Foreign Central Bank Activities in US Futures Markets
Raymond P. H. Fishe,
Michel Robe () and
Aaron D. Smith
Journal of Futures Markets, 2016, vol. 36, issue 1, 3-29
We analyze the daily positions of 31 foreign Central Banks in US interest rate futures markets between 2003 and 2011 for targeted hedging or informed profit‐making decisions. Central Bank positions before the financial crisis of 2007–2009 are consistent with hedging some underlying balance sheet exposure. During and after the crisis, the pattern suggests an attempt to enhance returns. In particular, Central Banks held and profited from directional positions in 5‐ and 10‐year T‐Note futures in a manner indicative of a non‐hedging strategy. We also examine whether Central Bank position changes are synchronized in the sense that they tend to occur simultaneously. We identify differences before and after the onset of the financial crisis: Euro‐linked Central Banks become more synchronized, whereas non‐European Central Banks show no significant change during the crisis. We document that Central Bank positions generally account for a small fraction of the overall size of the futures markets, so it is unlikely that these institutions' goal is to influence US interest rates. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 36:3–29, 2016
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:36:y:2016:i:1:p:3-29
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
Access Statistics for this article
Journal of Futures Markets is currently edited by Robert I. Webb
More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().