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

• 成果类型: Article
• 署名作者: Hong, Harrison; Yogo, Motohiro
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Princeton University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.04.005
• 发表日期: 2012
• 页码: 473-490
• 关键词: Bonds; business cycle; Commodities; Currencies; Futures market; inflation

摘要

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 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 predictors. To a lesser degree, movements in open interest predict returns in currency, bond, and stock markets. (C) 2012 Elsevier B.V. All rights reserved.