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Federal funds rate target changes and interest rate volatility

โœ Scribed by Jim Lee

Book ID
117320537
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
917 KB
Volume
54
Category
Article
ISSN
0148-6195

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๐Ÿ“œ SIMILAR VOLUMES

Options on federal funds futures and int
Options on federal funds futures and interest rate volatility
โœ Jahangir Sultan ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 440 KB

This study examines the response of the spot and futures interest rates on the fed funds, Eurodollar, and Libor to the listing of CME fed funds options. With the exception of the Libor futures, the introduction of options is associated with a decrease in the conditional volatility of the interest ra