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Economic derivatives

Author

Listed:
  • Blaise Gadanecz
  • Richhild Moessner
  • Christian Upper

Abstract

Economic derivatives allow traders to take direct positions on the outcomes of macroeconomic data releases. In contrast to survey-based measures, the prices of economic derivatives provide information on the entire probability distribution underlying these expectations, not just point estimates. Measures for uncertainty derived from such distributions offer valuable information on how uncertainty about the economy evolves and affects financial markets.

Suggested Citation

  • Blaise Gadanecz & Richhild Moessner & Christian Upper, 2007. "Economic derivatives," BIS Quarterly Review, Bank for International Settlements, March.
    • Handle: RePEc:bis:bisqtr:0703h
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    References listed on IDEAS

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    Cited by:

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    2. Xin Huang, 2018. "Macroeconomic news announcements, systemic risk, financial market volatility, and jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 513-534, May.

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    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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