OTC Derivatives and Global Economic Activity: An Empirical AnalysisReport as inadecuate


OTC Derivatives and Global Economic Activity: An Empirical Analysis


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Johns Hopkins School of Advanced International Studies, The Johns Hopkins University, Washington, DC 20036, USA





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Academic Editor: Donald Lien

Abstract That the global market for derivatives has expanded beyond recognition is well known. What is not know is how this market interacts with economic activity. We provide the first empirical characterization of interdependencies between OECD economic activity and the global OTC derivatives market. To this end, we apply a vector-error correction model to OTC derivatives disaggregated across instruments and counterparties. The results indicate that with one exception, the heterogeneity of OTC contracts is too pronounced to be reliably summarized by our measures of economic activity. The one exception is interest-rate derivatives held by Other Financial Institutions. View Full-Text

Keywords: over the counter derivatives; economic activity; cointegration over the counter derivatives; economic activity; cointegration





Author: Gordon Bodnar, Jonathan Fortun and Jaime Marquez *

Source: http://mdpi.com/



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