Derivatives activity and monetary policy
Trading in futures and options on short-term interest rates has grown rapidly since the turn of the millennium. This feature provides some econometric evidence on the relationship between turnover in this market and changes in policy rates, both actual and expected. The volume of trading in exchange-traded money market derivatives appears to respond mainly to changes in expectations of future interest rates, which is in line with evidence suggesting that monetary policy has become more transparent and predictable relative to the 1980s and early 1990s. Increased uncertainty about future central bank actions is also associated with higher turnover.
Volume (Year): (2006)
Issue (Month): (September)
|Contact details of provider:|| Postal: |
Phone: (41) 61 - 280 80 80
Fax: (41) 61 - 280 91 00
Web page: http://www.bis.org/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
- Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2006.
"Market-based measures of monetary policy expectations,"
Working Paper Series
2006-04, Federal Reserve Bank of San Francisco.
- Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
- Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2002. "Market-based measures of monetary policy expectations," Finance and Economics Discussion Series 2002-40, Board of Governors of the Federal Reserve System (U.S.).
- David Laster & Paul Bennett & In Sun Geoum, 1999. "Rational Bias In Macroeconomic Forecasts," The Quarterly Journal of Economics, MIT Press, vol. 114(1), pages 293-318, February.
- Shalen, Catherine T, 1993. "Volume, Volatility, and the Dispersion of Beliefs," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 405-34.
When requesting a correction, please mention this item's handle: RePEc:bis:bisqtr:0609h. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Beslmeisl)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.