Sources of Variation in Holding Returns for Fed Funds Futures Contracts

Date

2011

Authors

Hamilton, James
Okimoto, Tatsuyoshi

Journal Title

Journal ISSN

Volume Title

Publisher

John Wiley & Sons Inc

Abstract

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 contracts was quite high. � 2010 Wiley Periodicals, Inc.

Description

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Citation

Source

Journal of Futures Markets

Type

Journal article

Book Title

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Access Statement

License Rights

DOI

10.1002/fut.20473

Restricted until

2037-12-31