Year-end seasonality in one-month LIBOR derivatives

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Christopher J. Neely ; Drew B. Winters (2005)
  • Subject: Econometrics ; Monetary policy ; Finance
    mesheuropmc: health care economics and organizations

We examine the markets for one-month LIBOR futures contracts and options on those futures for a year-end price effect consistent with the previously identified year-end rate increase in one-month LIBOR. The cash market rate increase appears in forward rates and derivati... View more
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