What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
Author
Abstract
Suggested Citation
Note: AP IFM
Download full text from publisher
Other versions of this item:
- Hong, Harrison & Yogo, Motohiro, 2012. "What does futures market interest tell us about the macroeconomy and asset prices?," Journal of Financial Economics, Elsevier, vol. 105(3), pages 473-490.
References listed on IDEAS
- Gourinchas, Pierre-Olivier & Tornell, Aaron, 2004.
"Exchange rate puzzles and distorted beliefs,"
Journal of International Economics, Elsevier, vol. 64(2), pages 303-333, December.
- Gourinchas, P O & Tornell, A, 2004. "Exchange rate puzzles and distorted beliefs," Department of Economics, Working Paper Series qt63m3f61w, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- N. Gregory Mankiw & Ricardo Reis, 2002.
"Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(4), pages 1295-1328.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky information versus sticky prices: a proposal to replace the New-Keynesian Phillips curve," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," Harvard Institute of Economic Research Working Papers 1922, Harvard - Institute of Economic Research.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," NBER Working Papers 8290, National Bureau of Economic Research, Inc.
- Mankiw, N. Gregory & Reis, Ricardo, 2002. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," Scholarly Articles 3415324, Harvard University Department of Economics.
- Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010.
"Can Exchange Rates Forecast Commodity Prices?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1145-1194.
- Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers UWEC-2008-11-FC, University of Washington, Department of Economics, revised Oct 2009.
- Yu-Chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," NBER Working Papers 13901, National Bureau of Economic Research, Inc.
- Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," Working Papers 10-07, Duke University, Department of Economics.
- Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers 08-03, Duke University, Department of Economics.
- Kenneth Rogoff & Barbara Rossi & Yu-chin Chen, 2008. "Can Exchange Rates Forecast Commodity Prices?," 2008 Meeting Papers 540, Society for Economic Dynamics.
- Rogoff, Kenneth S. & Chen, Yu-Chin & Rossi, Barbara, 2010. "Can Exchange Rates Forecast Commodity Prices?," Scholarly Articles 29412033, Harvard University Department of Economics.
- Stock, James H. & Watson, Mark W., 1999.
"Forecasting inflation,"
Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
- James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
- Campbell, John Y., 1987.
"Stock returns and the term structure,"
Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
- John Y. Campbell, 1985. "Stock Returns and the Term Structure," NBER Working Papers 1626, National Bureau of Economic Research, Inc.
- Campbell, John, 1987. "Stock Returns and the Term Structure," Scholarly Articles 3207699, Harvard University Department of Economics.
- De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990.
"Noise Trader Risk in Financial Markets,"
Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, "undated". "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
- Eugene F. Fama & Kenneth R. French, 2015.
"Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage,"
World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 4, pages 79-102,
World Scientific Publishing Co. Pte. Ltd..
- Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
- repec:fth:nystbu:92-6 is not listed on IDEAS
- David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1992.
"Dynamics of the trade balance and the terms of trade: the J-curve revisited,"
Discussion Paper / Institute for Empirical Macroeconomics
65, Federal Reserve Bank of Minneapolis.
- David K. Backus & Patrick Kehoe & Finn Kydland, 1992. "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve Revisited," Working Papers 92-6, New York University, Leonard N. Stern School of Business, Department of Economics.
- Bessembinder, Hendrik & Chan, Kalok, 1992. "Time-varying risk premia and forecastable returns in futures markets," Journal of Financial Economics, Elsevier, vol. 32(2), pages 169-193, October.
- Carter, Colin A & Rausser, Gordon C & Schmitz, Andrew, 1983.
"Efficient Asset Portfolios and the Theory of Normal Backwardation,"
Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 319-331, April.
- Carter, Colin A. & Rausser, Gordon C. & Schmitz, Andrew, 1982. "Efficient asset portfolios and the theory of normal backwardation," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt59c8m4x6, Department of Agricultural & Resource Economics, UC Berkeley.
- Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1994.
"Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?,"
American Economic Review, American Economic Association, vol. 84(1), pages 84-103, March.
- David Backus & Patrick J. Kehoe & Finn E. Kydland, 1992. "Dynamics of the Trade Balance and the Terms of Trade: The S-Curve," NBER Working Papers 4242, National Bureau of Economic Research, Inc.
- Backus, David K. & Kehoe, Patrick J. & Kydland, Finn E., "undated". "Backus_Kehoe_Kydland," Instructional Stata datasets for econometrics backus, Boston College Department of Economics.
- David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1992. "Dynamics of the trade balance and the terms of trade: the J-curve revisited," Discussion Paper / Institute for Empirical Macroeconomics 65, Federal Reserve Bank of Minneapolis.
- David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1992. "Dynamics of the trade balance and the terms of trade: the S-curve," Working Papers (Old Series) 9211, Federal Reserve Bank of Cleveland.
- David Backus & Patrick Kehoe & Finn E. Kydland, 1992. "DOS executable for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?"," QM&RBC Codes 5, Quantitative Macroeconomics & Real Business Cycles.
- David Backus & Patrick Kehoe & Finn E. Kydland, 1992. "Web interface for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?"," QM&RBC Codes 5a, Quantitative Macroeconomics & Real Business Cycles.
- Sanford J. Grossman, 1977. "The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 44(3), pages 431-449.
- Shleifer, Andrei, 1986. "Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-590, July.
- Campbell, John Y & Ammer, John, 1993.
