott-C-R" }, { "family_name": "Quirk", "given_name": "James P.", "clpid": "Quirk-J-P" } ], "local_group": [ { "literal": "div_hss" } ], "abstract": "Because natural resource exploration and development are inherently risky undertakings, information can be a valuable commodity in these processes.
\r\n\r\nA survey of the literature concerning information and resources is contained in Chapter 1, and the areas of interest for this thesis are introduced.
\r\n\r\nAspects of the role of information early in the exploration process are considered in Chapter 2, as the public and private provision and valuation of exploratory information are examined. The role of information in market performance is not independent of the allocation institutions under consideration, so several are examined. Furthermore, the role of publicly provided information as a remedy for problems in information provision is critically evaluated. It is shown that if the publicly provided information is not perfect, its potential for eliminating, or even reducing, private overvaluation can not be assured.
\r\n\r\nNext, in Chapter 3, consequences of the joint provision of resources and information are examined in the context of problems of information inexcludability. This essay presents the case in which more than one firm owns land in a geologically related area. Each firm can provide valuable information to the other, and each firm recognizes this predicament. The problem is developed first as one of noncooperative play of a two person game, with particular attention then given to the theory and performance of cooperative institutions for sharing the resource,information. This essay is not merely an abstract conjecture, for such cooperative institutions are quite common in the oil industry.
\r\n\r\nFinally, in Chapter 4, the observation that information is a valuable commodity in natural resource markets is once again combined with the fact that such information is often produced jointly with the oil and gas product to demonstrate that price controls on petroleum properties can produce unintended results. This follows from the alteration in firm optimal extraction paths when price controls are present.
", "doi": "10.7907/azhr-je98", "publication_date": "1981", "thesis_type": "phd", "thesis_year": "1981" }, { "id": "thesis:10857", "collection": "thesis", "collection_id": "10857", "cite_using_url": "https://resolver.caltech.edu/CaltechTHESIS:05082018-095239217", "primary_object_url": { "basename": "Hahn_RW_1981.pdf", "content": "final", "filesize": 77339418, "license": "other", "mime_type": "application/pdf", "url": "/10857/1/Hahn_RW_1981.pdf", "version": "v3.0.0" }, "type": "thesis", "title": "An Assessment of the Viability of Marketable Permits", "author": [ { "family_name": "Hahn", "given_name": "Robert William", "clpid": "Hahn-Robert-William" } ], "thesis_advisor": [ { "family_name": "Noll", "given_name": "Roger G.", "clpid": "Noll-R-G" } ], "thesis_committee": [ { "family_name": "Noll", "given_name": "Roger G.", "clpid": "Noll-R-G" }, { "family_name": "Cass", "given_name": "Glen Rowan", "clpid": "Cass-G-R" }, { "family_name": "Ferejohn", "given_name": "John A.", "clpid": "Ferejohn-John-A" }, { "family_name": "Quirk", "given_name": "James P.", "clpid": "Quirk-J-P" } ], "local_group": [ { "literal": "div_hss" } ], "abstract": "The literature on the use of economic incentives to deal with environmental problems makes a persuasive case that policy tools such as emissions taxes or tradable emission permits have important potential advantages compared to source-specific technical standards. Despite the apparent advantages of incentive-based methods, some questions have been raised about the feasibility of their implementation. This thesis is part of a larger research project that addresses these feasibility questions. The principal task undertaken here is to gather the information needed to evaluate the applicability of a marketable permit scheme for dealing with a particular pollution problem (sulfur oxides emissions) in a particular place (the Los Angeles Basin).
\r\n\r\nThe analysis begins with a description of the concept of marketable permits and how it differs from existing regulatory approaches. An agenda for research on transferable permits is outlined. Some of the potential problems in making the transition from the current approach to a market approach are then discussed.
\r\n\r\nThe next part of the analysis focuses on some of the key empirical issues. The effects of changing the natural gas supply are quantified. Static efficiency gains in moving from the status quo to a market approach are also estimated. This is followed by an analysis of the gains from having several markets corresponding to different receptor points. A key result is that the payoff to having several markets, when measured in terms of abatement cost savings, is quite small for this particular example.
\r\n\r\nThe final part of the analysis is devoted to a discussion of theoretical issues that might arise in designing a market. First, the comparative statics results relating to the control of sulfur oxides emissions are derived. Next, a more general model is used to address the issue of how a firm might influence the equilibrium achieved in the permits market. Finally, some issues in identifying cost-effective solutions to problems with multiple objectives are addressed.
