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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Autor principal:	Grigory Victorovich Korkishko
Formato:	article
Lenguaje:	EN RU
Publicado:	North-West institute of management of the Russian Presidential Academy of National Economy and Public Administration 2018
Materias:	derivatives arbitrage trading strategies inflationary expectations Political institutions and public administration (General) JF20-2112
Acceso en línea:	https://doaj.org/article/ae56e5c733044564b981510fe58594b3
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id	oai:doaj.org-article:ae56e5c733044564b981510fe58594b3
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spelling	oai:doaj.org-article:ae56e5c733044564b981510fe58594b32021-11-12T10:45:58ZEstimation of Aggregate Expectations of Economic Agents by Using Derivatives1726-11391816-8590https://doaj.org/article/ae56e5c733044564b981510fe58594b32018-04-01T00:00:00Zhttps://www.acjournal.ru/jour/article/view/506https://doaj.org/toc/1726-1139https://doaj.org/toc/1816-8590Macroeconomic 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.Grigory Victorovich KorkishkoNorth-West institute of management of the Russian Presidential Academy of National Economy and Public Administration articlederivativesarbitrage trading strategiesinflationary expectationsPolitical institutions and public administration (General)JF20-2112ENRUУправленческое консультирование, Vol 0, Iss 1, Pp 218-225 (2018)
institution	DOAJ
collection	DOAJ
language	EN RU
topic	derivatives arbitrage trading strategies inflationary expectations Political institutions and public administration (General) JF20-2112
spellingShingle	derivatives arbitrage trading strategies inflationary expectations Political institutions and public administration (General) JF20-2112 Grigory Victorovich Korkishko Estimation of Aggregate Expectations of Economic Agents by Using Derivatives
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.
format	article
author	Grigory Victorovich Korkishko
author_facet	Grigory Victorovich Korkishko
author_sort	Grigory Victorovich Korkishko
title	Estimation of Aggregate Expectations of Economic Agents by Using Derivatives
title_short	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_sort	estimation of aggregate expectations of economic agents by using derivatives
publisher	North-West institute of management of the Russian Presidential Academy of National Economy and Public Administration
publishDate	2018
url	https://doaj.org/article/ae56e5c733044564b981510fe58594b3
work_keys_str_mv	AT grigoryvictorovichkorkishko estimationofaggregateexpectationsofeconomicagentsbyusingderivatives
_version_	1718430951701217280

Estimation of Aggregate Expectations of Economic Agents by Using Derivatives

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