 Long memory testing for Fed Funds Futures’ contractsSergio R. Souza, Benjamin Tabak and Daniel Cajueiro Chaos, Solitons & Fractals, 2008, vol. 37, issue 1, 180-186 Abstract: In this paper, the evaluation of the long memory in returns and volatilities of returns of the daily prices of closing of 6 future generic contracts of Fed Funds negotiated in the Chicago Board of Trade (CBOT) is performed. This evaluation is also made for the spreads between prices of these generic contracts for the evaluation of the transmission of the effects of shock in the interest rates for the various horizons of expectations until 6 months. The study uses the classical R/S analysis for the determination of the Hurst exponent and the bootstrap through moving blocks for the determination of the standard error of the exponent. Long memory for the returns and for the volatility of the returns of the studied future contracts was identified, which suggests that the Monetary Authority of the United States has been able to maintain the stability of the interest rates in spite of shocks, or that the American economy is not significantly affected by shocks. The results of this paper also suggest that the adjustments of the expected interest rates of the Fed Funds occur quickly for the various horizons, not presenting long memory for the returns of the spreads, but for volatility. Date: 2008 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:37:y:2008:i:1:p:180-186 DOI: 10.1016/j.chaos.2006.08.023 Access Statistics for this article Chaos, Solitons & Fractals is currently edited by Stefano Boccaletti and Stelios Bekiros More articles in Chaos, Solitons & Fractals from Elsevier |
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