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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 »
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 »
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 »
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 »
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 »
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? »
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 »
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? »
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 »
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...