𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Testing for effective market supervision of New Zealand banks

✍ Scribed by M.L. McIntyre; David Tripe; Xiaojie (Jeff) Zhuang


Book ID
116647847
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
220 KB
Volume
5
Category
Article
ISSN
1572-3089

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## Abstract This paper examines pricing and arbitrage opportunities in the New Zealand bank bill futures market using an intraday data set. The key findings are: (a) the implied forward rate model yields biased estimates of the bill futures yield but the bias is small and not economically significa