Business Cycle Forecasts and Futures Volatility

dc.contributor.author Belhaj, Hanene
dc.contributor.author Larbi, Dorra
dc.date.accessioned 2022-04-26T07:27:39Z
dc.date.available 2022-04-26T07:27:39Z
dc.date.copyright © 2017
dc.date.issued 2017
dc.description This conference paper is not available at CUD collection. The version of scholarly record of this paper is published in Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy. Springer Proceedings in Business and Economics (2017), available online at: https://doi.org/10.1007/978-3-319-43434-6_63 en_US
dc.description.abstract This chapter assesses the extent to which the US business cycle is affected by fluctuations in futures price while controlling for other macroeconomic and financial variables. We examine the usefulness of futures volatility to predict whether or not the US economy will be in a recession. Our study builds on two research veins. The first is comprised of many studies that attempt to predict business cycles by using a range of economic variables. Many of these studies emphasize the role of financial variables in macroeconomic forecasts (Estrella and Mishkin, Review of Economics and Statistics, 80(1):45–61, 1998). This role has been certainly exacerbated during the recent financial crisis of 2007–2009. The second vein originates within the literature which widely recognizes the role of financial variables such as prices of financial instruments as leading indicators (Estrella and Mishkin, Review of Economics and Statistics, 80(1):45–61, 1998). In US data for example, equity returns and the short-term interest lead GDP growth by one or two quarters (Backus et al., Asset prices in business cycle analysis (manuscript), 2007). Commodities, combined with stocks, are one of these financial instruments that were involved in the macroeconomic forecasts. Our study examines futures volatility as predictors of US recessions. The volatility of this instrument could be an indicator of the economic situation. This study aims at either confirming or invalidating that periods of economic downturns are characterized by a high volatility in the index futures market. © 2017, Springer International Publishing Switzerland. en_US
dc.identifier.citation Belhaj, H. & Larbi, D. (2017). Business Cycle Forecasts and Futures Volatility. In: R. Benlamri & M. Sparer (Eds.) Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy. Springer Proceedings in Business and Economics, (pp. 713 – 720). Springer, Cham. https://doi.org/10.1007/978-3-319-43434-6_63 en_US
dc.identifier.isbn 978-331943433-9
dc.identifier.issn 21987246
dc.identifier.uri https://doi.org/10.1007/978-3-319-43434-6_63
dc.identifier.uri http://hdl.handle.net/20.500.12519/558
dc.language.iso en en_US
dc.publisher Springer Science and Business Media B.V. en_US
dc.relation Authors Affiliations : Ghazal, T.M., Skyline University College, Sharjah, United Arab Emirates, Universiti Kebangsaan Malaysia (UKM), Bangi, Malaysia; Taleb, N., MIT, Canadian University Dubai, Dubai, United Arab Emirates
dc.relation.ispartofseries Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy. Springer Proceedings in Business and Economics;
dc.rights License to reuse the abstract has been secured from Springer Nature and Copyright Clearance Center.
dc.rights.holder Copyright : © 2017, Springer International Publishing Switzerland.
dc.rights.license License Number: 5277470452729 License date: Mar 28, 2022
dc.rights.uri https://s100.copyright.com/CustomerAdmin/PLF.jsp?ref=f9e6c048-789e-47b2-8b46-040a4b413458
dc.subject Business cycle en_US
dc.subject Index futures volatility en_US
dc.subject Macroeconomic forecasts en_US
dc.title Business Cycle Forecasts and Futures Volatility en_US
dc.type Conference Paper en_US
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