Sources of variation in holding returns for Fed funds futures contracts
By: James D. Hamilton, Tatsuyoshi Okimoto.
Contributors: Okimoto, Tsunekichi, 1902-; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 15736; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15736.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 3/16/2010.

Includes bibliographical references.

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