The co-movements along the forward curve of natural gas futures : a structural view

Show full item record

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


Files in this item

Total number of downloads: Loading...

Files Size Format View
160069.pdf 964.2Kb PDF View/Open

This item appears in the following Collection(s)

Show full item record