What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices
By Harrison G. Hong, Motohiro Yogo. 2012
383 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6fa154a1d3c2bfcfc466e4c827c2fdb707128681
How researchers see this paper
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In Economics and Econometrics
- Lutz Kilian
- B. Fattouh
- Lavan Mahadeva
- Kenneth J. Singleton
- Antonio Gargano
- Neil D. Pearson
- Brian J. Henderson
- Li Wang
In Finance
- Lutz Kilian
- Neil D. Pearson
- Brian J. Henderson
- Li Wang
- B. Fattouh
- Lavan Mahadeva
- Antonio Gargano
- Bryan T. Kelly
Citations in the corpus
- An Anatomy of Commodity Futures Risk Premia (2014, positive): “Open Interest: Following Hong and Yogo (2012) we use the total open interest in a futures market.”
- The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013, positive): “In related work, Hong and Yogo (2012) show that under the assumption of limited risk absorption capacity in futures market, the change in open interest constitute a more reliable signal about future economic activity and asset prices than the oil futures price.”
- Investor Flows and the 2008 Boom/Bust in Oil Prices (2014, background): “27 For a broad set of commodities, Hong and Yogo (2012) find a strong positive relationship between open interest and subsequent returns on futures positions.”
- The Skewness of Commodity Futures Returns (2018, neutral): “We augment the baseline commodity pricing model (featuring the EWt, TSt, Momt and HPt factors) with a set of factors that is deemed to explain the pricing of commodity futures (Hong and Yogo, 2012; Asness et al., 2013; Szymanowska et al., 2014).”
- A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets (2019, neutral): “…even if the distinction is not always clear.7 In Section 6, we conduct a robustness 7 For example, see Houthakker (1957), Rockwell (1967), Chang (1985), Bessembinder (1992), DeRoon et al. (2000), Moskowitz, Ooi, and Pederson (2012), Hong and Yogo (2012), Acharya, Lochstoer, and Ramadorai (2013).”
- Forecasting commodity price indexes using macroeconomic and financial predictors (2014, background): “Hong and Yogo (2012) find evidence of limited in-sample predictability of returns on commodity futures.”
- New Evidence on the Financialization of Commodity Markets (2015, background): “” Hong and Yogo (2012) rely on similar reasoning in arguing that inelastic demand for futures positions can explain their finding that open interest predicts subsequent changes in futures prices.”
- Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, background): “In the banking literature, Houston, James and Marcus (1997) , Houston and James (1998) , and de Haas and van Lelyveld (2010) present evidence to this effect.”