Sources of Variation in Holding Returns for Fed Funds Futures Contracts
收藏NBER2010-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15736
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2010-02-01
