caa a22 4500 463187695 CHVBK 20180406164858.0 cr unu---uuuuu 170326e20070201xx s 000 0 eng 10.1007/s11156-006-0006-7 doi (NATIONALLICENCE)springer-10.1007/s11156-006-0006-7 Relationship between Treasury bills and Eurodollars: Theoretical and Empirical Analyses [Elektronische Daten] [Cheng-few Lee, Keshab Shrestha, Robert Welch] In this paper, we derive an equilibrium relationship between the yields on Eurodollar and Treasury bills based on equivalent martingale results derived by Harrison and Kreps (1979) and Harrison and Pliska (1981, 1983) as well as the corporate debt pricing model developed by Merton (1974). The derived equilibrium relationship incorporates the models used by Booth and Tse (1995) and Shrestha and Welch (2001) as special cases. The equilibrium relationship indicates that the conditional volatility of the yield on Eurodollars explains the variation in the TED spread. We empirically test the equilibrium relationship using a GARCH-M model and the concept of fractional cointegration. We use both the ex ante data implied by the respective futures contracts as well as the ex post spot data with daily, weekly and monthly frequencies. We find empirical support for the Equilibrium relationship. Springer Science+Business Media, LLC, 2006 Stationary nationallicence Fractional cointegration nationallicence TED spread nationallicence Lee Cheng-few Department of Finance, School of Business, Rutgers University, Rutgers, USA aut Shrestha Keshab Division of Banking and Finance, Nanyang Business School, Nanyang Technological University, 50 Nanyang Avenue, 639798, Singapore, Singapore aut Welch Robert Department of Finance, Operations and Information Systems, Faculty of Business, Brock University, Brock, Canada aut Review of Quantitative Finance and Accounting Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com 28/2(2007-02-01), 163-185 0924-865X 28:2<163 2007 28 11156 https://doi.org/10.1007/s11156-006-0006-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11156-006-0006-7 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Lee Cheng-few Department of Finance, School of Business, Rutgers University, Rutgers, USA aut NATIONALLICENCE 700 1- Shrestha Keshab Division of Banking and Finance, Nanyang Business School, Nanyang Technological University, 50 Nanyang Avenue, 639798, Singapore, Singapore aut NATIONALLICENCE 700 1- Welch Robert Department of Finance, Operations and Information Systems, Faculty of Business, Brock University, Brock, Canada aut NATIONALLICENCE 773 0- Review of Quantitative Finance and Accounting Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com 28/2(2007-02-01), 163-185 0924-865X 28:2<163 2007 28 11156 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer