What does futures market interest tell us about the macroeconomy and asset prices?

Author:

Hong Harrison,Yogo Motohiro

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference29 articles.

1. Acharya, V.V., Lochstoer, L.A., Ramadorai, T., 2010. Limits to arbitrage and hedging: evidence from commodity markets. Unpublished working paper. New York University.

2. Dynamics of the trade balance and the terms of trade: the J-curve?;Backus;American Economic Review,1994

3. Systematic risk, hedging pressure, and risk premiums in futures markets;Bessembinder;Review of Financial Studies,1992

4. Time-varying risk premia and forecastable returns in futures markets;Bessembinder;Journal of Financial Economics,1992

5. Stock returns and the term structure;Campbell;Journal of Financial Economics,1987

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