A survey-based estimation of the Swiss franc forward term premium

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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Bibliographic Details
Main Authors: Lucas Marc Fuhrer, Basil Guggenheim, Matthias Jüttner
Format: Article
Language:English
Published: SpringerOpen 2019-07-01
Series:Swiss Journal of Economics and Statistics
Subjects:
Term premium
LIBOR futures
Swiss franc
Online Access:http://link.springer.com/article/10.1186/s41937-019-0034-6

Internet

http://link.springer.com/article/10.1186/s41937-019-0034-6

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