Extracting the expected path of monetary policy from futures rates
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2002 - Business & Economics - 30 pages
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analysis that follows average level average shape basis risk basis swap behavior Benson Durham Berger Brian Sack component December derive the expected Economics Discussion Series estimate eurodollar futures contracts eurodollar futures rates expectation errors expected federal funds expected path expected policy path Extracting the Expected federal funds futures federal funds rate Federal Reserve Board Finance and Economics ﬁrst funds and eurodollar funds futures contract futures contract expiring Giirkaynak Goldman Sachs Hospital Information Systems identiﬁcation assumption Inﬂation inﬂuenced interest rates investor Jan May Sep January Jegadeesh lib(i Libor rate liquidity long-run level longer horizons March 20 Mark Carlson market participants measures of policy Monetary Policy Rules November October ovemight federal funds paper path of monetary payment Policy from Futures Price proxy retum risk premia embedded Sep Jan September 2002 short horizons short-term interest rates shown in Figure slope factor subsequent three months Swanson Term Premium term structure variation yield curve