The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications

Until the existence of financial futures, testing the determinants and the informational content of futures market prices has been difficult because of the vagaries associated with commodity markets. In the case of Treasury bill futures, the existence of an active secondary market and the resulting term structure of interest rates enables one to test alternative hypotheses about the prices of futures contracts. This study compares two alternative specifications of equilibrium futures prices, i.e., those implied by carrying charges and those derived from the unbiased expectations hypothesis of the theory of the term structure of interest rates. In general, the results show that the overnight cost-of-carry model is better for explaining futures prices than are forward rates derived from the yield curve

Is the Futures Market for Treasury Bills Efficient?

In a recent article, Puglisi developed and tested a model for evaluating the efficiency of the Treasury bill futures market. He found that the market for Treasury bill futures was not efficient because arbitrage opportunities existed involving transactions in futures and outstanding Treasury bills, although such opportunities have ebbed as the market continued to mature. This paper shows that the summary statistics reported by Puglisi are misleading and may be misinterpreted, that the Treasury bill futures market may be used to increase returns, and that the spot and futures market must be evaluated for such purposes only on a daily basis

The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications

Until the existence of financial futures, testing the determinants and the informational content of futures market prices has been difficult because of the vagaries associated with commodity markets. In the case of Treasury bill futures, the existence of an active secondary market and the resulting term structure of interest rates enables one to test alternative hypotheses about the prices of futures contracts. This study compares two alternative specifications of equilibrium futures prices, i.e., those implied by carrying charges and those derived from the unbiased expectations hypothesis of the theory of the term structure of interest rates. In general, the results show that the overnight cost-of-carry model is better for explaining futures prices than are forward rates derived from the yield curve

Usefulness of Treasury Bill Futures as Hedging Instruments

In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were more effective than T-Bill futures in reducing price change risk. Moreover, in the short term, the performance of T-Bill futures in reducing risk was extremely poor. The purpose of this article is to determine whether these results are due to a misspecification of the model and to test whether the hedging effectiveness of the T-Bill futures market has changed after three years of trading. A portfolio model of hedging effectiveness is formulated to account for the constant yield price accumulation over time on Treasury bills as distinguished from price changes due to instantaneous changes in yield. We test the T-Bill futures market using the portfolio model and conclude that the market provides very good opportunities for hedging, provided that the spot position is comprised of Treasury bills deliverable against the futures contract

Usefulness of Treasury Bill Futures as Hedging Instruments

In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were more effective than T-Bill futures in reducing price change risk. Moreover, in the short term, the performance of T-Bill futures in reducing risk was extremely poor. The purpose of this article is to determine whether these results are due to a misspecification of the model and to test whether the hedging effectiveness of the T-Bill futures market has changed after three years of trading. A portfolio model of hedging effectiveness is formulated to account for the constant yield price accumulation over time on Treasury bills as distinguished from price changes due to instantaneous changes in yield. We test the T-Bill futures market using the portfolio model and conclude that the market provides very good opportunities for hedging, provided that the spot position is comprised of Treasury bills deliverable against the futures contract

Treasury/Federal Reserve Study of Treasury Futures Markets Volume I: Summary and Recommendations

The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government securities. The Act also requires the Commission to consider the impact of such futures trading on the debt management requirements of the Treasury and on the efficiency and the integrity of the market for U.S. Government securities. Confronted with the need to comment on several pending contract proposals, yet lacking a body of research on which opinions could be firmly grounded, the Secretary of the Treasury and the Chairman of the Board of Governors wrote the CFTC in October 1978, suggesting an immediate Treasury-FRB study and requesting a moratorium on new authorizations of Treasury futures contracts until the study could be completed. The Treasury and Federal Reserve staffs have since conducted over thirty interviews with a wide variety of participants in the cash and futures markets for Government securities. The findings from these interviews, as well as a summary of the costs and benefits of Treasury futures markets are summarized in this report. The detailed findings are provided in Volume II

Role of breast regression protein 39 (BRP-39)/chitinase 3-like-1 in Th2 and IL-13–induced tissue responses and apoptosis

Mouse breast regression protein 39 (BRP-39; Chi3l1) and its human homologue YKL-40 are chitinase-like proteins that lack chitinase activity. Although YKL-40 is expressed in exaggerated quantities and correlates with disease activity in asthma and many other disorders, the biological properties of BRP-39/YKL-40 have only been rudimentarily defined. We describe the generation and characterization of BRP-39−/− mice, YKL-40 transgenic mice, and mice that lack BRP-39 and produce YKL-40 only in their pulmonary epithelium. Studies of these mice demonstrated that BRP-39−/− animals have markedly diminished antigen-induced Th2 responses and that epithelial YKL-40 rescues the Th2 responses in these animals. The ability of interleukin13 to induce tissue inflammation and fibrosis was also markedly diminished in the absence of BRP-39. Mechanistic investigations demonstrated that BRP-39 and YKL-40 play an essential role in antigen sensitization and immunoglobulin E induction, stimulate dendritic cell accumulation and activation, and induce alternative macrophage activation. These proteins also inhibit inflammatory cell apoptosis/cell death while inhibiting Fas expression, activating protein kinase B/AKT, and inducing Faim 3. These studies establish novel regulatory roles for BRP-39/YKL-40 in the initiation and effector phases of Th2 inflammation and remodeling and suggest that these proteins are therapeutic targets in Th2- and macrophage-mediated disorders

Effects of controlled diesel exhaust exposure on apoptosis and proliferation markers in bronchial epithelium – an in vivo bronchoscopy study on asthmatics, rhinitics and healthy subjects

BackgroundEpidemiological evidence demonstrates that exposure to traffic-derived pollution worsens respiratory symptoms in asthmatics, but controlled human exposure studies have failed to provide a mechanism for this effect. Here we investigated whether diesel exhaust (DE) would induce apoptosis or proliferation in the bronchial epithelium in vivo and thus contribute to respiratory symptoms.MethodsModerate (n?=?16) and mild (n?=?16) asthmatics, atopic non-asthmatic controls (rhinitics) (n?=?13) and healthy controls (n?=?21) were exposed to filtered air or DE (100 ?g/m 3 ) for 2 h, on two separate occasions. Bronchial biopsies were taken 18 h post-exposure and immunohistochemically analysed for pro-apoptotic and anti-apoptotic proteins (Bad, Bak, p85 PARP, Fas, Bcl-2) and a marker of proliferation (Ki67). Positive staining was assessed within the epithelium using computerized image analysis.ResultsNo evidence of epithelial apoptosis or proliferation was observed in healthy, allergic or asthmatic airways following DE challenge.ConclusionIn the present study, we investigated whether DE exposure would affect markers of proliferation and apoptosis in the bronchial epithelium of asthmatics, rhinitics and healthy controls, providing a mechanistic basis for the reported increased airway sensitivity in asthmatics to air pollutants. In this first in vivo exposure investigation, we found no evidence of diesel exhaust-induced effects on these processes in the subject groups investigated