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Author : Refet S. Gürkaynak
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book Using Federal Funds Futures Contracts for Monetary Policy Analysis written by Refet S. Gürkaynak and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Refet S. Gurkaynak
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.E/5 ( download)
Download or read book Using Federal Funds Futures Contracts for Monetary Policy Analysis written by Refet S. Gurkaynak and published by . This book was released on 2005 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James D. Hamilton
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.0/5 ( download)
Download or read book Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts written by James D. Hamilton and published by . This book was released on 2007 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a generalization of the formulas proposed by Kuttner (2001) and others for purposes of measuring the effects of a change in the fed funds target on Treasury yields of different maturities. The generalization avoids the need to condition on the date of the target change and allows for deviations of the effective fed funds rate from the target as well as gradual learning by market participants about the target. The paper shows that parameters estimated solely on the basis of the behavior of the fed funds and fed funds futures can account for the broad calendar regularities in the relation between fed funds futures and Treasury yields of different maturities. Although the methods are new, the conclusion is quite similar to that reported by earlier researchers-- changes in the fed funds target seem to be associated with quite large changes in Treasury yields, even for maturities up to ten years.
Download or read book Using Federal Funds Futures Rates to Predict Federal Reserve Actions written by and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Cf.: http://dx.doi.org/10.3886/ICPSR01180.v1.
Author : J. Benson Durham
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ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.E/5 ( download)
Download or read book Estimates of the Term Premium on Near-dated Federal Funds Futures Contracts written by J. Benson Durham and published by . This book was released on 2003 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Brian Sack
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.E/5 ( download)
Download or read book Extracting the Expected Path of Monetary Policy from Futures Rates written by Brian Sack and published by . This book was released on 2002 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Board of Governors of the Federal Reserve System
Publisher :
ISBN 13 : 9780894991967
Total Pages : 0 pages
Book Rating : 4.9/5 (919 download)
Download or read book The Federal Reserve System Purposes and Functions written by Board of Governors of the Federal Reserve System and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides an in-depth overview of the Federal Reserve System, including information about monetary policy and the economy, the Federal Reserve in the international sphere, supervision and regulation, consumer and community affairs and services offered by Reserve Banks. Contains several appendixes, including a brief explanation of Federal Reserve regulations, a glossary of terms, and a list of additional publications.
Author : Youssef Cassis
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ISBN 13 :
Total Pages : 406 pages
Book Rating : 4.F/5 ( download)
Download or read book Capitals of Capital written by Youssef Cassis and published by . This book was released on 2006-11-23 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: International financial centres have come to represent a major economic stake. Yet no historical study has been devoted to them. Professor Cassis, a leading financial historian, attempts to fill this gap by providing a comparative history of the most important centres that constitute the capitals of capital - New York, London, Frankfurt, Paris, Zurich, Amsterdam, Tokyo, Hong Kong, Singapore - from the beginning of the industrial age up to the present. The book has been conceived as a reflection on the dynamics of the rise and decline of international financial centres, setting them in their economic, political, social, and cultural context. While rooted in a strong and lively historical narrative, it draws on the concepts of financial economics in its analysis of events. It should widely appeal to business and finance professionals as well as to scholars and students in financial and economic history.
Author : Kenneth N. Kuttner
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (247 download)
Download or read book Monetary Policy Surprises and Interest Rates written by Kenneth N. Kuttner and published by . This book was released on 2000 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Brent Bundick
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (2 download)
Download or read book Do Federal Funds Futures Need Adjustment for Excess Returns? written by Brent Bundick and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper utilizes a Markov-switching framework to model excess returns in federal funds futures contracts. This framework identifies a high-volatility state where excess returns are large, positive, and volatile and a low-volatility state where excess returns have a lower volatility and are small in absolute value. Federal funds futures rates require adjustment for excess returns only in the high-volatility state. Intermeeting rate cuts of the federal funds rate target always correspond with the high-volatility regime and can explain much of the variation in excess returns. This paper also examines previous return models and helps clarify the relationship between excess returns, business cycles, and intermeeting rate cuts. In real-time forecasting, however, the unadjusted futures rates outperform three different forecasting models. This result strengthens the case for unadjusted futures rates as a measure of monetary policy expectations.
Author : Jean-Sébastien Fontaine
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (967 download)
Download or read book What the Fed Funds Futures Tell Us about Monetary Policy Uncertainty written by Jean-Sébastien Fontaine and published by . This book was released on 2016 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kenneth N. Kuttner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (247 download)
Download or read book Monetary Policy Surprises and Interest Rates written by Kenneth N. Kuttner and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ann Marie Meulendyke
Publisher :
ISBN 13 : 9781297048388
Total Pages : 246 pages
Book Rating : 4.0/5 (483 download)
Download or read book U.S. Monetary Policy and Financial Markets - Scholar's Choice Edition written by Ann Marie Meulendyke and published by . This book was released on 2015-02-16 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author : Jean-Sébastien Fontaine
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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (967 download)
Download or read book What Fed Funds Futures Tell Us About Monetary Policy Uncertainty written by Jean-Sébastien Fontaine and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rasmus Fatum
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (473 download)
Download or read book Do Exchange Rates Respond to Day-to-day Changes in Monetary Policy Expectations? written by Rasmus Fatum and published by . This book was released on 2003 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Douglas Hamilton
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (148 download)
Download or read book Daily Changes in Fed Funds Futures Prices written by James Douglas Hamilton and published by . This book was released on 2007 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the properties of daily changes in the prices for near-term fed funds futures contracts. The paper finds these contracts to be excellent predictors of the fed funds rate, and shows that the claim of a nonzero term premium in the short-horizon contracts is more sensitive to outliers than previous research appears to have recognized. I find some statistically significant evidence of serial correlation in the daily changes, but this accounts for only a tiny part of the one-day movements and there is essentially zero predictability for horizons longer than one day. Settlement futures prices for each day appear to incorporate the information embodied in that day's term structure of longer-horizon Treasury securities. Previous employment growth makes a statistically significant contribution to predicting futures price changes, though again this could only account for a tiny part of the daily variance. The paper concludes that futures prices provide a very useful measure of the daily changes in the market's expectation of near-term changes in Fed policy.
Author :
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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book What the Fed Funds Futures Tell Us About Monetary Policy Uncertainty written by and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a "path" factor signaling information about future policy actions, which is filtered from federal funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in a loosening cycle, reducing the transmission of target changes to longer maturities. Our results trace the information content of federal funds futures to hedging demand.
