Theoretical and Empirical Studies on the Effect of Derivatives Trading on Economy

在考虑投资策略复制期货收益的情况下，推导出了期货定价的理论公式。利用这一结果，我们对欧元-日元利率期货市场的价格形成进行了实证研究。我们发现：（1）利率期货价格包含了未来远期利率的信息;（2）当以5 ~ 7天为周期时，实际价格与理论价格的变动密切相关;（3）实际价格与理论价格之间的差异在一天之内就消除了相当大一部分;首先，我们分析了一个由短视投资者和长期投资者组成的经济模型，在这个模型中，我们假设长期投资者的效用函数不取决于他自己的财富，而是取决于个人的总财富。这意味着有远见的投资者是一个机构投资者，家庭将他们的部分财富委托给他们投资。我们得到了一个结果，短期利率的波动性必然是更大的经济在这个经济比在一个经济组成的同质投资者。其次，我们分析了由对数效用投资者和电力效用投资者组成的经济，其中平均投资回报遵循平均回复过程。对于最简单的情况下，只有电力公用事业投资者存在，我们推导出分析均衡。其次，通过数值分析，我们研究了一般情况下的模型的平衡。此外，还通过数值分析，分析了衍生产品等新证券的引入，即资产种类的增加对资产价格的影响。

By considering investment strategy duplicating payoff of futures, we derived a theoretical pricing formula of futures. Using this result, we investigated price formation of Euro-Yen Interest rate futures market empirically. We found (1) prices of interest rate futures contains information about forward rates in the future (2) when taking periods of five to seven days , movement of actual and theoretical prices are closely correlated (3) considerable part of discrepancy between actual and theoretical prices is eliminated within a day.Also, we constructed general equilibrium models of security market with varying investment opportunity and heterogeneous investors. First, we analyzed an economy consisting of myopic investors and long-sighted investors In this model, we assume the utility function of long-sighted investor did not depend on his own wealth, but on total wealth of individuals. This means the long-sighted investor is a institutional investor to which households entrust investment of some of their wealth. We got a result that volatility of short-term interest is necessarily greater in this economy than in an economy consisting of homogeneous investors. Second, we analyzed an economy consisting of log-utility investors and power-utility investors, in which mean return of investment follows a mean reverting process. For the simplest case where only power utility investors exist, we derived analytically the equilibrium. Next, by using numerical analysis, we investigated the equilibrium of the model for a general case. Furthermore, by using numerical analysis, the effect of increase in variety of assets which can be interpreted as introduction of new securities such as derivatives on asset prices was analyzed.