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- The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk
- Forward and futures rates are frequently used as measures of market expectations. This paper applies standard forecast efficiency tests, and some newer exact sign and rank tests, to a wide range of forward and futures rates, and in this way test whether these are in fact rational expectations of future...
- White papers 2004-06-01
Additional Resources
- Federal Funds Rate Prediction
- Recent research has reported that both the federal funds rate futures market and the federal funds target contain valuable information for explaining the behavior of the US effective federal funds rate. A parallel literature on interest rate modeling has recorded evidence that the dynamics of interest rates displays significant regime...
- White papers 2002-08-01
- How the Fed moves the futures; the Federal Reserve is likely to raise short-term interest rates sometime this year. Here's how to use interest rate futures to calculate when and how much the market expects the Fed to change rates and the probability for d
- Federal funds futures have evolved into one of the most important and reliable gauges of the bond market's expectations about future rate changes by the Federal Reserve. Indeed, over the last few years, in the week prior to the meeting of the Federal Federal funds futures...
- Research articles 2004-03-01
- Real-time Taylor rules and the federal funds futures market. (economist John Taylor)
- The futures funds rate has been used as a major tool for formulating monetary policies since 1982. This rate relies on data provided by the Federal Open Market Committee FOMC. Economist John Taylor presented models describing the FOMC's method of assignThe futures funds rate has been used as a major...
- Research articles 1998-09-22
- Stock Futures Mixed Ahead of Payroll Figures
- (Reuters) - U.S. stock index futures pointed to a mixed open on Wall Street on Friday as investors braced for the all-important monthly payrolls figures and unemployment rate, due at 8:30 a.m. EST. At 5:43 a.m. EST, futures for the S&P 500 were flat, Dow Jones futures were down 0.11...
- News items 2009-11-06
- Spot futures hit by rate fears, BUSINESS TIMES
- Business Times Malaysia 05-25-2000 STOCK index futures fell yesterday as fears of interest rate rises continued to hammer down markets in the US and the region. "There is volatility in the region and the Dow as well,...
- Research articles 2000-05-25
- behavior of federal funds futures prices over the monetary policy cycle, The
- The use of federal funds futures derivative contracts has grown remarkably over the past decade. Commercial banks, corporations, and other market participants use these contracts to hedge interest rate risk and to speculate on interest rate movements. In addition to acting as a useful hedging tool, the contract prices also...
- Research articles 2002-04-01
- Commodity Futures: Essential Diversifier Or Gamble On Future Oil Prices?
- The historical diversifying effect of commodity futures is often given to justify their inclusion in portfolios. While commodity futures have increased the risk-adjusted return of a stock and bond portfolio since 1970, much of this result comes from the early 1970s, a period characterized by high inflation and the soaring...
- White papers 2003-01-01
- CME joins race. (Swaps Anyone?).(plans to start trading two-, five-and 10-year swap futures contracts)(Brief Article)
- Competition for exchange-traded swaps business is heating up with the CME designing new two-, five-and 10-year swap futures contracts it plans to start trading in March. The CME joins Life and the CBOT in offering a swap product. The move is one of the few times the...
- Research articles 2002-03-01
- Turning in interest rate moves. (short-term interest rate futures)
- Forward short-time interest rate futures for December have spiked again, an annual occurrence reflected in the 30-day interest rate (or "Fed funds") contract at the Chicago Board of Trade CBOT and the one-month LIBOR London Interbank Offered Rate contract at the Chicago Mercantile Exchange CME. ...
- Research articles 1991-12-01
- Smoother way to trade interest rate swaps
- As liquidity grows in interest rate swap futures, traders will benefit from improved hedging and trading possibilities. However, to take advantage of these markets, you need to understand the relationships among futures on swaps, T-notes and Eurodollars. Electronic or automated, trading of interest rate swaps has created an...
- Research articles 2008-01-01
- Basic Strategies for Managing U.S. Dollar/Brazilian Real Exchange Rate Risk for Dollar-Denominated Investors
- Brazilian Real futures and options on futures offer a host of risk management strategies appropriate for those firms and individuals whose profit depends on the dollar/Real exchange rate. In their most basic use, these exchange traded tools permit one to lock up a prospective exchange rate or, alternatively, to protect...
- White papers 2003-05-01
- A less 'confusing' interest rate option. (options on short-term and long-term interest rates)
- A less `confusing' interest rate option Alger "Duke" Chapman, chairman of the Chicago Board Options Exchange CBOE, says retail options traders just haven't had the right vehicle for hedging their fixed-income risk or speculating on interest rate direction. The CBOE found retail investors...
- Research articles 1989-08-01
- Eurodollar/Euroyen Interest Rate Spreads vs.Japanese Yen Futures Calendar Spreads
- The article explains that trading eurodollar/euroyen interest rate futures against JY futures calendar spreads is some what complicated in that it requires a coordinated response to a dynamic set of underlying conditions. Nonetheless, because the trade is based on arbitrage pricing theory, it has the advantage of being a relatively...
- White papers 2003-01-01
- The Term Structure of Interest-Rate Futures Prices
- This paper derives general properties of two-factor models of the term structure of interest rates and, in particular, the process for futures prices and rates. Then, as a special case, we derive a no-arbitrage model of the term structure in which any two futures rates act as factors. In this...
- White papers 2001-09-14
- LIFFE & CBOT to link. (London International Financial Futures and Options Exchange; Chicago Board of Trade)
- The Chicago Board of Trade CBOT and the London International Financial Futures and Option Exchange LIFFE announced their decisions to link their respective interest rate products. Under the agreement, CBOT will list the German bund early 1996 while LIThe Chicago Board of Trade CBOT and the London International Financial Futures...
- Research articles 1995-05-01
- The 1980s: leaders rate the decade's key developments. (includes related articles)
- The 1980s: Leaders rate the decade's key developments The increasingly tangible presence of the U.S. government as a new and largely unwelcomed player in the futures industry was the major trend of the 1980s, according to futures and options industry leaders and readers responding to a...
- Research articles 1989-12-01
- Strips: Arbitraging the Eurodollar Cash and Futures Markets
- The article emphasizes that one of the most significant uses of contracts has been by arbitrageurs in the money markets that often combine cash and futures positions to create a synthetic instrument called a "strip." Many of the trades in the quarterly Eurodollar futures contracts are devoted to these strategies....
- White papers 2001-06-01
- Stock Futures Point to Drop as World Stocks Sink
- (Reuters) - Stock index futures pointed to a sharply lower open on Wall Street on Monday, mirroring a selloff in Asian and European stocks on mounting worries equities' recent surge had run ahead of the global economic recovery. At 4:59 a.m. EDT, futures for the S&P 500 were down 2.1...
- News items 2009-08-17
- Fed funds rate set to rise.
- Next Tuesday's rise in US interest rates could be the last for some time. Although economists expect the Fed funds rate to rise a quarter-point to 5.5 per cent, futures markets think this will be a peak for rates. However, Nouriel Roubini of New ... Next...
- Research articles 2006-08-04
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