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The information in global interest rate futures contracts

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  • Robert Brooks
  • Brandon N. Cline
  • Pavel Teterin
  • Yu You

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.

Suggested Citation

  • Robert Brooks & Brandon N. Cline & Pavel Teterin & Yu You, 2022. "The information in global interest rate futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1135-1166, June.
    • Handle: RePEc:wly:jfutmk:v:42:y:2022:i:6:p:1135-1166
    DOI: 10.1002/fut.22323
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