{"id":457,"date":"2017-06-03T11:47:58","date_gmt":"2017-06-03T11:47:58","guid":{"rendered":"http:\/\/www.stirfutures.co.uk\/?p=457"},"modified":"2017-06-03T11:47:58","modified_gmt":"2017-06-03T11:47:58","slug":"causation-between-3m-euribor-fixings-and-euribor-futures-rates","status":"publish","type":"post","link":"https:\/\/www.stirfutures.co.uk\/?p=457","title":{"rendered":"Causation between 3M Euribor fixings and Euribor futures rates"},"content":{"rendered":"<p>Are changes in Euribor fixings correlated with movements in the Euribor implied forward rates?<\/p>\n<p>Intuitively, we might think so but empirical evidence suggests otherwise. Given a data set from January 1999 to May 2017, there were 2740 days when a change in the Euribor fixing\u00a0was replicated with a similar movement in the implied forward rates of the white pack and 1964 days when they were not. This results in a low correlation of just 17.6%. Breaking the data into smaller 5-6 year buckets does not demonstrate causality between the direction of Euribor fixings and movements in the Euribor futures implied forward curve.<\/p>\n<p><a href=\"http:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2017\/06\/causal.jpg\"><img loading=\"lazy\" decoding=\"async\" class=\"aligncenter size-full wp-image-455\" src=\"http:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2017\/06\/causal.jpg\" alt=\"causal\" width=\"643\" height=\"145\" srcset=\"https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2017\/06\/causal.jpg 643w, https:\/\/www.stirfutures.co.uk\/wp-content\/uploads\/2017\/06\/causal-300x68.jpg 300w\" sizes=\"auto, (max-width: 643px) 100vw, 643px\" \/><\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Are changes in Euribor fixings correlated with movements in the Euribor implied forward rates? Intuitively, we might think so but empirical evidence suggests otherwise. Given a data set from January 1999 to May 2017, there were 2740 days when a change in the Euribor fixing\u00a0was replicated with a similar movement in the implied forward rates [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-457","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/posts\/457","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=457"}],"version-history":[{"count":1,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/posts\/457\/revisions"}],"predecessor-version":[{"id":458,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=\/wp\/v2\/posts\/457\/revisions\/458"}],"wp:attachment":[{"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=457"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=457"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.stirfutures.co.uk\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=457"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}