The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk

Topics:
Insurance
Tags:
Business Operations,
Corporate Governance,
Corporate Law,
Finance,
Financial Planning,
Financial Services,
Futures Rate,
Natural Gas,
Telecom & Utilities
Source:
Board of Governors of the Federal Reserve System

FREE Registration is required

Overview: Forward and futures rates are frequently used as measures of market expectations. This paper applies standard forecast efficiency tests, and some newer exact sign and rank tests, to a wide range of forward and futures rates, and in this way test whether these are in fact rational expectations of future actual prices. The forward and futures rates that the investor studies under a common methodology include foreign exchange forward rates, U.S. and foreign interest rate futures and forward rates, oil futures and natural gas futures.

(Is this item miscategorized? Does it need more tags? Let us know.)

Format: PDF | Size: 282KB | Date: Jun 2004 | Pages: 25

People who downloaded this item also downloaded

White Paper Market Research Methodology
White Paper The Risk Intelligent Energy Company
White Paper Energy Trading And Risk Management Systems
White Paper Secrets of Successful Market-Research Studies
White Paper Top 10 Market Research Mistakes

Top results from Insurance

White Paper How Should Unemployment Benefits Respond to the Business Cycle?
White Paper Consolidation and Efficiency in the Financial Sector: A Review of the International Evidence
White Paper Market Discipline in Banking Reconsidered: The Roles of Deposit Insurance Reform, Funding Manager Decisions and Bond Market Liquidity
White Paper Deposit Insurance, Bank Incentives, and the Design of Regulatory Policy
White Paper Getting a Handle on Disability Claims

» View all Insurance listings

advertisement
advertisement
  • Click Here
  • Click Here
  • Click Here
advertisement

Returning users: Log In Here!

Already registered on BNET, TechRepublic, or ZDNet? Simply log in.

Free Membership: Sign Up Now!

Sign up for a free membership today and get instant and unlimited access to one of the largest databases of white papers, webcasts, and casestudies anywhere. Your FREE membership allows you to:

  • Download an unlimited amount of content, including classic and current white papers, case studies, webcasts and more
  • Track content on your chosen topics of interest
  • Receive targeted email alerts when your favorite content is added
  • Save content for future reading
  • Receive our member newsletter

When you register to access this directory, you become a member of BNET. In addition, you allow us to share your information with companies that produce products or services featured in the library--so that such companies may contact you with information and offers regarding their products and services. This enables us to keep the library a free service. As a directory registrant, you will receive a complimentary subscription to the BNET member newsletter, The BNET Report. You can unsubscribe from this newsletter at any time. By clicking the Sign up button, you indicate that you agree to our Terms and Conditions and have read and understand our Privacy Policy (updated).