Article1996

The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures

153 citations0/0 files storedJournal of money credit and banking

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

This paper considers an equilibrium model of the term structure that is determined by two stochastic factors: a short-term interest rate and a target level to which the short rate is expected to revert. A Kalman filter technique that uses a time series, cross-section of Eurodollar futures prices is developed to estimate the parameters of the model. The term structures of spot LIBOR and Eurodollar futures volatility are compared to that predicted by the model. The empirical results indicate that the two-factor specification represents a significant improvement over its one-factor version. Copyright 1996 by Ohio State University Press.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 153 citations exist upstream.

References

1977An equilibrium characterization of the term structure 1980On estimating the expected return on the market 1990Pricing Interest-Rate-Derivative Securities 1991Common Factors Affecting Bond Returns 1991Interest rates and the conduct of monetary policy 1994Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model 1995Federal Reserve interest rate targeting, rational expectations, and the term structure 1988The information in forward rates

Cited by

1998The Central Tendency: A Second Factor in Bond Yields 2005Monitoring and Controlling Bank Risk: Does Risky Debt Help?2003Nonlinear Mean Reversion in the Short-Term Interest Rate 2008Identification of Maximal Affine Term Structure Models 2005The Term Structure of Announcement Effects 2004Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.