Risk Premiums in Interconnected Australian Electricity Futures Markets

2013 ◽  
Author(s):  
Rangga Handika ◽  
Stefan Trueck
Keyword(s):  
Futures Markets ◽  
Risk Premiums

Macroeconomic Factors in Oil Futures Markets

2019 ◽  
Vol 65 (9) ◽  
pp. 4407-4421 ◽  
Author(s):  
Davidson Heath
Keyword(s):  
Economic Activity ◽  
Futures Markets ◽  
Price Shocks ◽  
Productivity Shocks ◽  
Macroeconomic Factors ◽  
Oil Futures ◽  
Risk Premiums ◽  
Crude Oil Futures ◽  
Future Consumption ◽  
New Evidence

This paper documents new evidence against perfect risk spanning in crude oil futures, and develops an affine futures pricing model that allows for unspanned macroeconomic factors. Compared to previous estimates, the oil spot premium is more volatile and strongly procyclical, which suggests that previous models miss the majority of variation in oil risk premiums. The estimates reveal a dynamic two-way relationship between oil futures and economic activity: productivity shocks are associated with higher oil prices, while oil price shocks affect economic activity by lowering future consumption spending. Unspanned macro factors also affect the valuation of real options. This paper was accepted by Karl Diether, finance.

scholarly journals Profitable hedging opportunities and risk premiums for producers in live cattle and live hog futures markets

1984 ◽  
Vol 4 (2) ◽  
pp. 141-154 ◽  
Author(s):  
Marvin L. Hayenga ◽  
Dennis D. Dipietre ◽  
J. Marvin Skadberg ◽  
Ted C. Schroeder
Keyword(s):  
Futures Markets ◽  
Risk Premiums

Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets

2020 ◽  
Vol 42 (4) ◽  
pp. 611-652
Author(s):  
Nicole M. Moran ◽  
Scott H. Irwin ◽  
Philip Garcia
Keyword(s):  
Futures Markets ◽  
Risk Premiums ◽  
Agricultural Futures

scholarly journals Financialization and Structural Change in Commodity Futures Markets

2012 ◽  
Vol 44 (3) ◽  
pp. 371-396 ◽  
Author(s):  
Scott H. Irwin ◽  
Dwight R. Sanders
Keyword(s):  
Structural Change ◽  
Futures Markets ◽  
Structural Changes ◽  
Price Volatility ◽  
Commodity Futures ◽  
Risk Premiums ◽  
Commodity Futures Markets ◽  
Trading Volumes ◽  
Cost Of Hedging ◽  
The Cost

The first decade of the 21st century has perhaps witnessed more structural change in commodity futures markets than all previous decades combined. Not only have trading volumes and open interest increased markedly, but this time period also saw historic changes in both trading and participants. The available literature indicates that the irrational and harmful impacts of the structural changes in commodity futures markets over the last decade have been minimal. In particular, there is little evidence that passive index investment caused a massive bubble in commodity futures prices. There is intriguing evidence of several other rational and beneficial impacts of the structural changes over the last decade. In particular, the expanding market participation may have decreased risk premiums, and hence, the cost of hedging, reduced price volatility, and better integrated commodity markets with financial markets.

Evidence of Risk Premiums in Foreign Currency Futures Markets

1992 ◽  
Vol 5 (1) ◽  
pp. 65-83 ◽  
Author(s):  
Thomas H. McCurdy ◽  
Ieuan Morgan
Keyword(s):  
Futures Markets ◽  
Foreign Currency ◽  
Risk Premiums ◽  
Currency Futures

Risk premiums in futures markets: An empirical investigation

1984 ◽  
Vol 4 (2) ◽  
pp. 189-211 ◽  
Author(s):  
Jacques Raynauld ◽  
Jacques Tessier
Keyword(s):  
Futures Markets ◽  
Empirical Investigation ◽  
Risk Premiums

scholarly journals Historical Exchange Rate Risk Premiums In Currency Futures Markets

2011 ◽  
Vol 1 (1) ◽  
Author(s):  
Ahmet Can Inci
Keyword(s):  
Risk Premium ◽  
Futures Markets ◽  
Extreme Case ◽  
Total Sample ◽  
Font Size ◽  
Forecast Horizon ◽  
Expectations Hypothesis ◽  
Risk Premiums ◽  
Currency Futures ◽  
Transaction Fees

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="font-family: Times New Roman;"><span style="font-size: 10pt; mso-bidi-font-weight: bold; mso-bidi-font-style: italic; mso-bidi-font-size: 12.0pt;">This paper examines the historical predictive power of future spot spread in estimating currency changes.<span style="mso-spacerun: yes;">&nbsp; </span></span><span style="font-size: 10pt; mso-bidi-font-style: italic; mso-bidi-font-size: 9.5pt;">Currency futures and spot rates over the last two decades are examined.<span style="mso-spacerun: yes;">&nbsp;&nbsp; </span>Results show that as forecast horizon of currency depreciation increases, the slope coefficients become less positive, first losing their significance, and eventually for 1-month regressions, becoming negative for the British pound, Swiss franc and Japanese yen (significantly negative for the yen) indicating risk premiums differ with forecast horizon.<span style="mso-spacerun: yes;">&nbsp; </span>On the other hand, expectations hypothesis is validated when the forecast horizon is 1 day.<span style="mso-spacerun: yes;">&nbsp; </span>These results hold for each decade separately, as well as the total sample.<span style="mso-spacerun: yes;">&nbsp; </span>Comparison of early (1980s) and recent (1990s) periods reveals expectations hypothesis is validated in the recent period.<span style="mso-spacerun: yes;">&nbsp; </span>This indicates the trend towards a more efficient market.<span style="mso-spacerun: yes;">&nbsp; </span>This should not be very surprising with the introduction of round the clock electronic trading medium and reduction of transaction fees in futures markets.<span style="mso-spacerun: yes;">&nbsp; </span>This also implies that the absolute value of the risk premium has decreased over the last two decades.<span style="mso-spacerun: yes;">&nbsp; </span>The extreme case of forward premium puzzle in one-month forecasts diminishes in the 1990s.<span style="mso-spacerun: yes;">&nbsp; </span>The results are robust to partitioning the sample period into four sub samples and separating the data based on maturity of futures contracts.</span></span><strong><span style="font-size: 10pt; mso-bidi-font-style: italic; mso-bidi-font-size: 12.0pt;"></span></strong></p>

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