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Journal Article
Predicting inflation: food for thought

Because food prices are no longer volatile, it makes little sense to exclude them anymore from calculations to determine core inflation.
The Regional Economist , Issue Jan. , Pages 4-9

Journal Article
Financial futures for banks

FRBSF Economic Letter

Journal Article
Circuit breakers

Economic Perspectives , Volume 14 , Issue Sep , Pages 2-13

Journal Article
The past, present, and future of futures

The exchanges on which futures contracts are traded have come a long way from their 19th-century origins and now play a major role in the global financial system.
EconSouth , Volume 9 , Issue 3

Futures margin and excess volatility

Chicago Fed Letter , Issue Jun

Journal Article
Oil prices: backward to the future?

A useful first guess about the future spot price of a commodity is usually found in its current futures price. But it doesn?t work that way when the commodity in question is oil. This Commentary explains why the characteristics of oil, particularly the value it can offer its owner by remaining in the ground, cloud the information that oil futures prices give about future oil prices.
Economic Commentary , Issue Dec

Journal Article
Forecasting changes in inflation using the Treasury bill futures market

New England Economic Review , Issue Mar , Pages 41-48

Journal Article
Stocks, bonds, options, futures, and portfolio insurance: a rose by any other name

Trading volume and open interest in options and futures contracts on stock indices, equities, and interest rate instruments traded on world exchanges have experienced remarkable growth. However, this growth has been accompanied by controversy about the proper role of financial derivatives and the potential for abuse. Prominent attention has been given to losses by major corporations, broker-related short-term mutual funds, and municipal agencies.> The public debate about "derivatives" has promoted the impression that the heart of the problem has been a proliferation of brand new ways of ...
New England Economic Review , Issue Jul , Pages 25-46

Are market makers uninformed and passive? Signing trades in the absence of quotes

We develop a new likelihood-based approach to signing trades in the absence of quotes. This approach is equally efficient as the existing Markov-chain Monte Carlo methods, but more than ten times faster. It can address the occurrence of multiple trades at the same time and allows for analysis of settings in which trade times are observed with noise. We apply this method to a high-frequency data set of thirty-year U.S. Treasury futures to investigate the role of the market maker. Most theory characterizes the market maker as an uninformed, passive supplier of liquidity. Our findings suggest, ...
Staff Reports , Paper 395



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Moser, James T. 15 items

Sarkar, Asani 12 items

Kupiec, Paul H. 6 items

Merrick, John J. 6 items

Locke, Peter 5 items

Wu, Lifan 5 items

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Futures 123 items

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