Estimates of the Term Premium on Near-dated Federal Funds Futures ContractsDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2003 - Monetary policy - 39 pages |
Common terms and phrases
1/2 Forecast arbitrage pricing theory Asset Pricing average to zero Benson Durham Brian Sack CAPM D₁ daily data day(s Days to Maturity December Deviation from Target Economics Discussion Series effective federal funds effective funds rate efficient markets hypothesis Error per Month errors in parentheses eurodollar futures contracts expectations hypothesis February 19 federal funds futures federal funds rate Federal Reserve System Financial 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 2003 period market participants market portfolio minus Short Rate 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 standard deviation statistically significant suggests Table target federal funds term federal funds term premium increases term structure variables Weeks to Maturity yield curve