The information in global interest rate futures contracts
研究了美国、欧元区、英国和瑞士利率期货期限结构中的信息，发现当前远期与即期价差常能预测回报溢价和未来即期利率，且这种可预测性在四个市场间存在共同的时间序列模式，但危机期间除外。
Abstract We investigate information contained in the term structure of interest rate futures contracts in the United States, Eurozone, UK, and Switzerland. We find that current forward‐spot differentials often predict return premiums and, especially, future spot rates. This predictability follows time‐series patterns common to all four markets, except around crises. Macroeconomic indicators are important determinants of predictability within and between markets. One common factor captures a significant portion of variation in predictability. No single market has a dominant share of macroeconomic indicators linked with the common predictability factor. Inflation and exchange rates arise as the most important determinants of the common factor.