Browsing by Subject "futuurit"

Sort by: Order: Results:

Now showing items 1-11 of 11
  • Kajanoja, Lauri (2004)
    Bank of Finland. Bulletin 78 ; 1
  • Kajanoja, Lauri (2004)
    Suomen Pankin keskustelualoitteita 2/2004
    This study presents a framework for extracting long-run GDP growth and inflation expectations from financial market data on a real-time basis.The framework uses information from both stock and bond markets.It builds on a dividend discount model of stock valuation and on a linearized consumption Euler equation. Furthermore, expected long-run dividend growth for a broad equity index is assumed to be related to expected long-run GDP growth. Short-run and long-run dividend growth expectations are allowed to differ.The former are measured using equity index futures.We extract growth and inflation expectations for the euro area and for the United States. Key words: inflation expectations, growth expectations, equity index futures JEL classification numbers: E31, E44, E66
  • Jokivuolle, Esa; Koskinen, Yrjö (1990)
    Bank of Finland. Bulletin 64 ; 4 ; April
  • Hietala, Pekka; Jokivuolle, Esa; Koskinen, Yrjö (2000)
    Suomen Pankin keskustelualoitteita 4/2000
    The purpose of this paper is to provide an explanation for relative pricing of futures contracts with respect to underlying stocks using a model incorporating short sales constraints and informational lags between the two markets.In this model stocks and futures are perfect substitutes, except for the fact that short sales are only allowed in futures markets.The futures price is more informative than the stock price, because the existence of short sales constraints in the stock market prohibits trading in some states of the world.If an informed trader with no initial endowment in stocks receives negative information about the common future value of stocks and futures, he is only able to sell futures.Uninformed traders also face a similar short sales constraint in the stock market.As a result of the short sales constraint, the stock price is less informative than the futures price even if the informed trader has received positive information.Stocks can be under- and overpriced in comparison with futures, provided that market makers in stocks and futures only observe the order flow in the other market with a lag.Our theory implies that: 1) the basis is positively associated with the contemporaneous futures returns; 2) the basis is negatively associated with the contemporaneous stock return; 3) futures returns lead stock returns; 4) stock returns also lead futures returns, but to a lesser extent; and 5) the trading volume in the stock market is positively associated with the contemporaneous stock return.The model is tested using daily data from the Finnish index futures markets.Finland provides a good environment for testing our theory, since short sales were not allowed during the period for which we have data (27 May 1988 - 31 May 1994).We find strong empirical support for the implications of our theory.
  • Kajanoja, Lauri (2004)
  • Viaene, Jean-Marie; Zilcha, Itzhak (1995)
    Suomen Pankin keskustelualoitteita 3/1995
    The optimum behavior of a competitive risk-averse international trader who supplies or demands commodities invoiced in foreign currency is examined when his profits are subject to several forms of risk: production, domestic cost, the exchange rate and the commodity price.The focus of the analysis lies in the optimality conditions for the level of trade and the extent of forward exchange and commodity futures commitments.New results on the implications of the framework for the separation and the double-hedging theorems are derived.The behavior of the same firm with and without complete markets is compared and conditions are obtained for a domestic price guarantee or a gradual introduction of missing markets to promote the level of international trade. (JEL D81, D84, F19, F31)
  • Spargoli, Fabrizio; Zagaglia, Paolo (2008)
    Bank of Finland Research Discussion Papers 26/2008
    We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to real debt. We show how to solve for the prices of real and nominal zero coupon bonds. Keywords: bond pricing, fiscal policy, mathematical methods JEL classification numbers: D9, G12
  • Melolinna, Marko (2008)
    Bank of Finland Research Discussion Papers 9/2008
    Ilmestynyt myös Finnish Economic Papers 24 ; 1 ; 2011 sekä European Central Bank. Working paper series 1318 ; 2011.
    This paper introduces a methodology for identifying oil supply shocks in a restricted VAR system for a small open economy. Financial market information is used to construct an identification scheme that forces the response of the restricted VAR model to an oil shock to be the same as that implied by futures markets. Impulse responses are then calculated by using a bootstrapping procedure for partial identification. The methodology is applied to Finland and Sweden in illustrative examples in a simple 5-variable model. While oil supply shocks have an inflationary effect on domestic inflation in these countries during the past decade or so, the effect on domestic GDP is more ambiguous. Keywords: oil futures, partial identification, macroeconomic shocks JEL classification numbers: C01, E32, E44
  • Colavecchio, Roberta; Funke, Michael (2006)
    BOFIT Discussion Papers 16/2006
    Published in China Economic Review 19 (2008) 635-648
    This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005.To account for the time-variability of conditional correlation, a dynamic correlation structure is included in the volatility model specification.The empirical results demonstrate that the renminbi non-deliverable forward (NDF) has been a driver of various Asian currency markets but that such co-movements exhibit a substantial degree of heterogeneity.As to the determinants of the magnitude of these comovements, we test the relevance of potential factors and find that it is the degree of real and financial integration, in particular, that exerts the largest influence on volatility transmission. Keywords: China, renminbi, Asia, forward exchange rates, non-deliverable forward market, multivariate GARCH models JEL-Classification: C22, F31, F36
  • Colavecchio, Roberta; Funke, Michael (2007)
    BOFIT Discussion Papers 17/2007
    Published in Journal of Asian Economics, Vol. 20, No. 2, March 2009 as "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets"
    This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's U.S. dollar future rates upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes. Keywords: China, renminbi, Asia, forward exchange rates, non-deliverable forward market, SWARCH models JEL-Classification: C22, F31, F36
  • Melolinna, Marko (2011)
    Bank of Finland Research Discussion Papers 2/2011
    Published in OPEC Energy Review, 35, 4, December 2011: 287-307
    This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in explaining and forecasting the risk premia in practice. Whilst the existence of the premia and the validity of the models can be established at certain time points, it turns out that the choice of sample period has a considerable effect on he results. Hence, the risk premia are highly timevarying. The study also establishes a model, based on speculative positions in the futures markets, which has some predictive power for future oil spot prices.