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More Attention to Macroeconomic Risks and Better Forecasting of Energy Volatility 关注宏观经济风险，做好能源波动预测
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-03-10 Epub Date: 2026-01-11 DOI: 10.1002/fut.70079
Zhiping Zhou, Kai Wang
{"title":"More Attention to Macroeconomic Risks and Better Forecasting of Energy Volatility","authors":"Zhiping Zhou,&nbsp;Kai Wang","doi":"10.1002/fut.70079","DOIUrl":"https://doi.org/10.1002/fut.70079","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper introduces a new energy volatility-aligned macroeconomic attention index, constructed via partial least squares to filter noise from existing macroeconomic attention proxies and enhance forecasting accuracy. The proposed index demonstrates robust in-sample and out-of-sample predictive power for energy commodity volatility—across the energy index and its six components—over horizons up to 6 months. This predictability remains statistically significant after extensive robustness checks. Furthermore, the index delivers economically meaningful utility gains for mean–variance investors. Overall, this study sheds new light on energy commodity volatility's prediction from the perspective of macroeconomic fundamentals.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 4","pages":"738-753"},"PeriodicalIF":2.3,"publicationDate":"2026-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147564812","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Energy-Related Discussion in Fed Speeches and Options-Implied Equity Risk Premium 美联储讲话和期权隐含股票风险溢价中与能源相关的讨论
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-03-10 Epub Date: 2026-01-02 DOI: 10.1002/fut.70078
Alok Dixit, Sanchit Jain, Brian Lucey, Jalaj Pathak
{"title":"Energy-Related Discussion in Fed Speeches and Options-Implied Equity Risk Premium","authors":"Alok Dixit,&nbsp;Sanchit Jain,&nbsp;Brian Lucey,&nbsp;Jalaj Pathak","doi":"10.1002/fut.70078","DOIUrl":"https://doi.org/10.1002/fut.70078","url":null,"abstract":"<div>\u0000 \u0000 <p>Using options-implied equity risk premium, this study examines how financial markets price the uncertainty associated with the energy-related discussions in Federal Reserve speeches. The study quantifies key aspects of such discussions and examines their impact on the equity risk premium and market volatility. Our findings demonstrate that the proportion of energy-related content in Fed speeches is positively associated with both ERP and market volatility. We uncover that a dovish tone in these discussions mitigates the uncertainty surrounding energy-related concerns and reduces market volatility. These findings highlight the importance of energy-related communication in Fed speeches—an understudied channel of Fed communication.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 4","pages":"719-737"},"PeriodicalIF":2.3,"publicationDate":"2026-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147562494","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Watching the FedWatch 关注美联储观察
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-03-10 Epub Date: 2025-12-24 DOI: 10.1002/fut.70077
Stefano Bonini, Shengyu Huang, Majeed Simaan
{"title":"Watching the FedWatch","authors":"Stefano Bonini,&nbsp;Shengyu Huang,&nbsp;Majeed Simaan","doi":"10.1002/fut.70077","DOIUrl":"https://doi.org/10.1002/fut.70077","url":null,"abstract":"<div>\u0000 \u0000 <p>The popularity of monetary policy prediction trackers has increased rapidly, and yet, their properties remain understudied. We examine the performance of the most widely used model, the CME FedWatch, and show that it provides strong predictive accuracy, generates considerable economic value, and contributes toward reducing market uncertainty. This model predicts FOMC rate decisions with 88% accuracy 30 days prior to meetings, exceeding the 75% accuracy of Fed funds futures. This prediction improvement translates into significant economic gains when trading at a meeting level. FedWatch popularity is associated with lower uncertainty ahead of FOMC meetings, which in turn mitigates the pre-FOMC drift.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 4","pages":"675-697"},"PeriodicalIF":2.3,"publicationDate":"2026-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147568607","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 46, Number 4, April 2026 期货市场杂志：第46卷，第4期，2026年4月
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-03-10 DOI: 10.1002/fut.70100
{"title":"Journal of Futures Markets: Volume 46, Number 4, April 2026","authors":"","doi":"10.1002/fut.70100","DOIUrl":"https://doi.org/10.1002/fut.70100","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 4","pages":""},"PeriodicalIF":2.3,"publicationDate":"2026-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70100","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147564710","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Overnight Reversals of Implied Higher Moments and Their Put-Call Spreads 隔夜隐含高点反转及其看跌期权价差
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-03-10 Epub Date: 2025-12-29 DOI: 10.1002/fut.70072
Geul Lee, Doojin Ryu
{"title":"Overnight Reversals of Implied Higher Moments and Their Put-Call Spreads","authors":"Geul Lee,&nbsp;Doojin Ryu","doi":"10.1002/fut.70072","DOIUrl":"https://doi.org/10.1002/fut.70072","url":null,"abstract":"<div>\u0000 \u0000 <p>We examine whether overnight reversals extend beyond spot and option returns to option-implied higher moments and associated put-call spreads. Implied moments and their put-call spreads exhibit significant overnight reversals that are largely independent, with limited spillovers across variables. Reversals in underlying returns and implied volatility are asymmetric, unlike higher moments and put-call spreads. When examined separately, moments implied by calls and by puts both reverse, interacting to generate reversals in put-call spreads for all three moments. These findings highlight that overnight reversals in options markets are multidimensional, reflecting contract-level differences across strikes and option types.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 4","pages":"698-718"},"PeriodicalIF":2.3,"publicationDate":"2026-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147570241","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross-Currency Basis 美元的双重生命：并不是所有的美元升值在跨货币基础上都是平等的
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-03-10 Epub Date: 2026-01-26 DOI: 10.1002/fut.70081
