G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w3055
来源IDWorking 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
URLhttps://www.nber.org/papers/w3055
来源智库National Bureau of Economic Research (United States)
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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.
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