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Type: Artigo
Title: Long memory testing for Fed Funds Futures’ contracts
Authors: Souza, Sergio R
Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: In this paper, the evaluation of the long memory in returns and volatilities of returns of the daily prices of closing of 6 future generic contracts of Fed Funds negotiated in the Chicago Board of Trade (CBOT) is performed. This evaluation is also made for the spreads between prices of these generic contracts for the evaluation of the transmission of the effects of shock in the interest rates for the various horizons of expectations until 6 months. The study uses the classical R/S analysis for the determination of the Hurst exponent and the bootstrap through moving blocks for the determination of the standard error of the exponent. Long memory for the returns and for the volatility of the returns of the studied future contracts was identified, which suggests that the Monetary Authority of the United States has been able to maintain the stability of the interest rates in spite of shocks, or that the American economy is not significantly affected by shocks. The results of this paper also suggest that the adjustments of the expected interest rates of the Fed Funds occur quickly for the various horizons, not presenting long memory for the returns of the spreads, but for volatility.
Citation: SOUZA, S ; TABAK, B ; CAJUEIRO, D . Long memory testing for Fed Funds Futures contracts. Chaos, Solitons and Fractals, v. 37, p. 180-186, 2008
Access Type: Acesso Aberto
Document date: 2008
Appears in Collections:PPG - Revistas e Artigos Científicos

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