TY  - JOUR
AU  - Hamilton,James D.
AU  - Okimoto,Tatsuyoshi
TI  - Sources of Variation in Holding Returns for Fed Funds Futures Contracts
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15736
PY  - 2010
Y2  - February 2010
UR  - http://www.nber.org/papers/w15736
L1  - http://www.nber.org/papers/w15736.pdf
N1  - Author contact info:
James D. Hamilton
Department of Economics, 0508
University of California, San Diego
9500 Gilman Drive
La Jolla, CA 92093-0508
Tel: 858/534-5986
Fax: 858/534-7040
E-Mail: jhamilton@ucsd.edu

Tatsuyoshi Okimoto
Graduate School of International Corporate Strateg
Hitotsubashi University
2-1-2 Hitotsubashi, Chiyoda-ku, Tokyo 101-8439, JA
E-Mail: tatsuyoshi.okimoto@gmail.com
AB  - This paper relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates.  Although evidence for predictable gains from positions in short-horizon contracts is mixed, we find that gains in longer horizon contracts can be well described using Markov-switching models, with predictability associated with particular episodes in which economic activity was weak and variability in the returns to these contracts was quite high.
ER  -