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...

The economic works of Johann Heinrich von Thünen include 1,000 unpublished pages of drafts and notes on the basis of which he prepared the second volume of his famous 'Isolated State in Relation to Agriculture and Political Economy'. Thünen wrote his texts in the so-called Deutsche...

This paper analyses the relationship between BitCoin price and supply-demand fundamentals of BitCoin, global macro-financial indicators and BitCoin’s attractiveness for investors. Using daily data for the period 2009-2014 and applying time-series analytical mechanisms, we find that BitCoin...

The economic works of Johann Heinrich von Thuenen include 1,000 unpublished pages of drafts and notes on the basis of which he prepared the second volume of his famous “Isolated State in Relation to Agriculture and Political Economy”. It’s bulk was not made accessible until today. The...

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news announcements, and find that the implied odds of deflation...

How far to go – and to remain – in the direction of highly expansionary monetary policy hinges on the balance of marginal benefits and costs of additional monetary easing and its expected evolution over time. This paper sketches a framework for assessing this balance and applies it to four...

The study evaluates the impact of consumer’s buying power regarded as overall CPI on the dividend policy of firms. Dividend yield is used as a proxy of dividend policy. There are two separate equations to explain the phenomenon. The predicted values of capital gain yield against inflation and...

This paper proposes and estimates an extended shadow-rate term structure model, and uses it to extract inflation risk premia from nominal and real term structures. Our model incorporates the shadow rate and thereby explicitly takes account of the zero lower bound constraint of nominal interest...

In this paper we revisit the issue of integration of emerging stock markets with each other and with the developed markets over different time horizons using weekly stock indices data from June 1997 until March 2005 of the five major MENA equity markets (Egypt, Israel, Jordan, Morocco and...