The information content of aggregate data on financial futures positions

Quarterly Bulletin 2006 Q1
Published on 13 March 2006

By Caroline Mogford of the Bank's Sterling Markets Division and Darren Pain of the Bank's Foreign Exchange Division.

This article uses statistical analysis to investigate the strength of any empirical relationships between data on speculative financial futures positions and movements in asset prices. It finds strong evidence that speculative positions do indeed tend to move closely with changes in the underlying asset prices. But there is little support for the view that these positions data systematically inform about future changes in asset prices.

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