| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15736 |
| 来源ID | Working Paper 15736 |
| Sources of Variation in Holding Returns for Fed Funds Futures Contracts | |
| James D. Hamilton; Tatsuyoshi Okimoto | |
| 发表日期 | 2010-02-11 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w15736 |
| 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/573410 |
| 推荐引用方式 GB/T 7714 | James D. Hamilton,Tatsuyoshi Okimoto. Sources of Variation in Holding Returns for Fed Funds Futures Contracts. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15736.pdf（779KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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