Daniel Felix Ahelegbey, Oyakhilome Wallace Ibhagui, Florian Gerth
{"title":"The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross-Currency Basis","authors":"Daniel Felix Ahelegbey,&nbsp;Oyakhilome Wallace Ibhagui,&nbsp;Florian Gerth","doi":"10.1002/fut.70081","DOIUrl":"https://doi.org/10.1002/fut.70081","url":null,"abstract":"<p>This paper revisits the relationship between the US dollar and cross-currency basis (XCB) swap spreads. We show that the strength and direction of this relationship depend on the prevailing regime of the broad dollar. The evidence suggests that the well-documented “dollar appreciates, basis widens” result holds primarily when the dollar is in a low or intermediate regime. However, once the dollar transitions into a high regime, this association either weakens or reverses: a stronger dollar no longer widens the basis and may tighten it. Our findings reveal that not all dollar appreciations are created equal. For the same magnitude of dollar appreciation, basis spreads tend to widen significantly more in low- or intermediate-dollar regimes than in high-dollar regimes. We explain these results through a theoretical framework grounded in hedging demand and supply imbalances and validate them empirically using the term structure of XCB swap spreads of G10 currencies.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 4","pages":"754-772"},"PeriodicalIF":2.3,"publicationDate":"2026-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70081","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147569786","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Gold Jump Risk, Rare Macroeconomic Disaster Probability, and Expected Stock Returns 黄金跳跃风险、罕见宏观经济灾难概率与股票预期收益
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-03-10 Epub Date: 2025-12-24 DOI: 10.1002/fut.70074
Nima Ebrahimi, Stephen P. Ferris
{"title":"Gold Jump Risk, Rare Macroeconomic Disaster Probability, and Expected Stock Returns","authors":"Nima Ebrahimi,&nbsp;Stephen P. Ferris","doi":"10.1002/fut.70074","DOIUrl":"https://doi.org/10.1002/fut.70074","url":null,"abstract":"<div>\u0000 \u0000 <p>We derive a model-free index that serves as a proxy for the time-varying probability of rare macroeconomic disasters by extracting risk-neutral jump information from options on gold futures. Based on gold serving as a safe haven during extreme market events (Baur and McDermott 2010; Ming et al. 2023), we isolate the jump component of gold options prices to capture tail-risk-driven safe-haven demand. We establish the macroeconomic foundations of the index by demonstrating that it responds to fundamental economic conditions and predicts key macroeconomic indicators. The index exhibits strong predictive power for stock returns across multiple horizons. The index captures safe-haven demand for gold, which spikes when investors perceive elevated disaster risk. The index exhibits persistent variation in risk and serves as a proxy for key economic state variables. Our index predicts future stock returns, explains variations in the cross-section of stock returns, and shows significant correlations with option-based tail risk measures.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 4","pages":"653-674"},"PeriodicalIF":2.3,"publicationDate":"2026-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147568611","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 46, Number 3, March 2026 期货市场杂志：第46卷，第3期，2026年3月
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-02-07 DOI: 10.1002/fut.70086
{"title":"Journal of Futures Markets: Volume 46, Number 3, March 2026","authors":"","doi":"10.1002/fut.70086","DOIUrl":"https://doi.org/10.1002/fut.70086","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 3","pages":""},"PeriodicalIF":2.3,"publicationDate":"2026-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70086","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146139621","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 46, Number 2, February 2026 期货市场杂志：第46卷，第2期，2026年2月
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2026-01-09 DOI: 10.1002/fut.70080
{"title":"Journal of Futures Markets: Volume 46, Number 2, February 2026","authors":"","doi":"10.1002/fut.70080","DOIUrl":"https://doi.org/10.1002/fut.70080","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 2","pages":""},"PeriodicalIF":2.3,"publicationDate":"2026-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70080","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145941787","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Generalized Error Distribution-Copula Framework for Pricing Chinese Treasury Bond Futures With Embedded Options 嵌入期权的中国国债期货定价的广义误差分布-联结框架
IF 2.3 4区 经济学
Journal of Futures Markets Pub Date : 2025-12-19 DOI: 10.1002/fut.70067
Xiaofeng Yang
{"title":"A Generalized Error Distribution-Copula Framework for Pricing Chinese Treasury Bond Futures With Embedded Options","authors":"Xiaofeng Yang","doi":"10.1002/fut.70067","DOIUrl":"https://doi.org/10.1002/fut.70067","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates the pricing of complex embedded options—quality, rolling timing, and month-end timing options—in China's Treasury bond futures market. We develop an innovative pricing model that integrates the generalized error distribution (GED) and Copula functions, specifically designed to capture the unique dependencies arising from institutional coordination. The framework models “valuation deviations”—discrepancies between actual closing prices and ChinaBond valuations—using GED marginals, while the Student's <i>t</i>-Copula explicitly captures symmetric heavy-tailed dependence patterns induced by coordinated institutional behavior. Empirical analysis demonstrates that the model achieves superior pricing accuracy compared to traditional approaches by effectively capturing policy-shaped joint distribution characteristics. Furthermore, we introduce a policy adjustment term to account for systematic mispricing during periods of strong policy guidance, further enhancing the model's robustness. This research provides a reliable valuation benchmark tailored to constrained market structures and advances pricing theory for derivatives markets influenced by institutional and policy factors.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 3","pages":"604-624"},"PeriodicalIF":2.3,"publicationDate":"2025-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146139826","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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