Sources of Variation in Holding Returns for Fed Funds Futures Contracts

James Hamilton and Tatsuyoshi Okimoto

No 15736, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates. Although evidence for predictable gains from positions in short-horizon contracts is mixed, we find that gains in longer horizon contracts can be well described using Markov-switching models, with predictability associated with particular episodes in which economic activity was weak and variability in the returns to these contracts was quite high.

JEL-codes: E40 E50 G13 (search for similar items in EconPapers)
Date: 2010-02
New Economics Papers: this item is included in nep-cba and nep-mac
Note: ME
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Citations: View citations in EconPapers (5)

Published as “Sources of Variation in Holding Returns for Fed Funds Futur es Con- tracts,” Journal of Futures Markets 31, no. 3 (2011): 205-229 (coauthored with Tatsuyoshi Okimoto).

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Journal Article: Sources of variation in holding returns for fed funds futures contracts (2011)
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