DOAJ Open Access 2019

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

Lucas Marc Fuhrer Basil Guggenheim Matthias Jüttner

Abstrak

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 excess returns into a (forward) term premium and forecast errors. The decomposition reveals that the bulk of excess returns arises from forecast errors, while the term premium is, on average, zero but time varying. We find that the term premium positively correlates with the business cycle, interest rate developments, and in absolute values increases with interest rate uncertainty.

Topik & Kata Kunci

Statistics Economics as a science

Penulis (3)

Lucas Marc Fuhrer

Basil Guggenheim

Matthias Jüttner

Format Sitasi

APA MLA BibTeX

Fuhrer, L.M., Guggenheim, B., Jüttner, M. (2019). A survey-based estimation of the Swiss franc forward term premium. https://doi.org/10.1186/s41937-019-0034-6

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Informasi Jurnal

Tahun Terbit: 2019
Sumber Database: DOAJ
DOI: 10.1186/s41937-019-0034-6
Akses: Open Access ✓