The Responses of Interest Rate Spreads to Information Releases

Raj Aggarwal, Mukesh Chaudhry, Rohan Christie-David and Timothy W. Koch

Review of Quantitative Finance and Accounting, 2001, vol. 16, issue 4, 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
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://journals.kluweronline.com/issn/0924-865X/contents link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/11156/PS2

Access Statistics for this article

Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee

More articles in Review of Quantitative Finance and Accounting from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().