全球智库信息集成服务系统(G2TT): Synthetic Eurocurrency Interest Rate Futures Contracts: Theory and Evidence

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w3055
来源ID	Working Paper 3055
	Synthetic Eurocurrency Interest Rate Futures Contracts: Theory and Evidence
	Annie Koh; Richard M. Levich
发表日期	1989-08-01
出版年	1989
语种	英语
摘要	In this paper, we develop a theoretical (arbitrage) pricing model for a Eurocurrency interest rate futures contract and measure its hedging effectiveness. This synthetic Eurocurrency interest rate futures contract is obtained by combining exisiting Eurodollar interest rate futures contracts with near term and far term currency futures contracts based on the covered interest rate parity relationship. In theory, the cash flows of the synthetic contract perfectly replicate the cash flows of a Eurocurrency interest rate futures contract. Our empirical results show that the synthetic contracts are relatively efficient in hedging non-dollar borrowing rates. These results have implications for the practice of hedging non-dollar interest rate risk and for the development of actual Eurocurrency interest rate futures markets.
主题	International Economics
URL	https://www.nber.org/papers/w3055
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/560332
推荐引用方式 GB/T 7714	Annie Koh,Richard M. Levich. Synthetic Eurocurrency Interest Rate Futures Contracts: Theory and Evidence. 1989.