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Federal funds rate prediction

Sarno, Lucio (contributor); Thornton, Daniel L. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001971188

Whatś unique about the federal funds rate? : Evidence from a spectral perspective

Sarno, Lucio (contributor); Thornton, Daniel L. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001974839

The dynamic relationship between the Federal Funds Rate and the treasury bill rate : an empirical investigation

Sarno, Lucio; Thornton, Daniel L. - 2000

Persistent link: https://www.econbiz.de/10001580929

The expectation hypothesis of the term structure of very short-term rates : statistical tests and economic value

Della Corte, Pasquale (contributor); … - 2007 - Rev.

Persistent link: https://www.econbiz.de/10003740502

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates : Statistical Tests and Economic Value

Della Corte, Pasquale - 2007

This paper re-examines the validity of the Expectation Hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to three months. We extend the work of Longstaff (2000) in two directions: (i) we implement statistical tests designed to increase test power in this...

Persistent link: https://www.econbiz.de/10012731345