Narrow search
Showing 1 - 10 of 4,166
Cover Image
A monetary policy-based explanation of swap spreads in China
Fan, Longzhen; Hou, Xin; Sun, Qian - In: The journal of futures markets 43 (2023) 11, pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
Cover Image
Three empirical essays on the informational content of financial prices
Bernoth, Kerstin - 2004
Persistent link: https://www.econbiz.de/10002524759
Cover Image
Does federal funds futures rate contain information about the treasury bill rate?
Kishor, N. Kundan; Marfatia, H. A. - In: Applied financial economics 23 (2013) 16/18, pp. 1311-1324
Persistent link: https://www.econbiz.de/10010259457
Cover Image
Fed funds futures variance futures
Filipović, Damir; Trolle, Anders B. - 2015
We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model-independent in a general setting that includes the cases...
Persistent link: https://www.econbiz.de/10011293604
Cover Image
Beyond LIBOR: money markets and the illusion of representativeness
Muchimba, Lilian; Stenfors, Alexis - In: Journal of economic issues 55 (2021) 2, pp. 565-573
Persistent link: https://www.econbiz.de/10012584194
Cover Image
The formation of interbank interest rates and treasury bill yields in Japan under different regimes of non-traditional monetary policy
Ito, Takayasu - In: The journal of corporate accounting & finance 35 (2024) 2, pp. 281-286
Persistent link: https://www.econbiz.de/10014535588
Cover Image
Die Erwartungstheorie der Zinsstruktur, Geldpolitik und zeitvariable Risikoprämien : eine empirische Analyse des Euro-DM-Geldmarktes
Wasmund, Jörn - 1999
Die umfangreiche empirische Literatur zur Gültigkeit der Erwartungstheorie der Zinsstruktur in den USA hat einen "U … werden in Kapitel 2 unterschiedliche Theorien der Zinsstruktur dargestellt und die ökonometrisch-methodischen Testansätze der … diskutiert und mittels eines multivariaten ARCH-Ansatzes zeitvariable Risikoprämien in der deutschen Zinsstruktur nachgewiesen …
Persistent link: https://www.econbiz.de/10011401950
Cover Image
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
Gospodinov, Nikolaj; Jamali, Ibrahim - In: Journal of empirical finance 19 (2012) 4, pp. 497-510
Persistent link: https://www.econbiz.de/10009615666
Cover Image
Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10013141038
Cover Image
The Impact of the Term Auction Facility on the Liquidity Risk Premium and Unsecured Interbank Spreads
Syrstad, Olav - 2016
This paper investigates the effectiveness of the Federal Reserve's Term Auction Facility (TAF) in alleviating the liquidity shortage in USD and reducing the spread between the 3-month Libor rate and the expected policy rate. I construct a proxy for the 3-month liquidity risk premium based on...
Persistent link: https://www.econbiz.de/10013006381