Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259726 
Year of Publication: 
2019
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 155 [Issue:] 8 [Publisher:] Springer [Place:] Heidelberg [Year:] 2019 [Pages:] 1-18
Publisher: 
Springer, Heidelberg
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.
Subjects: 
Term premium
LIBOR futures
Swiss franc
JEL: 
E43
E44
E52
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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