Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178593
Authors: 
Bodnar, Gordon
Fortun, Jonathan
Marquez, Jaime
Year of Publication: 
2017
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 10 [Year:] 2017 [Issue:] 2 [Pages:] 1-23
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.
Subjects: 
over the counter derivatives
economic activity
cointegration
JEL: 
C1
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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