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Futures contract rates as monetary policy forecasts
Ferrero, Giuseppe; Nobili, Andrea - 2008
The prices of futures contracts on short-term interest rates are commonly used by central banks to gauge market expectations concerning monetary policy decisions. Excess returns - the difference between futures rates and the realized rates - are positive, on average, and statistically...
Persistent link: https://www.econbiz.de/10011605025
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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
In this paper, we analyze new possibilities in predicting daily ranges, i.e. differences between daily high and low prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to simple daily ranges and explore the use of these more...
Persistent link: https://www.econbiz.de/10011340612
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted...
Persistent link: https://www.econbiz.de/10012064309
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted...
Persistent link: https://www.econbiz.de/10012062155
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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
In this paper, we analyze new possibilities in predicting daily ranges, i.e. differences between daily high and low prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to simple daily ranges and explore the use of these more...
Persistent link: https://www.econbiz.de/10010461231
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Hedging spark spread risk with futures
Martínez, Beatriz; Torró, Hipòlit - 2017 - Version: July 2017
Persistent link: https://www.econbiz.de/10011745081
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted...
Persistent link: https://www.econbiz.de/10011892699
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The wheat sector in Ethiopia : current status and key challenges for future value chain development
Gebreselassie, Samuel; Haile, Mekbib Gebretsadik; … - 2017
This paper provides a general overview of the current status and key challenges of the Ethiopian wheat value chain …. Wheat is an important staple food crop in Ethiopia. Improving wheat production and productivity is therefore a key part of … the agenda in the Ethiopian government’s food security policy programs. Policy interventions that aim at improving wheat …
Persistent link: https://www.econbiz.de/10011757269
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Market integration of wheat in Pakistan
Sahito, Jam Ghulam Murtaza - 2015
attempt to analyze wheat market integration in Pakistan. Previous research on the subject has attempted at analyzing market …
Persistent link: https://www.econbiz.de/10011338160
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Price transmission from international to domestic markets
Greb, Friederike; Jamora, Nelissa; Mengel, Carolin; … - 2012
the determination of international rice prices differs fundamentally from the determination of international wheat and …
Persistent link: https://www.econbiz.de/10010235142