Hedging Performance of GNMA Futures under Rising and Falling Interest Rates

Article Abstract:

The Government National Mortgage Associaton (GNMA) market in futures is analyzed. The impact of minimum-risk hedge ratios varies with certain market climates. Optimum size of futures placement is assessed with regard to interest rate movement and the alteration of Federal Reserve strategy in 1979. Mortgage bankers can decrease risk linked to interest rates by GNMA futures sales. Pension funds and banks with mortgages can use GNMA futures sales to offset temporary losses in principal. Cash hedging positions can be useful in accordance with the size of the position and certain price and value correlates. Tables of statistics from one week in 1977 and 1980 are featured in this research. Ordinary least squares regression is used to find probabilities of hedging effectiveness.

Banking industry, Economic aspects, Interest rates, Mortgages

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Allocating Nonreported Futures Commitments

Article Abstract:

Policy analysis and contract market assessment give need to user identification and the classification of commodity futures commitments. The utility of futures market as economic function indicators is best only when an efficacious classification scheme functions. At present, the Commodities Futures Trading Commission (CFTC) has monthly classifications of traders with sizeable interests. Short and long positions are featured in those classifications. The CFTC has also started reporting the market shares of the biggest traders in different contract markets. Tables of statistical data for average futures commitments are included. Results of methodology based on estimated parameters, numerical weighting methods, and relative allocation problems are discussed.

Measurement, Economic policy, Examinations, Educational tests, Resource allocation, Commodities

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Equally open and competitive: regulatory approval of automated trade execution in the futures market

Article Abstract:

A technical review on the legal and economic problems encountered in defining a futures market using a computer is presented. The open outcry trading system performs well or better than the Globex trading systems in terms of measures relating to competiitve surplus. Globex also exhibits lower volatility with respect to the transactions prices and the rate at which volatility declines is faster in Globex. The automated trade execution systems prforms better than Globex in terms of liquididyt measures.

Forecasts and trends, Information technology, Futures market, Futures markets, Technology application, Futures

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