Journal of Futures Markets最新文献

Class III milk futures cash-settle to an administered price based on weekly component prices, creating a predictable within-month flow of settlement-relevant information. This paper studies drivers of cross-month variation in realized volatility in this formula-settled market. We separate volatility associated with upstream feed-cost and milk-supply conditions, downstream dairy-product markets, USDA public information releases, processing-related ambiguity, and market participation. Processing-related ambiguity is uncertainty about how public dairy-market signals translate into formula-settled payoffs when processing capacity, inventories, product allocation, and logistics are only partially characterized in public reports. We construct a narrative measure from USDA Livestock, Dairy, and Poultry Outlook reports and distinguish it from observable public information using release-date-aligned innovations from major USDA dairy reports. Triple-IV 3SLS estimates show that processing-related ambiguity remains an economically important predictor of realized volatility after conditioning on fundamentals and broader USDA information. Weekly release-timing specifications show stronger ambiguity effects when commercial short-side participation is elevated.

This paper studies the shape of zero and par yield curves through the carry and convexity of zero-bond and par–swap butterflies under instrument-based parallel shifts: the component instruments are held fixed, and each instrument's own quote receives the same additive shock. Although this framework is a conditional scenario experiment rather than a model-independent restriction on admissible yield-curve shapes, it is simple and widely used in fixed-income risk management. For zero-coupon bonds, maturity is the natural horizontal coordinate; for par–swaps, the nonlinear bootstrap relation makes the fixed-leg annuity, or PV01, the relevant coordinate. Under the stated instrument-based evolution rule, an appropriately weighted zero-cost butterfly has a nonnegative instantaneous revaluation under either direction of an admissible common shift, while convexity of the initial curve in the relevant coordinate also generates positive short-horizon carry. These results provide a partial economic rationale for the commonly observed concavity of yield curves: convex segments can support positive-carry, level-neutral butterflies under the benchmark shift convention. We then examine daily US dollar par–swap rates from July 3, 2000 to October 28, 2016. The data are obtained from the Federal Reserve Bank of St. Louis FRED database. The empirical results show that convexity is more frequently detected in annuity coordinates than under maturity weighting and is concentrated primarily at the front end of the curve. Realized short-horizon movements are seldom instrument-parallel, and the gross advantage of convex butterflies is substantially reduced by nonlevel curve movements and transaction costs. The evidence, therefore, supports the use of annuity coordinates for constructing and evaluating swap butterflies, while also showing that the benchmark parallel-shift scenario should be interpreted as a risk-management device rather than as a description of typical realized curve dynamics.

This paper estimates a model where variance risk premiums (VRP) is not fully explained by equity risk premiums (ERP). This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk-neutralization is compatible with continuous-time settings. We document that volatility index (VI) term structures, VI futures, and equity options, could be highly sensitive to changes in VRP. When the model is jointly estimated a consistent and sizable VRP emerges; suggesting that joint estimation with VI futures has an edge based on total likelihood and numerical advantage.

Structured retail products are unsecured bonds subject to the default risk of the issuer. We analyze the price-setting policy of issuers with respect to this default risk. Using a long-term data set of discount certificates in the German market, we apply a time series IVX-approach to find that (i) quoted prices do depend on issuer default risk, but (ii) this dependency is under-proportional. Hence, retail investors are only partially compensated for bearing issuer default risk. A long-term analysis covering the global financial crisis, the European debt crisis, and the succeeding calm period, as well as supporting evidence from the coronavirus crisis, provides patterns consistent with a fading attention hypothesis: When default risk has left the focus of retail investors, they are no longer compensated for it, even if it becomes substantial, as in the early months of the coronavirus crisis.