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Benchmark tipping and the role of the swap market in price discovery

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  • Russell Poskitt

Abstract

The author uses a high‐frequency data set to investigate the roles of the sterling swap and futures markets in price discovery at the short‐end of the sterling yield curve. Information flows between the futures and swap markets are found to be largely contemporaneous. Causal information flows are bidirectional, although the futures market dominates the information flow over the very short term. Thus, the futures market remains the primary locus of price discovery despite the increased use of swaps as a pricing benchmark and hedging instrument in recent years. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:981–1001, 2007

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  • Russell Poskitt, 2007. "Benchmark tipping and the role of the swap market in price discovery," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(10), pages 981-1001, October.
    • Handle: RePEc:wly:jfutmk:v:27:y:2007:i:10:p:981-1001
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    Cited by:

    1. Alex Frino & Michael Garcia, 2018. "Price discovery in short‐term interest rate markets: Futures versus swaps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1179-1188, October.

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