Recent research reports significant differences between Eurodollar futures and forward interest rates. In this paper, we document that the futures-forward yield difference was economically and statistically significant only in the early years of the Eurodollar futures contract. The difference...

Past research explains observed spreads between futures and forward Eurodollar yields as being due to the futures contract's mark-to-market feature. The authors derive closed-form solutions for this yield spread and show that, theoretically, it should be small. Also, differences in liquidity,...