Sources of variation in holding returns for fed funds futures contracts

James D. Hamilton, Tatsuyoshi Okimoto

研究成果: Article査読

5 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)205-229
ページ数25
ジャーナルJournal of Futures Markets
31
3
DOI
出版ステータスPublished - 2011 3月
外部発表はい

ASJC Scopus subject areas

  • 会計
  • ビジネス、管理および会計一般
  • 財務
  • 経済学、計量経済学

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