Last edited by Fesida
Thursday, November 12, 2020 | History

2 edition of What does futures market interest tell us about the macroeconomy and asset prices? found in the catalog.

What does futures market interest tell us about the macroeconomy and asset prices?

Harrison G. Hong

What does futures market interest tell us about the macroeconomy and asset prices?

  • 97 Want to read
  • 30 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English


Edition Notes

StatementHarrison Hong, Motohiro Yogo
SeriesNBER working paper series -- working paper 16712, Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16712.
ContributionsYogo, Motohiro, National Bureau of Economic Research
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL24845894M
LC Control Number2011655939


Share this book
You might also like
police constables guide to his daily work.

police constables guide to his daily work.

Co-operation between medical and other health professions

Co-operation between medical and other health professions

The Orthodox Church

The Orthodox Church

A splendid passion

A splendid passion

Russian soul in rhymes, movements, paintings

Russian soul in rhymes, movements, paintings

Co-counselling for married couples

Co-counselling for married couples

Possibility for wood-molasses production in Arizona

Possibility for wood-molasses production in Arizona

Women in Industry and Technology: From Prehistory to the Present Day

Women in Industry and Technology: From Prehistory to the Present Day

Military education

Military education

Further tales from the Jatakas

Further tales from the Jatakas

Toward an Effective Use of Technology in Education

Toward an Effective Use of Technology in Education

English in use

English in use

What does futures market interest tell us about the macroeconomy and asset prices? by Harrison G. Hong Download PDF EPUB FB2

NBER Program(s):Asset Pricing, International Finance and Macroeconomics. Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices.

We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures by: We find that movements in open interest are highly pro-cyclical, correlated with both macroeconomic activity and movements in asset prices.

Movements in commodity market interest predict commodity returns, bond returns, and movements in the short rate even after controlling for other known by: Macroeconomists use commodity futures and spot prices to forecast inflation.

International economists use the forward discount, or the ratio of futures to spot price in the currency market, to forecast movements in exchange rates.

Financial economists use Cited by:   Abstract. Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that What does futures market interest tell us about the macroeconomy and asset prices?

book interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find that movements in open interest are highly pro-cyclical, correlated with both macroeconomic activity and movements in asset by: What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices.

ICE; Daily PriceDigital Day Trading, Howard Abell Although not quite making the top 5 books, this text deserves a look in. (Check out CNBC's explainer here.). Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets.

We find that movements in open interest are highly pro-cyclical, correlated with both. What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices. Article in Journal of Financial Economics (3) April with 82 Reads How we measure 'reads'.

Volatility, the Macroeconomy and Asset Prices accounts for the level and dispersion of risk premia across book-to-market and interest rate), and unlike Campbell, Giglio, Polk, and Turley (), we do not use any portfolio-specific characteristics such as the small-stock value spread. What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices.

International Monetary Fund, London School of Economics, Northwestern University, Ohio State University, PanAgora Asset Management, SAC Capital Advisors, Stockholm Institute for Financial Research, Stockholm School of Economics, University of California at Cited by: What does futures market interest tell us about the macroeconomy and asset prices?$ Harrison Honga,b,d, Motohiro Yogoc,n a Princeton University, Department of Economics, 26 Prospect Avenue, Princeton, NJUSA b National Bureau of Economic Research, Cambridge, MAUSA c Federal Reserve Bank of Minneapolis, Research Department, 90 Hennepin Avenue, Minneapolis, MN.

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices. Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption Author: Harrison Hong and Motohiro Yogo.

Published: Hong, Harrison & Yogo, Motohiro, "What does futures market interest tell us about the macroeconomy and asset prices?," Journal of Financial Economics, Elsevier, vol. (3), pages citation courtesy of. This paper was revised on J Chapter 2: Proof that Properly Anticipated Prices Fluctuate Randomly.

Paul A. Samuelson; What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices. Modeling Asset Prices.

James E. Gentle and Wolfgang K. HHrdle. 1 Jan | SSRN Electronic Journal. Volatility, the Macroeconomy and Asset Prices. We show that our DCAPM accounts for the level and dispersion of risk premia across book-to-market and size sorted portfolios, and that equity. Get this from a library.

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?. [Harrison Hong; Motohiro Yogo] -- Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices.

We argue that open interest could be more informative than futures prices in. What does futures market interest tell us about the macroeconomy and asset prices?.

[Harrison G Hong; Motohiro Yogo; National Bureau of Economic Research.] -- Open interest, or the amount of contracts outstanding in futures markets, has remarkable power to forecast commodity, currency, bond, and stock prices. Changes in open interest are highly.

volatility movements in determining asset prices and macro quantities. In the asset pricing model of Bansal and Yaron (), an increase in aggregate volatility lowers asset prices and, importantly, shocks to volatility carry a separate risk premium.

A growing literature in macroeconomics also highlights the effect of volatility on macroFile Size: KB. The macroeconomic implications of asset price flucuations have received increasing attention in academic and policy circles recently, in large part due to the recent boom-bust bubbles in the equity and now housing markets.

This book aims to investigate the role of asset prices for various aspects of the macroeconomy. If prices are in a downtrend and open interest is on the rise, some chartists believe that new money is coming into the market. They think this pattern shows aggressive new short : Investopedia Staff.

