The Responses of Interest Rate Spreads to Information Releases
Abstract
This study examines the responses of three popular futures interest-rate spreads--the MOB (Municipals over Treasury bonds), the NOB (Notes over Treasury bonds), and the TED (Treasury Bills over Eurodollars) to macroeconomic news. We find responses to differ across the three spreads. The most pronounced responses are displayed by the MOB, followed by the NOB and the TED. We also find that the spreads take time to adjust to news in the announcements. Copyright 2001 by Kluwer Academic PublishersDownload Info
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Bibliographic Info
Article provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 16 (2001)
Issue (Month): 4 (June)
Pages: 345-68
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Web page: http://springerlink.metapress.com/link.asp?id=102990
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