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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. |
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w3055.pdf(465KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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