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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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    References listed on IDEAS

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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. 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.
    3. 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.
    4. 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.
    5. Norman N. Bowsher, 1979. "Repurchase agreements," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 17-22.
    6. 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.
    7. Reisman, Haim, 1992. "Intertemporal Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 105-122.
    8. 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.
    9. 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.
    10. Kamara, Avraham, 1990. "Delivery Uncertainty and the Efficiency of Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(01), pages 45-64, March.
    11. 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..
    12. French, Kenneth R., 1983. "A comparison of futures and forward prices," Journal of Financial Economics, Elsevier, vol. 12(3), pages 311-342, November.
    13. 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.
    14. 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.
    15. Milton Friedman, 1962. "The Interpolation of Time Series by Related Series," NBER Books, National Bureau of Economic Research, Inc, number frie62-1, January.
    16. 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.
    17. Avraham Kamara, 1988. "Market Trading Structures and Asset Pricing: Evidence from the Treasury- Bill Markets," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 357-375.
    18. 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.
    19. 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.
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