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.
Original language | English |
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Pages (from-to) | 205-229 |
Number of pages | 25 |
Journal | Journal of Futures Markets |
Volume | 31 |
Issue number | 3 |
DOIs | |
Publication status | Published - Mar 2011 |
Externally published | Yes |