Abstract
Any announcement from Federal Reserve has a huge impact on the interest rate markets. The press releases from the Federal Open Market Committee(FOMC) are one of the major inputs to the market. The liquidity and the versatility of the Eurodollar(ED) market provides traders the opportunity to hedge their interest risk through Eurodollar Futures. The ED market is highly correlated to the US Government short term (T-bill) interest rate market. To estimate the impact associated with the FOMC announcements, the random intervention model is used for an empirical study on the Interrest Rate Futures markets, using transaction data. The study shows that the market trading on the announcement day is different from the market trading on a reference day for both the ED and T-bill Futures markets.
Published Version
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