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The impact of federal funds target changes on interest rate volatility

✍ Scribed by Jim Lee

Book ID
113664141
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
174 KB
Volume
15
Category
Article
ISSN
1059-0560

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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