不确定性风险、事前投资与期货交易

Uncertainty Risk,Ex Ante Investment and Futures Transaction

基于事前专用性投资的套牢问题,建立了一个上下游企业的交易模型.运用最新的合同经济学理论,分析了企业可能面临的3种交易模式:市场交易,事后再谈判剩余的交易模式;合约交易,双边的合约交易模式;期货交易,多边的合约交易模式.结果表明:前2种交易模式,由于不能避免专用性投资的收益共享,造成了上下游企业的投资不足问题;第3种交易模式将专用性投资的一部分风险转移到了第三方,使上下游企业的期望收益仅依赖于各自的投资水平,即上下游企业与第三方分别签订了一份独立于自然状态的选择权合同,而此种交易机制可以消除事前投资的无效率;期货市场的存在有利于上下游企业的经济活动.

Based on the hold-up problem of ex ante specific investment transaction, this paper built up a transaction model between upstream and downstream firms. Applying the recent contract theory, the paper analyzed three transaction mode： （1） market transaction, that the two firms ex post renegotiate surplus; （2） contract transaction, a bilateral contract transaction mode; and （3） futures transaction, a multiside contract transaction mode. The result shows that the first two transaction modes cause upstream and downstream firms to under invest because the benefit from specific investment can not avoid being shared; and the third mode can transfer partial risk of specific investment to the third party, which makes the expectation revenue of upstream and downstream firms only depend on their respective investment. That is, upstream and downstream firms respectively sign up a contract with the third party, which is independent of natural states. Such a transaction mechanism can even eliminate inefficiency of en ante investment. It al so is the reason that why the existence of futures market can make transaction between upstream and downstream firms more efficient.