The aim of this paper is to assess whether three well-known commodity-specific variables (basis, hedging pressure, and momentum) may improve the predictive power for commodity futures returns of models otherwise based on macroeconomic factors.

We compute recursive, out-of-sample forecasts for the monthly returns of fifteen commodity futures, when estimation is based on a Author: Massimo Guidolin, Manuela Pedio.

Tactical allocation in commodity futures markets: Combining momentum and term structure signals. Journal of Banking & Finance, 34(10), – Hicks, J.

Value and Capital. Oxford: Clarendon Press. Hong, H., and Yogo, M. What does futures market interest tell us about the macroeconomy and asset prices?Cited by: 1. implications for asset prices.

This, we show, has first-order implications for the prop-erties of the return to wealth, the return to human capital, as well as other assets. Our analysis leads us to consider a dynamic asset-pricing framework with three sources of risks: cash-flow, discount rate, and volatility news. We show that such a framework.

Curriculum Vitae. Short Bio. Articles. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets" (w/ Jeremy C. Stein;, Harvard University) Journal of Finance, December 2.

"Trading and Returns under Periodic Market Closures" (w/ Jiang Wang, MIT) Journal of Finance, February 3. to-market feature of futures, there is no apparent reason to suspect that futures prices Chapter 2: Forward and Futures Prices.

If futures prices are negatively correlated with interest rates, then futures prices will be lower than forward Size: KB. DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what characterizes such markets, and what major theoretical and practical differences Cited by:   Asset prices will fall when interest rates rise because of the cost of capital changes.

This impacts businesses and real estate by cutting into earnings. A second reason asset prices fall when interest rates increase is it can profoundly influence the level of.

A Trader’s Guide to Futures CME Group offers the widest range of tradable products available anywhere — all on a single platform: interest rates, stock indexes, currencies, agriculture, energy, metals (industrial and precious) and alternative investment products, such as weather and real estate.

Macroeconomics, Prices, and Quantities This book of essays is devoted to a discussion and elaboration of Arthur M. Okun’s theories and policy prescriptions as outlined in his posthumously. A month ago, you bought a one-year bond with a value of $ that pays a fixed interest rate of 5 percent per year.

The interest rate of the economy was also 5 percent. Today you read in the newspaper that the interest rate in the economy increased to 6 percent.

You are holding a bond that is: A. highly desirable to other investors. Macroeconomy: United States Macroeconomy: United States This report forecasts to US gross domestic product and retail sales in nominal and inflation-adjusted (real) US dollars, and the size of the labor - Market research report and industry analysis - PRAISE FOR Applied Financial Macroeconomics and Investment Strategy 'A valuable resource for investment professionals trying to separate the economic wheat from the chaff.

Underneath the noise and day-to-day market volatility there are systematic forces shaping the trends in asset values/5(22). The asset often involves a financial instrument such as a stock or bond, but it can also pertain to grains, metals, foods or foreign Securities and Exchange Commission does not regulate futures.

Instead, the Commodities Futures Trading Commission handles that : Will Healy. Backwardation is a theory developed in respect to the price of a futures contract and the contract's time to expire. As the contract approaches expiration, the futures contract trades at a higher.

Stock market initiates with an interest in derivatives will often come across the term open is a very useful tool in understanding, along with price data, whether a market has topped or bottomed, among other things.

ET provides the : Ram Sahgal. Underlying Asset Futures Price Futures Contract Call Option Traded Futures Contracts - Institutional Details A futures contract is an agreement between two parties.

In a traded futures contract, an exchange acts as an intermediary and guarantor, and also standardizes and regulates how the contract is created and Size: 64KB. Money › Futures Futures Prices Versus Expected Spot Prices. Futures prices will converge to spot prices by the delivery date.

There are 3 hypotheses to explain how the price of futures contracts converge to the expected spot price over their term: expectations. How Rising Interest Rates Affect Bonds. he earns interest at a below market rate of 2% in our example. It may not feel like a loss, but it's a loss. all asset values fall when rates rise.

Macroeconomics Analysis of a country's economy as a whole. Macroeconomics The study of an economy in its largest sense. That is, macroeconomics studies gross domestic product, unemployment, inflation, and similar matters.

It does not look at the function of individual companies and only tangentially studies individual industries. It is useful in helping.

Crude oil is one of the better commodities to trade on a futures contract because the market is incredibly active, and it is well known to traders around the world. Oil prices fluctuate on the faintest whisper of news regarding pricing, which makes it.

This tutorial explains how this works and how bond prices relate to interest rates. In general, understanding this not only helps you with your own investing, but.

Macroeconomics (from the Greek prefix makro-meaning "large" + economics) is a branch of economics dealing with the performance, structure, behavior, and decision-making of an economy as a whole. This includes regional, national, and global economies.

Macroeconomists study topics such as GDP, unemployment rates, national income, price indices, national income, output, consumption. A substantial part of macroeconomics is devoted to explaining how and why gross domestic product exchanged through the product markets rises or falls.

When Duncan Thurly purchases a Deluxe Club Sandwich from Manny Mustard's House of Sandwich, he is operating through the product market.