The Resource Using Federal Funds Futures Rates to Predict Federal Reserve Actions

Using Federal Funds Futures Rates to Predict Federal Reserve Actions

Label
Using Federal Funds Futures Rates to Predict Federal Reserve Actions
Title
Using Federal Funds Futures Rates to Predict Federal Reserve Actions
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Summary
The federal funds futures rate naturally embodies the market's expectation of the average behavior of the federal funds rate. This research points out that analysts cannot attempt to identify federal policy from the behavior of the federal funds futures rate without making somewhat arbitrary additional assumptions. Also studied is the predictive accuracy of a rule based on the federal funds futures rate from October 1988 through August 1997 using an assumption that is sufficient for partially identifying when the market is expecting a federal action but not for predicting the magnitude of the action. The forecasting rule correctly predicts a target change at the one-month horizon only about one-third of the time. The conclusion is that more research is needed, especially in light of the Federal Open Market Commission's (FOMC) recent practice of disclosing policy decisions immediately after FOMC meetings
http://library.link/vocab/creatorName
  • Robertson, John C
  • Inter-university Consortium for Political and Social Research [distributor]
http://library.link/vocab/relatedWorkOrContributorName
Thornton, Daniel L.
Label
Using Federal Funds Futures Rates to Predict Federal Reserve Actions
Instantiates
Publication
Note
1180
Control code
ICPSR01180.v1
Governing access note
Access restricted to subscribing institutions
Label
Using Federal Funds Futures Rates to Predict Federal Reserve Actions
Publication
Note
1180
Control code
ICPSR01180.v1
Governing access note
Access restricted to subscribing institutions

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