Back to Search Start Over

The information in global interest rate futures contracts.

Authors :
Brooks, Robert
Cline, Brandon N.
Teterin, Pavel
You, Yu
Source :
Journal of Futures Markets; Jun2022, Vol. 42 Issue 6, p1135-1166, 32p
Publication Year :
2022

Abstract

We investigate information contained in the term structure of interest rate futures contracts in the United States, Eurozone, UK, and Switzerland. We find that current forward‐spot differentials often predict return premiums and, especially, future spot rates. This predictability follows time‐series patterns common to all four markets, except around crises. Macroeconomic indicators are important determinants of predictability within and between markets. One common factor captures a significant portion of variation in predictability. No single market has a dominant share of macroeconomic indicators linked with the common predictability factor. Inflation and exchange rates arise as the most important determinants of the common factor. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
02707314
Volume :
42
Issue :
6
Database :
Complementary Index
Journal :
Journal of Futures Markets
Publication Type :
Academic Journal
Accession number :
156737203
Full Text :
https://doi.org/10.1002/fut.22323