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Sources of Variation in Holding Returns for Fed Funds Futures Contracts

Hamilton, James; Okimoto, Tatsuyoshi

Description

This study 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...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/29300
Source: Journal of Futures Markets
DOI: 10.1002/fut.20473

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