Results 211 to 220 of about 12,016 (264)
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Term Premium in Interest Rate Futures
SSRN Electronic Journal, 2012This paper evaluates returns from capturing term premium using interest rate futures across eight major currencies, with a focus on USD. We show that the implied future yield from interest rate futures tends to overestimate the realized short term interest rate and this premium can be captured by establishing and rolling long positions in futures ...
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Immunizing Bond Portfolios with Interest Rate Futures
Financial Management, 1982* The concept of duration has attained a significant place in the finance literature since its introduction by Macaulay more than forty years ago.' During the same time, duration has attained unparalleled acceptance as a practical technique for the management of bond portfolio risk.2 Because of the important role of duration in bond portfolio ...
Robert W. Kolb, Gerald D. Gay
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Forward and Futures Prices with Markovian Interest-Rate Processes
The Journal of Business, 1994The authors derive a closed-form expression for the differences between forward and futures prices in the framework of a Lucas equilibrium model. They calculate this difference for fixed income securities in two ways: using historic interest-rate data to calibrate the matrix of nominal state prices and testing a large sample of randomly generated state
Benninga, Simon, Protopapadakis, Aris
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Market Incompleteness and Divergences Between Forward and Futures Interest Rates
The Journal of Finance, 1980A PRESIDENTIAL ADDRESS IS a solemn ceremonial event. The words should perhaps be sung rather than recited. Not being in very good voice, I intend to give the shortest presidential address in AFA history. The presidential address is 1600 Pennsylvania Avenue, N.W. In the rest of the time allotted to me, I profess only to deliver a paper.
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Options on short-term interest rate futures [PDF]
, 1986 An abstract for this article is not ...
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INTEREST RATES, EXPECTED FUTURE DEFICITS AND TAX PROPOSALS
Economic Inquiry, 1991Several recent publications have presented evidence suggesting a negative wealth effect in response to federal deficits. This paper investigates the hypothesis that rational economic agents use the legislative process to forecast the future path of federal deficits and then act on that information. A tax legislation variable, included in a reduced form
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The Impact of Exchange Rate Futures Fluctuations on Macroeconomy: Evidence from Ten Trading Market
Emerging Markets Finance and Trade, 2022Chun-Ping Chang
exaly