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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
Publisher :
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 : 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.
Author : Rasmus Fatum
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (321 download)
Download or read book Is Intervention a Signal of Future Monetary Policy? written by Rasmus Fatum and published by . This book was released on 1996 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joel T. Krueger
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (322 download)
Download or read book The Fed Funds Futures Rate as a Predictor of Federal Reserve Policy written by Joel T. Krueger and published by . This book was released on 1995 with total page 15 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 : 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 : 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 : Jon Faust
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (318 download)
Download or read book Identifying VARs Based on High Frequency Futures Data written by Jon Faust and published by . This book was released on 2002 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eric T. Swanson
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.E/5 ( download)
Download or read book Federal Reserve Transparency and Financial Market Forecasts of Short-term Interest Rates written by Eric T. Swanson and published by . This book was released on 2004 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : 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 : Allan D. Brunner
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Federal Funds Rate and the Implementation of Monetary Policy written by Allan D. Brunner and published by . This book was released on 1994 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Christina D. Romer
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.3/5 ( download)
Download or read book Federal Reserve Private Information and the Behavior of Interest Rates written by Christina D. Romer and published by . This book was released on 1996 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many authors argue that asymmetric information between the Federal Reserve and the public is important to the conduct and the effects of monetary policy. This paper tests for the existence of such asymmetric information by examining Federal Reserve and commercial inflation forecasts. We demonstrate that the Federal Reserve has considerable information about inflation beyond what is known to commercial forecasters. We also provide evidence that monetary policy actions provide signals of the Federal Reserve's private information and that commercial forecasters modify their forecasts in response to those signals. These findings may explain why long-term interest rates typically rise in response to shifts to tighter monetary policy.
Author : Joe Lange
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.E/5 ( download)
Download or read book Anticipations of Monetary Policy in Financial Markets written by Joe Lange and published by . This book was released on 2001 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Douglas Hamilton
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 (121 download)
Download or read book The Market-perceived Monetary Policy Rule written by James Douglas Hamilton and published by . This book was released on 2009 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a novel method for estimating a monetary policy rule using macroeconomic news. Market forecasts of both economic conditions and monetary policy are affected by news, and our estimation links the two effects. This enables us to estimate directly the policy rule agents use to form their expectations, and in so doing flexibly capture the particular dynamics of policy response. We find evidence that between 1994 and 2007 the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. In a standard model we show that output smoothing caused by a larger inflation response magnitude is offset by the more measured pace of response. Our response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target.
