Hedging and uncertainty
Dr Barry Goss
7 points
* Two 1.5 hour lectures per week
* Second semester
*
Clayton
* Prerequisite: ECO4650 or equivalent
Objectives On completion of this subject students should be able to comment critically on the literature on hedging, speculation, price determination, market efficiency, and expectations in the context of organised futures markets for commodities and financial instruments; prepare a research report containing critical commentary, theoretical analysis, empirical analysis based on the literature and/or data from these markets.
Synopsis Theories of hedging and speculation; forward pricing and market efficiency; expectations, including adaptive expectations and rational expectations; determination of spot and futures prices, and intertemporal allocation; feasibility conditions for an organised futures exchange.
Assessment Written (5000-word research project): 70%
* 3000-word
class paper and oral presentation: 30%
Prescribed texts
Goss B (ed.) Rational expectations and efficiency in futures markets Routledge, 1992
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