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Scrying Europe interbank rates
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Scrying Europe interbank rates

Antonio Caggia, Giovanni Paolo Crespi and Aldo Nassigh
pp.1-13
Liuc papers, 299, Università Carlo Cattaneo - Liuc
2016

Abstract

Tassi di interesse Rischi Valutazione Metodi statistici
In this article we test empirical data on European IRS market to check the ability to shape the future and arguing whether the financial market provides a safe strategy to investors choosing fixed long-term interest rates against floating ones. Time series are long enough to draw some conclusion, although some exogenous shocks that has afflicted the last decades suggest that more data are needed for a deeper quantitative analysis. Yet, the paper provide support to traders hedging their positions on fixed-income markets.
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