Title: | The co-movements along the forward curve of natural gas futures : a structural view |
Author: | Spargoli, Fabrizio ; Zagaglia, Paolo |
Organization: | Suomen Pankki |
Series: | Bank of Finland Research Discussion Papers |
Series number: | 26/2008 |
Year of publication: | 2008 |
Publication date: | 5.9.2008 |
Keywords: | raaka-aineet; energia; futuurit; maakaasu; johdannaiset; hinnat; mallit; tuotot; GARCH |
JEL: | G12 |
Abstract: | We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to real debt. We show how to solve for the prices of real and nominal zero coupon bonds. Keywords: bond pricing, fiscal policy, mathematical methods JEL classification numbers: D9, G12 |
Rights: | https://helda.helsinki.fi/bof/copyright |
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