We examine the determination of spot and futures prices in rational expectations equilibrium in a model with three groups of agents, agricultural producers, processing firms and speculators. We find necessary and sufficient conditions for producers to be short, expected future spot price (normal...

The authors investigate the effect of opening a forward or futures market on spot price or real exchange rate variab ility in a two-agent, two-good, two-state, general-equilibrium model. This is shown to depend upon such familiar parameters as substitutio n elasticities, marginal propensities to...