In a sequential general equilibrium with a single representative risk--averse consumer, stationary uncertainty, a one-period lag between investment and production, and concave production functions, we show that the forward price of a one-period real default-free bond one period hence is less...

With incomplete financial markets government debt may be non-neutral even if individuals perceive that the value of the debt is the discounted value of future taxes and there are no opportunities for individuals to shift the tax burden among themselves. Non-neutrality arises because of the...

A recent paper (Benninga-Protopapadakis 1994) considered a Lucas asset pricing model and showed that the pricing of forward and futures contracts was expressible as a simple matrix function. In this paper we derive limiting conditions for these differences and relate them to the eigenvectors of...