Sources of variation in holding returns for Fed funds futures contracts
by James D. Hamilton
"This paper 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"--National Bureau of Economic Research web site.
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Sources of variation in holding returns for Fed funds futures contracts
2010, National Bureau of Economic Research
Electronic resource
in English
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Title from PDF file as viewed on 3/16/2010.
Includes bibliographical references.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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| September 25, 2020 | Edited by MARC Bot | import existing book |
| February 10, 2019 | Created by MARC Bot | import existing book |