✦ LIBER ✦
Sources of variation in holding returns for fed funds futures contracts
✍ Scribed by James D. Hamilton; Tatsuyoshi Okimoto
- Publisher
- John Wiley and Sons
- Year
- 2011
- Tongue
- English
- Weight
- 673 KB
- Volume
- 31
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
Abstract
This study relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates. Although evidence for predictable gains from positions in short‐horizon contracts is mixed, we find that gains in longer horizon contracts can be well described using Markov‐switching models, with predictability associated with particular episodes in which economic activity was weak and variability in the returns to these contracts was quite high. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:205–229, 2011