Interest rate futures (Prices and rates)
The best tips and advice from our vast library of articles, videos, and business tools
Search Results
1-50 of 500 related articles
Items per page
Conditional time-varying interest rate risk premium:
evidence from the Treasury bill futures market.
DO INVESTORS receive a premium for bearing interest rate risk? If they do, is the premium constant or...
periodicalarticle
Abstract We investigate the effects of stochastic interest rates and jumps in the spot exchange rate on the...
periodicalarticle
The use of federal funds futures derivative contracts has grown remarkably over the past decade. Commercial banks, corporations,...
periodicalarticle
I. Introduction Many studies examine the hedging strategy of futures contracts. The traditional approach (see Johnson (1960), Stein...
periodicalarticle
I. Introduction Since the Federal Reserve began targeting money supply growth in October 1979, the effects of Fed...
periodicalarticle
Management of interest rate risk is a critical factor for the success of financial institutions and corporations. Prompted...
periodicalarticle
Two attributes of eurodollar futures make them a reasonable addition to most portfolios. First, changes in spreads between...
periodicalarticle
The eurodollar futures market is impressive in its ability to perform several tasks simultaneously. Eurodollar futures quarterly interest...
periodicalarticle
1. INTRODUCTION One of the difficulties in testing hypothesis about the term structure of interest rates is to...
periodicalarticle
HEADNOTE Option prices can be used to infer the level of uncertainty about future asset prices. The first...
periodicalarticle
(ProQuest: ... denotes formulae omitted.) James D. Hamilton This paper develops a generalization of the formulas proposed by...
periodicalarticle
Forward short-time interest rate futures for December have spiked again, an annual occurrence reflected in the 30-day interest...
periodicalarticle
Our paper reviews the roles of the Federal Funds Futures market in forecasting the federal funds rate. Statistical...
periodicalarticle
HEADNOTE Contrary to popular belief, federal funds futures rates do not tell us precisely where the market thinks...
periodicalarticle
THE EXISTING LITERATURE ON EXCHANGE RATES and monetary policy focuses on exchange rate responses on days when actual...
periodicalarticle
HEADNOTE Most traders have felt the affects of Interest rates one way or the other. It's something everyone...
periodicalarticle
ABSTRACT Stock index futures contract trading originated in the United States. One of the major financial innovations of...
periodicalarticle
HEADNOTE REPORTS OF THE UNITED STATES TAX COURT Docket Nos. 5759-95, 5956-97. Filed May 2, 2003. F, a...
periodicalarticle
THE FEDERAL FUNDS rate is of considerable interest in economics and finance, both because it defines the shortest...
periodicalarticle
Changes in interest rates directly affect anyone who borrows or lends. A benchmark interest rate is the federal...
periodicalarticle
We all know that money supply, consumer sentiment and unemployment affect inflation. But how can you capture that...
periodicalarticle
Introduction Since the introduction of the fed funds futures contract on October 3, 1988, daily fluctuations in futures...
periodicalarticle
The effect of foreign exchange market intervention on exchange rates is a subject of continuing controversy. Few doubt...
periodicalarticle
Intermarket value trading is a way to capitalize on price distortions between related markets. It blends strengths of...
periodicalarticle
HEADNOTE As liquidity grows in interest rate swap futures, traders will benefit from improved hedging and trading possibilities....
periodicalarticle
Options on CBOT fed funds futures are quite possibly the best means available to express market opinions about...
periodicalarticle
HEADNOTE Abstract The dynamic relationship linking the volatility of equity prices with "the news " and the expected...
periodicalarticle
HEADNOTE * Economists, taking a cue from currency traders, are looking at transaction-related data sets to enhance their...
periodicalarticle
THROUGH ADJUSTING the supply of reserves, a central bank can effectively control a single asset price--the short-term interest...
periodicalarticle
HEADNOTE The stability and predictability of eurodollar futures calendar spreads makes them attractive for interest rate trading strategies....
periodicalarticle
For futures contracts, option-pricing models provide a significant source of information on the market consensus regarding price movements...
periodicalarticle
HEADNOTE The Black-Scholes option pricing model gave the world of finance a way to calculate the fair price...
periodicalarticle
Report submitted to the Congress on February 13, 2001, pursuant ot section 2B of the Federal Reserve Act...
periodicalarticle
Abstract In 1990, the Federal Reserve reduced reserve requirements on large, nonpersonal time deposits and net Eurocurrency liabilities....
periodicalarticle
Romer and Romer (2000) reported that federal funds rate increases may raise expected inflation by revealing the Federal...
periodicalarticle
This paper proposes that, and explains why, hedge profits and regression approach hedge ratios should be calculated using...
periodicalarticle
Using cross rates to trade currencies While the U.S. dollar is still the most actively traded currency in...
periodicalarticle
HEADNOTE * Financial market expectations regarding future changes in the target for the overnight rate of interest are...
periodicalarticle
(ProQuest Information and Learning: ... denotes formulae omitted.) ...
periodicalarticle
So, do you have an opinion about U.S. economic conditions? Like most traders, your answer likely is yes....
periodicalarticle
HEADNOTE So, do you have an opinion about U.S. economic conditions? Like most traders, your answer likely is...
periodicalarticle
HEADNOTE The time may be right for a change of plan at the Federal Reserve. Here's one way...
periodicalarticle
This paper uses the momentum-threshold autoregressive (M-TAR) model to examine the possible asymmetric relationship between petroleum futures and...
periodicalarticle
HEADNOTE Eurodollar futures prices are listed on the CME to the tune of 40 quarterly contracts. Their close...
periodicalarticle
* Beginning in the 1990s, the short-term dynamics of the yield curve changed in ways that appear to...
periodicalarticle
HEADNOTE Information on relationships between Eurodollar futures, interest-rate swaps and Treasury yields can help with hedging and trading...
periodicalarticle
Abstract The values of quality options in Treasury futures contracts are set relative to the prices of all...
periodicalarticle
This paper provides an introduction to alternative models of uncertain commodity prices. A model of commodity price movements...
periodicalarticle
A model with costly adjustment of production and costly inventories implies that wholesale gasoline prices will respond with...
periodicalarticle
Report submitted to the Congress on July 20, 2005, pursuant to section 2B of the Federal Reserve Act...
periodicalarticle
Sponsored Links
Site Map | Contact Us | FAQs | About Us | RSS Directory | Sign Up for Free Newsletters | Disclosure Policy
Media Kit
Copyright © 1999 - 2009 AllBusiness.com, Inc. All rights reserved.
No part of this content or the data or information included therein may be reproduced,
republished or redistributed without the prior written consent of AllBusiness.com.
Use of this site is governed by our Copyright and Intellectual Property Policy, Terms of Use Agreement and Privacy Policy.
Get In-Depth Company Information from Hoover's | Buy a D&B Credit Report | What is in Your Company's D&B Credit Report?
Online Business Database | Online Business Information | Sales and Marketing Solutions | Business Mailing Lists | Company Profiles
Online Business Database | Online Business Information | Sales and Marketing Solutions | Business Mailing Lists | Company Profiles
Information and opinions on AllBusiness.com solely represent the thoughts and opinions of the authors and are not endorsed by, or reflect the beliefs of,
AllBusiness.com, its parent company D&B, and its affiliates.
AllBusiness.com, its parent company D&B, and its affiliates.
