G2TT
来源类型Discussion paper
规范类型论文
来源IDDP1313
DP1313 Forward Interest Rates as Indicators of Inflation Expectations
Paul Söderlind
发表日期1995-12-31
出版年1995
语种英语
摘要Futures exchanges raise margins in environments characterized by recent substantial increases in futures price volatility, and they raise margins in contracts that have recently shown the largest volatility increase. Volatility then tends to fall. This reduction is smaller - especially the troublesome jump component of volatility that is derived from a Poisson jump-diffusion process of futures daily returns - when the earlier margin increase is larger. The exchanges appear to raise margins when they perceive the earlier volatility increase to be more permanent. Conversely, exchanges reduce margins after an earlier decrease in volatility, but they seem anxious to reduce margins well before volatility has bottomed out. After the margin reduction, volatility continues to decline and by a greater amount for the cases when the earlier reduction in margins was larger.
主题Financial Economics
关键词Futures exchanges Jump volatility Margin requirements Metal futures Poisson process
URLhttps://cepr.org/publications/dp1313
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/530444
推荐引用方式
GB/T 7714
Paul Söderlind. DP1313 Forward Interest Rates as Indicators of Inflation Expectations. 1995.
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