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CHAPTER 14 - Forward and Futures Markets
End-of-Chapter Problems
1. Explain why an investor might take an illiquid position in a forward contract rather than using an
exchange-traded futures contract?
Solution: This is a simple tradeoff between contract customization and standardization. The exchange-traded
futures contract is liquid because the standardization of the contracts gives the market sufficient volume and depth
to maintain high liquidity. Obviously if the investor is willing to sacrifice the liquidity it is either because it is not
important, as would be the case if the investor plans to hold the position and consummate the forward contract, or
because it has attractive specialized characteristics in the dimensions of maturity, size, etc.
2. Explain in detail what is meant by a “speculator taking a short position in Australian dollar futures.”
Solution: A speculator is an investor looking to profit from forecasts of future spot rates and is not investing in the
futures market to hedge a position. A short position is a liability so the has agreed to sell the asset in question at
the specified price in the future. If the asset is Australian dollars the position is to sell Australian dollars for
another currency, perhaps the US dollar. Thus the short Australian dollar position is equivalent to a long US dollar
position. Finally it is a futures contract rather than a forward contract so it has standardized features making it
liquid, most likely traded actively on an exchange.
3. Suppose you are the manager of a municipal electric company that buys electricity on the wholesale
market and distibutes it to residential customers and charges by passing on the price of the electricity
plus operating costs. Without a fixed-price supply contract, what futures market position could you
undertake to hedge the resident’s exposure to higher cooling bills this summer
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