Does federal funds futures rate contain information about the treasury bill rate?-Reference-Cited by-同舟云学术

Does federal funds futures rate contain information about the treasury bill rate?

Published:2013-08 Issue:16 Volume:23 Page:1311-1324
ISSN:0960-3107
Container-title:Applied Financial Economics
language:en
Short-container-title:Applied Financial Economics

Author:

Kishor N. K.,Marfatia H. A.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/09603107.2013.808397

Reference37 articles.

1. Stressed, Not Frozen: The Federal Funds Market in the Financial Crisis

2. Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations

3. Testing for causality in the transmission of Eurodollar and US interest rates

4. The change in the CD rate–target federal funds rate linkage during the financial crisis

5. Bech, M., Klee, E. and Stebunovs, V. 2012.Arbitrage, liquidity and exit: the repo and federal funds markets before, during, and emerging from the financial crisis, Finance and Economics Discussion Series (FEDS) Working Paper No, 2012-21Washington, DC: Federal Reserve Board.

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