", "doi": "10.7907/zev7-e564", "publication_date": "1981", "thesis_type": "phd", "thesis_year": "1981" }, { "id": "thesis:13833", "collection": "thesis", "collection_id": "13833", "cite_using_url": "https://resolver.caltech.edu/CaltechTHESIS:06292020-144123758", "primary_object_url": { "basename": "Thesis-M-Spitzer-1979.pdf", "content": "final", "filesize": 6034472, "license": "other", "mime_type": "application/pdf", "url": "/13833/1/Thesis-M-Spitzer-1979.pdf", "version": "v3.0.0" }, "type": "thesis", "title": "Axiomatic Analysis of Legal/Institutional Issues", "author": [ { "family_name": "Spitzer", "given_name": "Matthew Laurence", "clpid": "Spitzer-Matthew-Laurence" } ], "thesis_advisor": [ { "family_name": "Noll", "given_name": "Roger G.", "clpid": "Noll-R-G" } ], "thesis_committee": [ { "family_name": "Noll", "given_name": "Roger G.", "clpid": "Noll-R-G" }, { "family_name": "Levine", "given_name": "Michael", "clpid": "Levine-M" }, { "family_name": "Plott", "given_name": "Charles R.", "orcid": "0000-0001-8363-3628", "clpid": "Plott-C-R" }, { "family_name": "Quirk", "given_name": "James P.", "clpid": "Quirk-J-P" }, { "family_name": "Ferejohn", "given_name": "John A.", "clpid": "Ferejohn-John-A" } ], "local_group": [ { "literal": "div_hss" } ], "abstract": "Abstract of Introductory Essay
\r\nAn essay defines and explores the strengths and limits of the Axiomatic Analysis of Legal/Institutional Issues, and then derives guidelines for the use of axiomatic work in papers prescribing policies.
Abstract of Chapter I
\r\nGiven certain fundamental assumptions, it is possible to engage in economic analysis of costly interactions between the government and individuals. Such an analysis must necessarily focus upon a potential rule's effect on governmental behavior. Various models of governmental behavior are either borrowed or developed, and these models are then independently analyzed, Economic efficiency suggests that a particular immunity rule should be adopted with regard to certain models. In the case of other models, however, rigorous economic analysis is impossible; in such cases, suability is chosen over immunity on the basis of fairness and comparative utility. Based upon this analysis, three potential governmental immunity rules are formulated, and, based largely on considerations of administrative costs and fairness, the indicated rule is that the government should be suable in tort for monetary damages.
Abstract of Chapter II
\r\nThe limitations of Multicriteria Choice Processes are analyzed by examining the Federal Communications Commission's initial broadcast license comparative hearings. A possibility theorem, developed especially for comparative hearings, shows that the FCC must use an illegal process. This fundamental problem helps to explain previous criticisms of the comparative hearings' practical defects and to separate sufficiently effective reform suggestions from ineffective proposals.
Numerous studies of the economics of technological change have appeared since the seminal work of Abramovitz and Solow. Most are empirical studies that are without a formal theoretical basis. Scherer was the pioneer of theoretical work on the problem of R&D rivalry.
\r\n\r\nThis thesis revisits the issues in the literature on R&D. In Chapter I, sources of R&D allocative failures are identified and suggestions to remedy the situation are covered. In Chapter II, a selective critique of theoretical R&D models is provided. This completes Part I of the thesis. Part II constitutes the thesis proper. In Chapter III, I develop a nonsequential R&D search model and examine the economic determinants of R&D decisions. Predictions based on comparative statics results are given. The Reservation Technology concept is introduced. In Chapter IV, welfare implications of market structure on industrial R&D are investigated. It is shown that a monopolist may be less persistent in R&D search than a social decision maker. Sufficient conditions for noncooperative duopolists to be more persistent in R&D search than a monopolist are provided. A discussion on R&D economies of scale and a treatment of product and process innovation are also provided. Chapter V presents a new approach to the theory of R&D. A sequential R&D model with a two dimensional search space is developed and a Reswitching Property of R&D is established.
", "doi": "10.7907/48p1-8c06", "publication_date": "1979", "thesis_type": "phd", "thesis_year": "1979" }, { "id": "thesis:18391", "collection": "thesis", "collection_id": "18391", "cite_using_url": "https://resolver.caltech.edu/CaltechTHESIS:02252026-214015049", "primary_object_url": { "basename": "Binger_BR_1979.pdf", "content": "final", "filesize": 30699344, "license": "other", "mime_type": "application/pdf", "url": "/18391/1/Binger_BR_1979.pdf", "version": "v2.0.0" }, "type": "thesis", "title": "Essays in Forward Markets and the Uranium Industry", "author": [ { "family_name": "Binger", "given_name": "Brian Robert", "clpid": "Binger-Brian-Robert" } ], "thesis_advisor": [ { "family_name": "Quirk", "given_name": "James P.", "clpid": "Quirk-J-P" } ], "thesis_committee": [ { "family_name": "Quirk", "given_name": "James P.", "clpid": "Quirk-J-P" }, { "family_name": "Nelson", "given_name": "Forrest D.", "clpid": "Nelson-Forrest-D" }, { "family_name": "Noll", "given_name": "Roger G.", "clpid": "Noll-R-G" }, { "family_name": "Wilde", "given_name": "Louis L.", "clpid": "Wilde-L-L" } ], "local_group": [ { "literal": "div_hss" } ], "abstract": "This thesis brings together two papers, one of which is \r\nprimarily empirical and one of which is theoretical. The first\r\nestimates long run costs of uranium production. The second\r\nanalyzes theoretically the impact of fixed price contracting on the\r\ndecisions of a firm facing price uncertainty.", "doi": "10.7907/desr-8p44", "publication_date": "1979", "thesis_type": "phd", "thesis_year": "1979" } ]