Impact Analysis on the Interest Rate Futures Market

2005 ◽  
Author(s):  
Hyunyoung Choi ◽  
Joseph E. Finnerty
Keyword(s):  
Interest Rate ◽  
Impact Analysis ◽  
Futures Market ◽  
Interest Rate Futures ◽  
The Interest Rate

Financial ETNs and Certificates on Nordic Power Contracts

2018 ◽  
Keyword(s):  
Interest Rate ◽  
Exchange Rates ◽  
Futures Market ◽  
Stock Exchanges ◽  
Investment Activity ◽  
Futures Contract ◽  
Retail Investors ◽  
Daily Change ◽  
Exchange Traded Notes ◽  
The Interest Rate

This article presents the first description and analysis of the exchange-traded notes (ETNs) and certificates tracking the Nordic power futures market that enable retail investors to hedge and trade on the Oslo and Stockholm Nordic stock exchanges. We investigate the impacts of the underlying front-quarter futures contract, its daily change, the roll cost, the EUR/NOK and EUR/SEK exchange rates, and the interest rate level and fees on the ETNs and certificates. An analysis of the ETNs and certificates on the Nordic stock exchanges from December 2010 to February 2015 shows continual investment activity, even though prices were in a consistent downtrend during the period. We conclude with a description of some strategies which retail investors can use.

scholarly journals Interest Rate Swap Market Complexity and Its Risk Management Implications

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-20
Author(s):  
Steve Y. Yang ◽  
Esen Onur
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Network Structure ◽  
Risk Sharing ◽  
Interest Rate Swap ◽  
Market Participants ◽  
Interest Rate Futures ◽  
The Interest Rate ◽  
Management Behaviors ◽  
Rate Swap

The primary objective of this paper is to study the post Dodd-Frank network structure of the interest rate swap market and propose a set of effective complexity measures to understand how the swap users respond to market risks. We use a unique swap dataset extracted from the swap data repositories (SDRs) to examine the network structure properties and market participants’ risk management behaviors. We find (a) the interest rate swap market follows a scale-free network where the power-law exponent is less than 2, which indicates that few of its important entities have a significant number of contracts within their subsidiaries (a.k.a. interaffiliated swap contracts); (b) swap rate volatility Granger-causes swap users to increase their risk sharing intensity at entity level, but market participants do not change their risk management strategies in general; (c) there is a significant contemporaneous correlation between the swap rate volatility and the underlying interest rate futures volatility. However, interest rate swap volatility does not cause the underlying interest rate futures volatility and vice versa. These findings provide the market regulators and swap users a better understanding of interest rate swap market participants’ risk management behaviors, and it also provides a method to monitor the swap market risk sharing dynamics.

Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives

2020 ◽  
Vol 33 (11) ◽  
pp. 5051-5091 ◽  
Author(s):  
Matthias Fleckenstein ◽  
Francis A Longstaff
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Balance Sheet ◽  
Futures Market ◽  
The Other ◽  
Capital Regulation ◽  
Debt Overhang ◽  
Interest Rate Futures ◽  
The Interest Rate ◽  
The Cost

Abstract A long-standing asset pricing puzzle is that the funding rates in derivatives contracts often differ from those in cash markets. We propose that the cost of renting intermediary balance sheet space may help resolve this puzzle. We study a persistent basis in what is arguably the largest derivatives market, namely, the interest rate futures market. This basis is strongly related to exogenous measures of intermediary balance sheet usage and proxies for the balance sheet costs imposed by debt overhang problems and capital regulation. These results extend to the cash derivatives bases documented in many of the other largest financial markets.

Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns

2008 ◽  
Vol 28 (9) ◽  
pp. 815-844 ◽  
Author(s):  
Dimitrios D. Thomakos ◽  
Tao Wang ◽  
Jingtao Wu ◽  
Russell P. Chuderewicz
Keyword(s):  
Interest Rate ◽  
Covariance Structure ◽  
Macroeconomic Announcements ◽  
Interest Rate Futures ◽  
The Interest Rate

Maturity effects in the Mexican interest rate futures market

2011 ◽  
Vol 31 (4) ◽  
pp. 371-393 ◽  
Author(s):  
Pedro Gurrola ◽  
Renata Herrerías
Keyword(s):  
Interest Rate ◽  
Futures Market ◽  
Interest Rate Futures
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