第章 不确定性和博弈论.doc

第11章 不确定性和博弈论 不确定性和博弈论 第11章 风险和不确定性经济学 11.1 投机 Speculation (投机) is the activity which involves making profits from the fluctuations (波动) in prices. Speculators are not interested in using the product. Rather, they want to buy low and sell high. 套利和地区价格形式 Chicago The price of wheat =$2.00 Kansas City The price of wheat =$2.50 Wheat The costs of insurance and transportation are 10 cents per bushel. An arbitrager (套利者) can make a profit of 40 cents per bushel. P Q P Q As a result of arbitrage (套利), the price difference between markets will generally be less than the cost of moving the good from one market to the other. Chicago The price of wheat =$2.00 Kansas City The price of wheat =$2.50 Wheat 投机与不同时间的价格行为 Price of corn Fall Spring Fall Spring Fall Spring harvest harvest harvest 投机带来利润的方式 (1) purchasing some of the autumn crop while it is cheap, (2) putting it into storage, and (3) selling it later when the price has risen. 投机者抹平商品不同时间的价格 Price of corn Fall Spring Fall Spring Fall Spring harvest harvest harvest The price pattern tents to even out consumption over seasons. 投机不会导致价格不变 If there is a competition among well-informed (信息灵通的) speculators, none of them will make excess profits (超额利润). The returns to speculators will include the interest on invest capital, plus a risk premium (风险贴补). The returns to speculators come from the difference of prices. 通过套头交易分散风险 + = hedge The warehouse owner buys corn in the fall, Hedging (套头交易) by making the counterpart (配对的) sale allows businesses to insulate (隔离) themselves from the risk of price changes. and sells the corn immediately for delivery in the future. 谁承担了谷物价格的风险？ The warehouse owners Speculators Futures contract buyers Bakery owners Investors …… 理想的投机提高经济效率 Chicago The price of wheat =$2.00 Kansas City The price of wheat =$2.50 1 bushel of wheat 2 dollars of MU 2.5 dollars of MU For the two markets together 不计滚存的效用 (Carryover) A big crop year A sma