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Arbitrage, carrying costs, and inflation: A reexamination of market efficiency in treasury bill futures

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  • Lin, James Wuh

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  • Lin, James Wuh, 1996. "Arbitrage, carrying costs, and inflation: A reexamination of market efficiency in treasury bill futures," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 207-222.
    • Handle: RePEc:eee:reveco:v:5:y:1996:i:2:p:207-222
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    1. Edwin J. Elton & Martin J. Gruber & Joel C. Rentzler, 1985. "Employing Financial Futures to Increase the Return on Near Cash (Treasury Bill) Investments," Management Science, INFORMS, vol. 31(3), pages 293-300, March.
    2. Cook, Timothy & Hahn, Thomas, 1988. "The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 167-180, May.
    3. Reisman, Haim, 1992. "Intertemporal Arbitrage Pricing Theory," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 105-122.
    4. Kane, Edward J, 1980. "Market Incompleteness and Divergences between Forward and Future Interest Rates," Journal of Finance, American Finance Association, vol. 35(2), pages 221-234, May.
    5. Kamara, A., 1988. "Trading Structures And Asset Pricing: Evidence From The Treasury Bill Markets," Papers 169, Columbia - Center for Futures Markets.
    6. Hafer, R W & Hein, Scott E & MacDonald, S Scott, 1992. "Market and Survey Forecasts of the Three-Month Treasury-Bill Rate," The Journal of Business, University of Chicago Press, vol. 65(1), pages 123-138, January.
    7. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-921, September.
    8. Robert A. JARROW & George S. OLDFIELD, 2008. "Forward Contracts And Futures Contracts," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 11, pages 237-246, World Scientific Publishing Co. Pte. Ltd..
    9. French, Kenneth R., 1983. "A comparison of futures and forward prices," Journal of Financial Economics, Elsevier, vol. 12(3), pages 311-342, November.
    10. Elton, Edwin J & Gruber, Martin J & Rentzler, Joel, 1984. "Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market," The Review of Economics and Statistics, MIT Press, vol. 66(1), pages 129-137, February.
    11. Milton Friedman, 1962. "The Interpolation of Time Series by Related Series," NBER Books, National Bureau of Economic Research, Inc, number frie62-1, March.
    12. Capozza, Dennis R & Cornell, Bradford, 1979. "Treasury Bill Pricing in the Spot and Futures Markets," The Review of Economics and Statistics, MIT Press, vol. 61(4), pages 513-520, November.
    13. Albert E. Burger & Richard W. Lang & Robert H. Rasche, 1977. "The Treasury bill futures market and market expectations of interest rates," Review, Federal Reserve Bank of St. Louis, vol. 59(Jun), pages 2-9.
    14. Rendleman, Richard J, Jr & Carabini, Christopher E, 1979. "The Efficiency of the Treasury Bill Futures Market," Journal of Finance, American Finance Association, vol. 34(4), pages 895-914, September.
    15. Norman N. Bowsher, 1979. "Repurchase agreements," Review, Federal Reserve Bank of St. Louis, vol. 61(Sep), pages 17-22.
    16. Poterba, James M & Rotemberg, Julio J, 1990. "Inflation and Taxation with Optimizing Governments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(1), pages 1-18, February.
    17. Richard, Scott F. & Sundaresan, M., 1981. "A continuous time equilibrium model of forward prices and futures prices in a multigood economy," Journal of Financial Economics, Elsevier, vol. 9(4), pages 347-371, December.
    18. Kamara, Avraham, 1990. "Delivery Uncertainty and the Efficiency of Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 45-64, March.
    19. Milton Friedman, 1962. "Introduction to "The Interpolation of Time Series by Related Series"," NBER Chapters, in: The Interpolation of Time Series by Related Series, pages 1-3, National Bureau of Economic Research, Inc.
    20. Fama, Eugene F, 1976. "Inflation Uncertainty and Expected Returns on Treasury Bills," Journal of Political Economy, University of Chicago Press, vol. 84(3), pages 427-448, June.
    21. Avraham Kamara, 1988. "Market Trading Structures and Asset Pricing: Evidence from the Treasury- Bill Markets," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 357-375.
    22. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
    23. Ross, Stephen A, 1989. " Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy," Journal of Finance, American Finance Association, vol. 44(1), pages 1-17, March.
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