Browsing by Subject "Futures"
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Item Open Access Chapter 22: Futures and options(Edward Elgar Publishing, 2023-05-18) Gürkaynak, Refet S.; Wright, Jonathan H.We survey the history, market structure, pricing and usage of futures and options contracts. We focus in particular on their ability to provide high-frequency measures of expectations, uncertainty, higher moments, and investor risk aversion. Futures and options are a rich and growing treasure trove of information to academics and policymakers alike.Item Open Access Currency derivatives and their applications in Turkey(Bilkent University, 1997) Nazlı, A. YektaAs a result of increased volatility in freely floating exchange rates, corporations and individuals were faced with currency risks after the 1970s. In order to manage these risks, new financial instruments -called derivatives- started to be used worldwide. They are currently used in a limited manner in Turkey. The main purpose of this thesis is to present the applications of over-the-counter currency derivatives in Turkey. Throughout the thesis, the reasons for lagging behind in the use of derivative instruments will be presented. Finally, policy recommendations will be made for the development of efficient currency derivatives markets.Item Open Access Market-based measures of monetary policy expectations(Taylor & Francis Inc., 2007) Gürkaynak, R. S.; Sack, B. P.; Swanson, E. T.A number of recent articles have used different financial market instruments to measure near-term expectations of the federal funds rate and the high-frequency changes in these instruments around Federal Open Market Committee announcements to measure monetary policy shocks. This article evaluates the empirical success of a variety of financial market instruments in predicting the future path of monetary policy. All of the instruments we consider provide forecasts that are clearly superior to those of standard time series models at all of the horizons considered. Among financial market instruments, we find that federal funds futures dominate all the other securities in forecasting monetary policy at horizons out to six months. For longer horizons, the predictive power of many of the instruments we consider is very similar. In addition, we present evidence that monetary policy shocks computed using the current-month federal funds futures contract are influenced by changes in the timing of policy actions that do not influence the expected course of policy beyond a horizon of about six weeks. We propose an alternative shock measure that captures changes in market expectations of policy over slightly longer horizons.Item Restricted Yenilginin ve geleceğin dili(2001) Su, Hüseyin