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University of Illinois at Urbana-Champaign
The Development and Empirical Tests of an Explanatory Model for Daily Changes in The Treasury Bill Cash-Futures Basis
Abstract
dc:descriptionManaging the risk associated with unexpected changes in interest rates is a problem facing borrowers, lenders and fixed income security dealers. Financial instrument futures contracts were created to provide a mechanism to reduce interest rate risk. If the price of the futures contract and the price of the cash instrument being hedged move in perfect lockstep, all risk associated with changing interest rates would be eliminated. These prices, however, do not move in a lockstep manner. The basis, defined as the difference between these prices, does not remain constant and leads to basis risk.
Degree
thesis:*- Name thesis:degree_name
- Ph.D.
- Level thesis:degree_level
- Dissertation
- Discipline thesis:degree_discipline
- Finance
- Grantor
- University of Illinois at Urbana-Champaign
- Year dc:date
- 2014
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Lehmann, John Daniel
Subjects
dc:subject × 1Identifiers
dc:identifier.*- Identifier
- (UMI)AAI8302919
- OAI identifier oai:identifier
- oai:www.ideals.illinois.edu:2142/71510