I'm using the futures tutorials as a guide for researching the 5 yr and 10 yr interest rate swap futures.
In particular, I'm looking at the relationship between the 5 yr (10 yr) IRS future and 5 yr (10 yr) Treasury Note future
- The demand for treasury futures says something about market outlook on interest rates
- As spread between fixed and market interest rates changes so should demand for fixed(floating) for floating(fixed) swaps
- IRS and Treasury Futures with similar underlying tenors should be cointegrated
I can see this relationship when I chart the IRS and treasury futures but when running the cointegration tests I get unexpected results.
Can anyone think of a reason the 10 year IRS/Treasury futures are likely to be cointegrated but not the 5 year IRS/Treasury futures?