he underlying asset on a Treasury-bond futures contract in the Chicago T Board of Trade (CBT) is not a real asset, but is rather a hypothetical 15-yearmaturity government bond bearing an 8% coupon. Because the contract is settled using actual government bonds, the CBT is required to establish conver
โฆ LIBER โฆ
Hedging in the treasury bill futures market when the hedged instrument and the deliverable instrument are not matched
โ Scribed by George M. McCabe; Donald P. Solberg
- Publisher
- John Wiley and Sons
- Year
- 1989
- Tongue
- English
- Weight
- 563 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
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## Abstract This study presents an empirical analysis investigating the relationship between the futures trading activities of speculators and hedgers and the potential movements of major spot exchange rates. A set of trader position measures are employed as regression predictors, including the lev