论文标题：The information in global interest rate futures contracts

发表时间：2022.3

论文所有作者：Robert Brooks, Brandon N. Cline, Pavel Teterin, Yu You*

期刊名及所属分类：Journal of futures markets, 金融类

英文摘要：We investigate information contained in the term structure of interest rate futures contracts in the United States, Eurozone, UK, and Switzerland. We find that current forward‐spot differentials often predict return premiums and, especially, future spot rates. This predictability follows time‐series patterns common to all four markets, except around crises. Macroeconomic indicators are important determinants of predictability within and between markets. One common factor captures a significant portion of variation in predictability. No single market has a dominant share of macroeconomic indicators linked with the common predictability factor. Inflation and exchange rates arise as the most important determinants of the common factor.

注：标*为通讯作者