The exchange rate crisis of September 1992 and the pricing of Italian financial futures

Giulio Cifarelli ()

Journal of Futures Markets, 1998, vol. 18, issue 7, 827-849

Abstract: The futures contracts on long term bonds issued by the Italian Treasury and the futures contracts on Eurolira deposits traded in the LIFFE have reacted in a specular way to the exchange rate crisis of September 1992. The pricing of the Italian Government Bonds (BTP) futures becomes more volatile and seems to be affected by a time‐varying risk premium. The pricing of Eurolira futures becomes more efficient after the crisis and its volatility declines. These results indicate that the credibility crisis of the Italian Government bonds does not spill over to the off‐shore Eurolira assets. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:827–849, 1998

Date: 1998
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