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Efficiency in Commodity Futures Markets

Efficiency in Commodity Futures Markets »

Source: Efficiency in Commodity Futures Markets

Volume/Issue: 1989/106

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 December 1989

ISBN: 9781451946963

Keywords: futures prices, forecasting, futures markets, equation, commodity futures

The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, inclu...

Forecasting Accuracy of Crude Oil Futures Prices

Forecasting Accuracy of Crude Oil Futures Prices »

Source: Forecasting Accuracy of Crude Oil Futures Prices

Volume/Issue: 1991/93

Series: IMF Working Papers

Author(s): Manmohan Kumar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1991

ISBN: 9781451951110

Keywords: futures prices, crude oil, oil futures, futures markets, spot price

This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess return...

Time Varying Risk Premia in Futures Markets

Time Varying Risk Premia in Futures Markets »

Source: Time Varying Risk Premia in Futures Markets

Volume/Issue: 1990/116

Series: IMF Working Papers

Author(s): Graciela Kaminsky , and Manmohan Kumar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1990

ISBN: 9781451941968

Keywords: futures markets, equation, commodity futures, forecasting, futures prices

This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures p...

Financial Market Volatility and the Implications for Market Regulation: A Survey

Financial Market Volatility and the Implications for Market Regulation: A Survey »

Source: Financial Market Volatility and the Implications for Market Regulation : A Survey

Volume/Issue: 1990/112

Series: IMF Working Papers

Author(s): Louis Scott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1990

ISBN: 9781451944594

Keywords: stock market, stock prices, bond, stock index futures, futures markets

Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent yea...

The Derivatives Market in South Africa

The Derivatives Market in South Africa »

Source: The Derivatives Market in South Africa : Lessons for Sub-Saharan African Countries

Volume/Issue: 2009/196

Series: IMF Working Papers

Author(s): Olatundun Janet Adelegan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873436

Keywords: derivatives, derivatives market, futures contracts, derivative, currency futures, bond,

This paper examines the role of the derivatives market in South Africa and provides policy options for promoting the development of derivatives markets in sub-Saharan Africa. South Africa's derivatives market has g...

Race to the Center

Race to the Center »

Source: Race to the Center : Competition for the Nikkei 225 Futures Trade

Volume/Issue: 1996/117

Series: IMF Working Papers

Author(s): Takatoshi Ito , and Wen-Ling Lin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1996

ISBN: 9781451941579

Keywords: Competition, Japan, margin requirements, futures price volatility, trading volume, GARCH, futures market, futures markets, dummy variable, probability

This paper examines the impact of changes in margin requirements on returns, transaction volumes, and price volatility of Nikkei 225 futures on the Osaka Securities Exchange (OSE) and the Singapore International Mo...

Do Commodity Futures Help Forecast Spot Prices?

Do Commodity Futures Help Forecast Spot Prices? »

Source: Do Commodity Futures Help Forecast Spot Prices?

Volume/Issue: 2011/254

Series: IMF Working Papers

Author(s): David Reichsfeld , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463923891

Keywords: Asset Pricing, Futures Pricing, Financial Forecasting, futures price, futures prices, forecasting, random walk, futures markets, General Financial Markets: General (includes Measurement and Data),

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on...

The Structure and Operation of the World Gold Market

The Structure and Operation of the World Gold Market »

Source: The Structure and Operation of the World Gold Market

Volume/Issue: 1991/120

Series: IMF Working Papers

Author(s): M. O'Callaghan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

ISBN: 9781451939590

Keywords: futures contracts, gold futures, hoarding, hedging, gold markets, The Structure and Operation of the World Gold Market,

This paper describes the structure of the world gold market, its sources of supply and demand, and how it functions. The market has three principal functions in three major locations: the New York futures market sp...

What Explains the Rise in Food Price Volatility?

What Explains the Rise in Food Price Volatility? »

Source: What Explains the Rise in Food Price Volatility?

Volume/Issue: 2010/129

Series: IMF Working Papers

Author(s): Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

ISBN: 9781455201129

Keywords: Volatility, Agricultural Economics, food price, commodity prices, palm oil, futures markets, open interest, General Financial Markets,

The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policym...

Fragilities in the U.S. Treasury Market

Fragilities in the U.S. Treasury Market »

Source: Fragilities in the U.S. Treasury Market : Lessons from the 'Flash Rally' of October 15, 2014

Volume/Issue: 2015/222

Series: IMF Working Papers

Author(s): Antoine Bouveret , Peter Breuer , Yingyuan Chen , David Jones , and Tsuyoshi Sasaki

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 October 2015

ISBN: 9781513576220

Keywords: Treasury Market, High-Frequency Trading, market, treasury, trading, futures, Financial Markets and the Macroeconomy, Government Policy and Regulation,

Changes in the structure of the U.S. Treasury market over recent years may have increased risks to financial stability. Traditional market makers have changed their liquidity provision by increasingly switching fro...