耶鲁大学金融市场英文文本FinancialMarketsLecture22Transcript.docx

1、耶鲁大学金融市场英文文本FinancialMarketsLecture22TranscriptFinancial Markets: Lecture 22 Transcript Professor Robert Shiller: First thing, I wanted just to-I forgot to show-I dont know how exciting this is, but this is a ticker tape. They werent brown. This tape is about a half-century old. It came from the att

2、ic of the New York Stock Exchange. When I was at a conference there a year ago, I mentioned to the vice president there that I had told my class about ticker tape machines and they had never heard of them-didnt know what they were; well, at least some of them hadnt. So, he sent me this. This was nev

3、er used, but normally it would go into a machine and it would print out stock prices at trades. I was giving a talk yesterday at the New York Stock Exchange and I met him again and I said, thank you for this; my class was happy to see it. He said, well I could have given you a whole ticker tape mach

4、ine. He said, well the attic at the New York Stock Exchange was filled with them, but they finally threw them out, so its too late. I think it is-this is evidence that information technology really has dominated stock prices. We didnt really have active stock markets before the electronic age, which

5、 is an interesting thing to think about because the ticker tape machine was invented by Edison in 1867. In 1867, there were hardly any-there were stock markets, but they were very small. It was really the electronic communications that made it what it is. Its exciting to think about the future and w

6、here electronic communication is going to take markets going forward. I wanted to continue today about our futures markets. Let me just step back and think, what is a futures market? Today, Im going to talk about how it has expanded to cover lots of other things, notably financial instruments. Lets

7、just think, what is a futures market? If you read Holbrook Working, whos on your reading list, and his half-century old paper, back in those days that he was writing, he says that the name futures is a bit misleading because that suggests that its talking about the future rather than today. If you l

8、isten to the news about any commodity price, its always talking about futures price. They dont talk about the price today. The futures price is the interesting-the point that Working made is not so much that its in the future is that its well-defined and standardized. For agricultural futures, its t

9、rue that the contract doesnt mature for a month or so, but as Working points out, any contract for delivery of something has some term. They dont just deliver it instantly and Working says, there are times when the so-called spot price is actually further in the future than the futures price. If you

10、 look at the way things are traded-Im going to be talking a lot about oil, but let me just talk generally about oil. What is the price of oil and how does anybody know what it is? If you go to people who buy and sell oil, they will tell you, well we dont just sell oil; we dont just have it ready to

11、go. Almost all of the oil is sold in long-term contracts, so an oil company will sell a contract to deliver regularly to some refinery, oil. Theyll have these tankers appear and we sign a five-year contract-or whatever-and it has all kinds of terms. If you read the contract it would be fifty pages l

12、ong and it would specify all kinds of what well do if we dont deliver or what happens if we cant deliver the grade we promised. Lots of uncertainties are defined, so who knows what the price of oil is when its being part of a long-term contract. Thats why you need a futures market and the futures ma

13、rket is the market thats free of-it has a standardized contract. We know exactly what the price means and attention focuses on the futures market because the trade there is-everybody understands it; everyone knows exactly whats being traded. The minute-to-minute changes reflect something; they refle

14、ct something real, namely change in the market not any change in whats being delivered. Anyway, it used to be that the only futures markets were for commodities-for things-typically it was thought that futures markets are good to have for things that are not standardized-that are difficult to define

15、. So, we want rice futures and we want wheat futures because there are so many different kinds of rice in different areas and different-so, we want to have a standardized price. There were no financial futures until the 1970s and people felt back then that we dont need futures contracts because ther

16、es a standardization of shares. Every share in a given company is exactly identical. When you say, Id like to buy a hundred shares of a company, youre not going to ask the broker, well which shares did I get? And can I look at them? Your broker would say in disbelief, look youve got shares; theyre a

17、ll absolutely identical. You might think theres no need for a futures market because the prices are already standardized in the cash market. Moreover, the prices that you see traded on the stock exchange floor-you know exactly when the trade took place; theyre not future-traded. Why did we get futur

18、es markets? Let me come back to that. Let me just first-why did we get stock futures markets? Let me come back to that and talk about-lets be clear what they are. Stock index futures markets came in around 1980 and one of the very first was the Standard & Poor 500 Stock Index Futures Market traded a

19、t the Chicago Mercantile Exchange. It was a radical innovation when it came in because people thought, whats the point? I can see farmers delivering their corn or their oats or whatever, but stocks-whats the point? Well, it turned out to be absolutely right because-the CME was absolutely right to cr

20、eate this market because-within a few years, there was more trade on the futures market than there was on the stock market itself. Lets be clear what they created-and this is the terms of the contract as it is today. The S&P 500 is an index of stock prices produced by Standard & Poors Corporation an

21、d its-they take the prices of 500 stocks and they form a weighted average. Its an arithmetic average where the weights correspond to the amounts outstanding of the various stocks, so its a value-weighted index. Its just a number published by the American Stock Exchange-no, by Standard & Poors. All i

22、t is at-just as with agricultural futures-I dont know how clear I was about this yesterday. If you-maybe I didnt say this. Let me say that it applies to both agricultural futures and financial futures. If you want to trade in the futures market, you have to put up margin and theres a margin requirem

23、ent for each contract. The margin is there to eliminate counterparty risk with other contracts. When you sign a contract with another person you have to worry whether that person will come through, but with the exchange that counterparty risk is eliminated. The way the exchange eliminates it is it t

24、akes the other side itself-of every contract who-it stands between you and the counterparty and it protects itself by demanding margin. You have to, up front, put up margin for any futures contract and the margin is settled daily. Every day, they look at your margin account and they adjust it. So, i

25、f-let me go back to wheat futures because thats the simpler-I dont think I really explained this well. If you buy-when we say buy wheat futures, what does that mean? That means-the word buy or sell has a different meaning in futures markets. When you buy wheat futures or, for that matter, S&P 500 in

26、 futures, it means that you put up margin. You did not pay the price for the contract; you only paid margin, which might be 5% or less than the price. If youre buying wheat futures, what are you doing? Youre putting up margin and standing ready to see your margin account credited or debited dependin

27、g on the change in the futures price from day to day. If the price of wheat in the futures market goes up and you bought futures, they will increase your margin account by the amount that it went up. If the price of wheat goes down, they will decrease your margin account balance by that amount. How

28、do they get the money? Well, thats because for every buyer theres a seller in the futures market, so somebody else sold futures. Both of you put up margin; if you are buying, you put up margin; if you are selling, you put up margin. So, the result is that they have a place to get the money. If the p

29、rice goes up and you bought, your margin account will go up. The exchange will get the money by taking it from the margin account of the guy who sold and theyve always fixed it so that the number of buyers always equals the number of sellers. You see how the exchange cant lose and you cant lose; thi

30、s is a guaranteed thing. The only problem is that what if a margin account runs dry? Both buyer and seller have put up margin and then the price-lets say the price drops a lot; the futures price drops a lot. Then, that means that the buyers margin account is wiped out. What will happen then is that

31、the futures commission merchant will go to the person who bought the futures and say, do you want to post more margin or do you want me to close you out? That person has a decision to make and if he or she puts up more margin, then that replenishes the margin account and the person can keep trading.

32、 Thats how the exchanges eliminate counterparty risk, by daily resettlement of the contracts. Its an invention-actually goes back to Japan; although, it was slightly different in form. Its an invention that eliminates any risk of the counterparty not performing so that risk doesnt affect price. So its the same-are you clear on that now-how the margin account works? You might not enjoy this. Depends on how much of a gambling instinct for how much fun this is. If you buy or sell futures, you can expect a phone call from your broker sooner or later; well, not