Estimates of the term premium on near-dated federal funds futures contracts
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2003 - Business & Economics - 39 pages
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1/2 Forecast altemative arbitrage pricing theory Asset Pricing average to zero Board of Govemors Brian Sack calculation CAPM correlate daily data Days to Maturity December Deviation from Target effective federal funds effective funds rate Error per Month errors in parentheses eurodollar futures contracts expectations hypothesis February 19 federal funds futures federal funds rate Federal Reserve Federal Reserve System ﬁrst FOMC meeting forecast errors average forecast horizon funds futures contracts funds futures rates futures market implied rates investors January Krueger and Kuttner Lagged Deviation March 18 March 2003 period market participants market portfolio Monetary Policy Month Basis Points Monthly Data Near-dated Federal Funds number of days points per month policy expectations premium is positive Premium per Month proxy R-squared regression risk premium sample speciﬁcation standard deviation statistically signiﬁcant suggests Table target federal funds term federal funds term premium increases term structure variables volatile Weeks to Maturity yield curve