Futures Commitments and Exchange Rate Volatility
利用细分持仓数据，研究不同类型期货交易者的活动对汇率波动的影响，发现大投机者和小交易者的持仓激增会加剧汇率波动，但持仓数据的发布本身不影响即期价格。
It is commonly suggested that certain groups of futures traders, such as speculators and small traders, exacerbate cash market volatility. Empirical research on the subject has been conducted in context of the relationship between price volatility and futures volume or open interest and fails to satisfactorily resolve such an issue. This paper examines the relationship between exchange rate variability and futures trading activity in the context of disaggregated open interest. The data and techniques employed allow for more specific inferences regarding which group of traders contribute to exchange volatility. The results suggest that while ‘typical’ levels of futures commitments are not destabilizing, surges in the level of commitments of large speculators and small traders causes exchange rate volatility. The actual release of the commitment‐of‐traders data, however, has no impact on spot prices.