"What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns,"
Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
- Campbell, J.Y. & Ammer, J., 1991. "What Moves The Stock And Bond Markets? A Variance Decomposition For Long- Term Asset Returns," Papers 127, Princeton, Department of Economics - Financial Research Center.
- Ammer, John & Campbell, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Scholarly Articles 3382857, Harvard University Department of Economics.
- John Y. Campbell & John Ammer, 1991. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," NBER Working Papers 3760, National Bureau of Economic Research, Inc.
- Hong, Harrison & Yogo, Motohiro, 2012.
"What does futures market interest tell us about the macroeconomy and asset prices?,"
Journal of Financial Economics, Elsevier, vol. 105(3), pages 473-490.
- Harrison Hong & Motohiro Yogo, 2011. "What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?," NBER Working Papers 16712, National Bureau of Economic Research, Inc.
- Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
- James H. Stock & Mark W.Watson, 2003.
"Forecasting Output and Inflation: The Role of Asset Prices,"
Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
- James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
- Harrison Hong & Jeremy C. Stein, 2007.
"Disagreement and the Stock Market,"
Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 109-128, Spring.
- Hong, Harrison & Stein, Jeremy, 2007. "Disagreement and the Stock Market," Scholarly Articles 2894690, Harvard University Department of Economics.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- Harrison Hong & Jeremy C. Stein, 1999.
"A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets,"
Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
- Harrison Hong & Jeremy C. Stein, 1997. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets," NBER Working Papers 6324, National Bureau of Economic Research, Inc.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- Hicks, J. R., 1975. "Value and Capital: An Inquiry into some Fundamental Principles of Economic Theory," OUP Catalogue, Oxford University Press, edition 2, number 9780198282693.
- Chang, Eric C, 1985. "Returns to Speculators and the Theory of Normal Backwardation," Journal of Finance, American Finance Association, vol. 40(1), pages 193-208, March.
- Bessembinder, Hendrik, 1992. "Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets," The Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 637-667.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023.
"Commodity futures return predictability and intertemporal asset pricing,"
Journal of Commodity Markets, Elsevier, vol. 31(C).
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020. "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers 202011, Geary Institute, University College Dublin.
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
- Zaremba, Adam & Cakici, Nusret & Bianchi, Robert J. & Long, Huaigang, 2023. "Interest rate changes and the cross-section of global equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
- Changyun Wang, 2003.
"The behavior and performance of major types of futures traders,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(1), pages 1-31, January.
- Wang, Changyun, 2001. "The behavior and performance of major types of futures traders," MPRA Paper 36426, University Library of Munich, Germany, revised Jul 2002.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Karlygash Kurlbayeva & Samuel Malone, 2012. "The determinants of extreme commodity prices," OxCarre Working Papers 096, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
- Miffre, Joëlle, 2016. "Long-short commodity investing: A review of the literature," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 3-13.
- Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013.
"Limits to arbitrage and hedging: Evidence from commodity markets,"
Journal of Financial Economics, Elsevier, vol. 109(2), pages 441-465.
- Acharya, Viral & Lochstoer, Lars, 2009. "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," CEPR Discussion Papers 7327, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai, 2011. "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," NBER Working Papers 16875, National Bureau of Economic Research, Inc.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- Dunbar, Kwamie & Jiang, Jing, 2020. "What do movements in financial traders’ net long positions reveal about aggregate stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
- Kocagil, Ahmet E. & Topyan, Kudret, 1997. "An empirical note on demand for speculation and futures risk premium: A Kalman Filter application," Review of Financial Economics, Elsevier, vol. 6(1), pages 77-93.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014.
"Forecasting the Equity Risk Premium: The Role of Technical Indicators,"
Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Davide, Marinella & Vesco, Paola, 2016.
"Alternative Approaches for Rating INDCs: a Comparative Analysis,"
MITP: Mitigation, Innovation and Transformation Pathways
232716, Fondazione Eni Enrico Mattei (FEEM).
- Marinella Davide & Paola Vesco, 2016. "Alternative Approaches for Rating INDCs: a Comparative Analysis," Working Papers 2016.18, Fondazione Eni Enrico Mattei.
- Carter, Colin A., 1999. "Commodity futures markets: a survey," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 43(2), pages 1-39, June.
- Erkko Etula, 2013.
"Broker-Dealer Risk Appetite and Commodity Returns,"
Journal of Financial Econometrics, Oxford University Press, vol. 11(3), pages 486-521, June.
- Erkko Etula, 2009. "Broker-dealer risk appetite and commodity returns," Staff Reports 406, Federal Reserve Bank of New York.
- Basu, Devraj & Miffre, Joëlle, 2013. "Capturing the risk premium of commodity futures: The role of hedging pressure," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2652-2664.
- Hollstein, Fabian & Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2021. "Predictability in commodity markets: Evidence from more than a century," Journal of Commodity Markets, Elsevier, vol. 24(C).
- Doina Chichernea & Kershen Huang & Alex Petkevich, 2019. "Does maturity matter? The case of treasury futures volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1301-1321, October.
- Hardouvelis, Gikas A. & Kim, Dongcheol & Wizman, Thierry A., 1996. "Asset pricing models with and without consumption data: An empirical evaluation," Journal of Empirical Finance, Elsevier, vol. 3(3), pages 267-301, September.
- Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
More about this item
JEL classification:
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2011-01-30 (Central Banking)
- NEP-MAC-2011-01-30 (Macroeconomics)
- NEP-MIC-2011-01-30 (Microeconomics)
- NEP-MON-2011-01-30 (Monetary Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:16712. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/nberrus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.