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La pr vision des taux d intérêt partir de contrats futures : l apport de variables conomiques et financières

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  • Jérôme Coffinet

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  • Jérôme Coffinet, 2008. "La pr vision des taux d intérêt partir de contrats futures : l apport de variables conomiques et financières," Working papers 193, Banque de France.
    • Handle: RePEc:bfr:banfra:193
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    References listed on IDEAS

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    1. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
    2. Bellone, B. & Erwan Gautier & Le Coent, S., 2005. "Les marchés financiers anticipent-ils les retournements conjoncturels?," Working papers 128, Banque de France.
    3. J. Benson Durham, 2003. "Estimates of the term premium on near-dated federal funds futures contracts," Finance and Economics Discussion Series 2003-19, Board of Governors of the Federal Reserve System (U.S.).
    4. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
    5. James D. Hamilton, 2009. "Daily Changes in Fed Funds Futures Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 567-582, June.
    6. Kerstin Bernoth & Jürgen von Hagen, 2004. "The Euribor Futures Market: Efficiency and the Impact of ECB Policy Announcements," International Finance, Wiley Blackwell, vol. 7(1), pages 1-24, March.
    7. Benoît Bellone & Erwan Gautier & Sébastien Le Coent, 2006. "Les marchés financiers anticipent-ils les retournements conjoncturels ?," Economie & Prévision, La Documentation Française, vol. 172(1), pages 83-99.
    8. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-692, September.
    9. Ian Gale & Joseph Stiglitz, 1989. "A Simple Proof That Futures Markets are Almost Always Informationally Inefficient," NBER Working Papers 3209, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Monetary Policy ; Interest Rate Forecast ; Futures Contracts ; Forecast Error ; Risk Premia.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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