Artikel
OTC derivatives and global economic activity: An empirical analysis
That the global market for derivatives has expanded beyond recognition is well known. What is not know is how this market interacts with economic activity. We provide the first empirical characterization of interdependencies between OECD economic activity and the global OTC derivatives market. To this end, we apply a vector-error correction model to OTC derivatives disaggregated across instruments and counterparties. The results indicate that with one exception, the heterogeneity of OTC contracts is too pronounced to be reliably summarized by our measures of economic activity. The one exception is interest-rate derivatives held by Other Financial Institutions.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 10 ; Year: 2017 ; Issue: 2 ; Pages: 1-23 ; Basel: MDPI
- Klassifikation
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Management
- Thema
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over the counter derivatives
economic activity
cointegration
- Ereignis
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Geistige Schöpfung
- (wer)
-
Bodnar, Gordon
Fortun, Jonathan
Marquez, Jaime
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
-
2017
- DOI
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doi:10.3390/jrfm10020013
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Bodnar, Gordon
- Fortun, Jonathan
- Marquez, Jaime
- MDPI
Entstanden
- 2017
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