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1ndeed ability of ﬁnancial Andrews test anticipate monetary policy April autoregressive process autoregressive properties average basis points behavior Bomﬁm Brian Sack changes in market contemporaneous contract Spec dynamic Economics Discussion Series effective federal Egon Zakrajsek equation estimated eurodollar futures evident expectations hypothesis expected federal funds February federal funds futures federal funds rate Federal Reserve Board ﬁnancial markets ﬁnd ﬁndings ﬁrst ﬁt FOMC policy funds futures contracts funds rate changes funds rate movements funds rate target future changes Granger causality horizon improved predictive inﬂuenced lagged market interest rates market participants market rates market yields markets to anticipate October percent period policy changes policy moves policy rules Policy Surprises predict federal funds predictive power R-squared statistic reﬂect regression Rudebusch serial correlation shift Shiller short-term interest rate short-term rates signiﬁcant slope coefﬁcient small sample bias speciﬁcation Table term structure three-month Treasury bill yield curve yield spread