Sources of variation in holding returns for fed funds futures contracts

James D. Hamilton, Tatsuyoshi Okimoto

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

This study 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.

Original languageEnglish
Pages (from-to)205-229
Number of pages25
JournalJournal of Futures Markets
Volume31
Issue number3
DOIs
Publication statusPublished - 2011 Mar
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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