Borisenko, Dmitrij; Pozdeev, Igor - In: Three essays on international finance, (pp. 92-117). 2019
In the third chapter (jointly with Igor Pozdeev), we document overnight index swaps (OIS) to be unbiased predictors of future short rates in developed economies, bearing no significant risk premium for maturities up to one year. We show that the OIS underlying overnight rates accurately reflect...