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The exchange rate crisis of September 1992 and the pricing of Italian financial futures
Author(s) -
Cifarelli Giulio
Publication year - 1998
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/(sici)1096-9934(199810)18:7<827::aid-fut4>3.0.co;2-j
Subject(s) - futures contract , treasury , bond , financial crisis , economics , volatility (finance) , financial economics , credibility , monetary economics , business , financial system , finance , keynesian economics , geography , archaeology , political science , law
The futures contracts on long term bonds issued by the Italian Treasury and the futures contracts on Eurolira deposits traded in the LIFFE have reacted in a specular way to the exchange rate crisis of September 1992. The pricing of the Italian Government Bonds (BTP) futures becomes more volatile and seems to be affected by a time‐varying risk premium. The pricing of Eurolira futures becomes more efficient after the crisis and its volatility declines. These results indicate that the credibility crisis of the Italian Government bonds does not spill over to the off‐shore Eurolira assets. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:827–849, 1998