Using Federal Funds Futures Contracts for Monetary Policy AnalysisDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2005 - Federal funds market (U.S.) - 25 pages |
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... Number of observations is 119. Heteroskedasticity consistent standard errors are reported in parentheses . Coefficients in bold are significant at 5 % . e R Constant Variable ( std err ) ( std err ) ( std err ) Timing ( std err ) R ...
... Number of observations is 119. Heteroskedasticity consistent standard errors are reported in parentheses . Coefficients in bold are significant at 5 % . e R Constant Variable ( std err ) ( std err ) ( std err ) Timing ( std err ) R ...
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... Number of observations is 58. Heteroskedasticity consistent standard errors are reported for the first regression . Bootstrap standard errors , as explained in text , are reported for the second regression . R2 statistics refer to OLS ...
... Number of observations is 58. Heteroskedasticity consistent standard errors are reported for the first regression . Bootstrap standard errors , as explained in text , are reported for the second regression . R2 statistics refer to OLS ...
Common terms and phrases
Adam Copeland Andreas Lehnert Andrew Cohen April asset prices Athanasios Orphanides August basis point Berger bold are significant Bootstrap Brian Sack Business Cycle changes in expected Coefficients in bold consistent standard errors Constant Variable std Covitz current meeting current policy surprise December Dependent Constant Economics Discussion Series effective funds rates Egon Zakrajsek Empirical equation Eric Swanson errors are reported estimated expected interest rates expected rates February federal funds futures federal funds rate financial markets funds futures contracts funds futures rates future FOMC meetings Gürkaynak Heteroskedasticity consistent standard Inflation investors January July Kevin Moore level surprises longer horizons Model monetary policy surprises month November Number of observations October paper policy announcement policy date policy expectations policy on asset policy surprise measure Refet regressions Response of asset Rigobon sample slope component slope surprise Stevens stock prices Takeshi Kimura target rate term premium Tim Bollerslev Ulf Söderström Variable std err yields