Next Article in Journal
Safety Evaluation of Evacuation Routes in Central Tokyo Assuming a Large-Scale Evacuation in Case of Earthquake Disasters
Next Article in Special Issue
Global Hedging through Post-Decision State Variables
Previous Article in Journal
A Statistical Analysis of Cryptocurrencies
Previous Article in Special Issue
Capital Structure Arbitrage under a Risk-Neutral Calibration
Article Menu

Export Article

Open AccessArticle
J. Risk Financial Manag. 2017, 10(2), 13;

OTC Derivatives and Global Economic Activity: An Empirical Analysis

Johns Hopkins School of Advanced International Studies, The Johns Hopkins University, Washington, DC 20036, USA
Author to whom correspondence should be addressed.
Academic Editor: Donald Lien
Received: 6 April 2017 / Revised: 25 May 2017 / Accepted: 7 June 2017 / Published: 14 June 2017
(This article belongs to the Special Issue Financial Derivatives and Hedging)
Full-Text   |   PDF [1198 KB, uploaded 14 June 2017]   |  


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

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

Share & Cite This Article

MDPI and ACS Style

Bodnar, G.; Fortun, J.; Marquez, J. OTC Derivatives and Global Economic Activity: An Empirical Analysis. J. Risk Financial Manag. 2017, 10, 13.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top