Macro derivative

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Macro derivatives are derivatives that are based on macroeconomic parameters, such as the business climate , the unemployment rate or consumer confidence.

Auctions for macro derivatives were first offered in 2002 by Goldman Sachs and Deutsche Bank as part of a cooperation. After Deutsche Bank left the joint project, Goldman Sachs turned to the Chicago futures exchange CME, whose platform has been offering macro derivatives since autumn 2005.

literature

  • Michael Durica: Product Development for Electronic Derivative Exchanges. The case of the German ifo business climate index as underlying for exchange traded derivatives to hedge business cycle risk. Pro Business, Berlin 2006, ISBN 3-939533-05-X (also: Trier, Univ., Diss., 2006).