Risk premia in energy futures markets

Energy futures markets allow transferring risk from producers or consumers to financial investors. According to the hedging pressure hypothesis, net shorts of industrial producers...

The rise in risk spreads

A risk spread is a premium for bearing economic risk of an investment, paid over and above the short-term real interest rate. Over the...

How inventory levels affect commodity futures curves and returns

A new Review of Finance article investigates the link between commodity inventories on the one hand and futures returns and curve backwardation on the...

Hints for cross-country equity strategies

An academic paper looks at cross-country relative-value equity strategies. It concludes that  relative conventional factors might create alpha and relative local country equity index returns...

Reward-risk timing

Reward-risk timing refers to methods for allocating between a risky market index and a risk-free asset. It is a combination of reward timing, based...

Ten things investors should know about nowcasting

Nowcasting in financial markets is mainly about forecasting forthcoming data reports, particularly GDP releases. However, nowcasting models are more versatile and can be used...

Modelling the relation between volatility and returns

There is evidence for a double relation between volatility and returns in equity markets. Longer-term fluctuations of volatility mostly reflect risk premiums and hence...

Nowcasting GDP growth

Financial markets have long struggled with tracking GDP growth trends in a timely and consistent fashion. However, over the past decade statistical methods for...

Why and when central banks intervene in FX markets

A new BIS paper summarizes motives and impact of FX interventions. Most importantly it looks at the conditions under which such interventions are effective...

The impact of regulatory reform on money markets

A new CGFS paper suggests that bank regulatory capital and liquidity changes may reduce liquidity in money markets, create steeper short-term yield...

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The power of macro trends in rates markets

Broad macroeconomic trends, such as inflation, economic growth, and credit creation are critical factors of shifts in monetary policy. Above-target trends support monetary tightening....

Six ways to estimate realized volatility

Asset return volatility is typically calculated as (annualized) standard deviation of returns over a sequence of periods, usually daily from close to close. However,...

Duration volatility risk premia

Duration volatility risk premium means compensation for bearing return volatility risk of an interest rate swap (IRS) contract. It is the scaled difference between...

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