Market-based measures of monetary policy expectations
Refet S. Gurkaynak, Brian Sack, Eric T. Swanson, Board of Governors of the Federal Reserve System (U.S.)
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2002 - Business & Economics - 38 pages
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Bank basis points Board of Govemors Bomﬁm Brian Sack carmot Commercial Paper compute day t+k Economics Discussion Series equation Eric Swanson estimated eurodollar deposit rates eurodollar futures rate expiration F OMC fed funds federal ftmds federal funds futures Federal Funds Loans federal funds rate Federal Reserve System Finance and Economics ﬁndings ﬁrst FOMC meeting forecast forward rates funds futures contract funds futures rates funds rate expected Inﬂation inﬂuenced instruments considered investors Kuttner Libor rates Mark Carlson market instruments market interest rates Market-Based Measures maturities measure monetary policy measures of monetary monetary policy expectations monetary policy shocks months ahead number of days ovemight federal funds parentheses are robust policy actions predictive power premium quarterly R2 statistic rates at horizons reﬂect risk premia robust to serially rolling over ovemight settlement shock measures short-term Signiﬁcance term federal funds term interest rates three-month Treasury bill Two-quarter Y2K dummy variable year-end dummy variable