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pro vyhledávání: '"Doug Rolph"'
Autor:
Doug Rolph
Market participants, researchers and policy makers often use Federal funds futures as a proxy for the market's expectation of changes in monetary policy. This paper examines how well the Fed funds futures rate predicts changes in the Fed fund target
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::9f9207d6096338bf66aec01d56348aa0
http://students.washington.edu/~rolph/fedfunds.pdf
http://students.washington.edu/~rolph/fedfunds.pdf
Autor:
Doug Rolph, Pu Shen
We examine the usefulness of the spreads between the e/p ratio of the S&P 500 index and the yields on 3-month and 10-year Treasury securities as indicators of future market conditions. We find that while spreads are not particularly useful in a regre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::2a8ec9ca320706a6c37a78b7d29a787b
http://www.kansascityfed.org/publicat/reswkpap/PDF/rwp99-03.pdf
http://www.kansascityfed.org/publicat/reswkpap/PDF/rwp99-03.pdf
This paper uses cointegration to model the time-series of corporate and government bond rates. We show that corporate rates are cointegrated with government rates and the relation between credit spreads and Treasury rates depends on the time horizon.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::f1fbb1656ac807d976b81743086fc7a4
http://www.kansascityfed.org/publicat/reswkpap/PDF/RWP98-08.pdf
http://www.kansascityfed.org/publicat/reswkpap/PDF/RWP98-08.pdf