A survey-based estimation of the Swiss franc forward term premium
Abstract This paper sheds light on Swiss franc LIBOR futures, which are often used to derive interest rate expectations. We show that the differences between LIBOR futures and realized rates (excess returns) are, on average, positive over the last 25 years. Using interest rate surveys, we decompose...
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| Main Authors: | , , |
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| Format: | Artigo |
| Language: | Inglês |
| Published: |
SpringerOpen
2019-07-01
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| Series: | Swiss Journal of Economics and Statistics |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s41937-019-0034-6 |
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