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| Tekijä: | Aggarwal, R. |
| Otsikko: | The Responses of Interest Rate Spreads to Information Releases |
| Lehti: | Review of Quantitative Finance and Accounting
2001 : JUN, VOL. 16:2, p. 345-368 |
| Asiasana: | FINANCE ACCOUNTING MACROECONOMICS INTEREST RATES |
| Kieli: | eng |
| Tiivistelmä: | This study examines the responses of three popular futures interest-rate spreads-the MOB (Municipals over Treasury bonds), the NOB (Notes over Treasury bonds), and the TED (Treasury Bills over Eurodollars) to macroeconomic news. The authors find responses to differ across the three spreads. The most pronounced responses are displayed by the MOB, followed by the NOB and the TED. The authors also find that the spreads take time to adjust to news in the announcements. While the examination of the effects of news releases in many markets has been detailed, the authors are unaware of any study that examines the responses of interest-rate spreads to macroeconomic news releases. |
SCIMA