Search Results - subject:"Treasury Bill Futures"

Monetary Policy Matters; New Evidence Basedon a New Shock Measure

Crowe, Christopher W.; Barakchian, S. Mahdi - International Monetary Fund (IMF) - 2010

Conventional VAR and non-VAR methods of identifying the effects of monetary policy shocks on the economy have found a negative output response to monetary tightening using U.S. data over the 1960s-1990s. However, we show that these methods fail to find this contractionary effect when the sample...

Persistent link: https://www.econbiz.de/10008680269

Usefulness of Treasury Bill Futures as Hedging Instruments

Cicchetti, Paul; Dale, Charles; Vignola, Anthony - Volkswirtschaftliche Fakultät, … - 1981

In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were more effective than T-Bill futures in reducing price...

Persistent link: https://www.econbiz.de/10011107838

The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications

Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, … - 1980

prices has been difficult because of the vagaries associated with commodity markets. In the case of Treasury bill futures …

Persistent link: https://www.econbiz.de/10011112305

Treasury/Federal Reserve Study of Treasury Futures Markets Volume I: Summary and Recommendations

Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, …; … - 1979

The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government...

Persistent link: https://www.econbiz.de/10011109710

Is the Futures Market for Treasury Bills Efficient?

Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, … - 1979

In a recent article, Puglisi developed and tested a model for evaluating the efficiency of the Treasury bill futures … market. He found that the market for Treasury bill futures was not efficient because arbitrage opportunities existed …, that the Treasury bill futures market may be used to increase returns, and that the spot and futures market must be …

Persistent link: https://www.econbiz.de/10011110375

Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System

Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, …; … - 1979

Persistent link: https://www.econbiz.de/10011196423