The Responses of Interest Rate Spreads to Information Releases

Aggarwal, Raj, et al
Authors registered in the RePEc Author Service: Raj Aggarwal ()

Review of Quantitative Finance and Accounting, 2001, vol. 16, issue 4, pages 345-68

Abstract: This study examines the responses of three popular futures interest-rate spreads--the MOB (Municipals over Treasury bonds), the NOB (Notes over Treasury bonds), and the TED (Treasury Bills over Eurodollars) to macroeconomic news. We find responses to differ across the three spreads. The most pronounced responses are displayed by the MOB, followed by the NOB and the TED. We also find that the spreads take time to adjust to news in the announcements. Copyright 2001 by Kluwer Academic Publishers

Date: 2001

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Persistent link: http://EconPapers.repec.org/RePEc:kap:rqfnac:v:16:y:2001:i:4:p:345-68

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