The Resource Using Federal Funds Futures Rates to Predict Federal Reserve Actions
Using Federal Funds Futures Rates to Predict Federal Reserve Actions
Resource Information
The item Using Federal Funds Futures Rates to Predict Federal Reserve Actions represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Bowdoin College Library.This item is available to borrow from 1 library branch.
Resource Information
The item Using Federal Funds Futures Rates to Predict Federal Reserve Actions represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Bowdoin College Library.
This item is available to borrow from 1 library branch.
- 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
- Note
- 1180
- Label
- Using Federal Funds Futures Rates to Predict Federal Reserve Actions
- Title
- Using Federal Funds Futures Rates to Predict Federal Reserve Actions
- 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
- 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
- Note
- 1180
- Control code
- ICPSR01180.v1
- Governing access note
- Access restricted to subscribing institutions
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.bowdoin.edu/portal/Using-Federal-Funds-Futures-Rates-to-Predict/XRE0khx9dAA/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.bowdoin.edu/portal/Using-Federal-Funds-Futures-Rates-to-Predict/XRE0khx9dAA/">Using Federal Funds Futures Rates to Predict Federal Reserve Actions</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.bowdoin.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="https://link.bowdoin.edu/">Bowdoin College Library</a></span></span></span></span></div>
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.bowdoin.edu/portal/Using-Federal-Funds-Futures-Rates-to-Predict/XRE0khx9dAA/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.bowdoin.edu/portal/Using-Federal-Funds-Futures-Rates-to-Predict/XRE0khx9dAA/">Using Federal Funds Futures Rates to Predict Federal Reserve Actions</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.bowdoin.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="https://link.bowdoin.edu/">Bowdoin College Library</a></span></span></span></span></div>
