Estimation of Aggregate Expectations of Economic Agents by Using Derivatives
Macroeconomic theories based on expectations of economic agents appeared at the end of the last century. There are various ways of defining these expectations, and in this paper we propose to estimate the economic expectations on the basis of official data about transactions in derivative financial...
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| Format: | Article |
| Language: | English |
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North-West institute of management of the Russian Presidential Academy of National Economy and Public Administration
2018-04-01
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| Series: | Управленческое консультирование |
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| Online Access: | https://www.acjournal.ru/jour/article/view/506 |
| _version_ | 1797290851244703744 |
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| author | Grigory Victorovich Korkishko |
| author_facet | Grigory Victorovich Korkishko |
| author_sort | Grigory Victorovich Korkishko |
| collection | DOAJ |
| description | Macroeconomic theories based on expectations of economic agents appeared at the end of the last century. There are various ways of defining these expectations, and in this paper we propose to estimate the economic expectations on the basis of official data about transactions in derivative financial instruments. Using data of trades on the Moscow stock exchange were analyzed arbitrage strategy spot-futures and futures-futures for the purpose of estimating inflation expectations of investors. To assess suggestions about the stability of the economy were considered options on futures on the RTS index and the volatility index, and the instability in some commodity markets is proposed to evaluate the open interest on futures. |
| first_indexed | 2024-03-07T19:28:11Z |
| format | Article |
| id | doaj.art-ae56e5c733044564b981510fe58594b3 |
| institution | Directory Open Access Journal |
| issn | 1726-1139 1816-8590 |
| language | English |
| last_indexed | 2024-03-07T19:28:11Z |
| publishDate | 2018-04-01 |
| publisher | North-West institute of management of the Russian Presidential Academy of National Economy and Public Administration |
| record_format | Article |
| series | Управленческое консультирование |
| spelling | doaj.art-ae56e5c733044564b981510fe58594b32024-02-29T09:36:05ZengNorth-West institute of management of the Russian Presidential Academy of National Economy and Public AdministrationУправленческое консультирование1726-11391816-85902018-04-0101218225506Estimation of Aggregate Expectations of Economic Agents by Using DerivativesGrigory Victorovich Korkishko0Saint-Petersburg Economics and Mathematics Institute of the Russian Academy of SciencesMacroeconomic theories based on expectations of economic agents appeared at the end of the last century. There are various ways of defining these expectations, and in this paper we propose to estimate the economic expectations on the basis of official data about transactions in derivative financial instruments. Using data of trades on the Moscow stock exchange were analyzed arbitrage strategy spot-futures and futures-futures for the purpose of estimating inflation expectations of investors. To assess suggestions about the stability of the economy were considered options on futures on the RTS index and the volatility index, and the instability in some commodity markets is proposed to evaluate the open interest on futures.https://www.acjournal.ru/jour/article/view/506derivativesarbitrage trading strategiesinflationary expectations |
| spellingShingle | Grigory Victorovich Korkishko Estimation of Aggregate Expectations of Economic Agents by Using Derivatives Управленческое консультирование derivatives arbitrage trading strategies inflationary expectations |
| title | Estimation of Aggregate Expectations of Economic Agents by Using Derivatives |
| title_full | Estimation of Aggregate Expectations of Economic Agents by Using Derivatives |
| title_fullStr | Estimation of Aggregate Expectations of Economic Agents by Using Derivatives |
| title_full_unstemmed | Estimation of Aggregate Expectations of Economic Agents by Using Derivatives |
| title_short | Estimation of Aggregate Expectations of Economic Agents by Using Derivatives |
| title_sort | estimation of aggregate expectations of economic agents by using derivatives |
| topic | derivatives arbitrage trading strategies inflationary expectations |
| url | https://www.acjournal.ru/jour/article/view/506 |
| work_keys_str_mv | AT grigoryvictorovichkorkishko estimationofaggregateexpectationsofeconomicagentsbyusingderivatives |