The Effect of Interest Rate Options Hedging on Term-Structure Dynamics

[...]In this article, we study the influence of market liquidity anddynamic trading strategies on the short-run dynamics of theyield curve. Specifically, we focus on the recent behavior ofintermediate-maturity interest rates for evidence of marketliquidity effects arising from the hedging of interest rateoptions. We base our approach in large part on the hypothesisthat the hedging transactions of interest rate options dealersgenerate systematic trading flows in the underlying fixedincomemarkets following a shock to interest rates.[...]

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Year of publication:	2001-12-01
Authors:	Kambhu, John ; Mosser, Patricia C.
Institutions:	Federal Reserve Bank <New York, NY>
Published in:	London School of Economics and Political Science - Publications FRBNY Economic Policy Review / December 2001, p. 51-70
Subject:	Hedging \| Handel \| trade \| Zinsfuß \| Liquidität \| Öffentliche Verwaltung \| public administration

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Extent:	238592 bytes 20 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Financial theory ; Study of commerce ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005869876