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The exchange rate crisis of September 1992 and the pricing of Italian financial futures

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  • Giulio Cifarelli

Abstract

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

Suggested Citation

  • Giulio Cifarelli, 1998. "The exchange rate crisis of September 1992 and the pricing of Italian financial futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(7), pages 827-849, October.
    • Handle: RePEc:wly:jfutmk:v:18:y:1998:i:7:p:827-849
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    1. D Brookfield & A Azizan, 2006. "Contagion and the Role of Market Development: the Case of the Malaysian Futures Market during the East Asian Crisis of 1997," Economic Issues Journal Articles, Economic Issues, vol. 11(2), pages 1-18, September.

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