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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Page 15
... bootstrap replication eo , e1 , and the left - hand side variable are sampled to- gether and timing is estimated for that sample , which is then used in estimating equation ( 14 ) . This procedure is repeated 1000 times and standard ...
... bootstrap replication eo , e1 , and the left - hand side variable are sampled to- gether and timing is estimated for that sample , which is then used in estimating equation ( 14 ) . This procedure is repeated 1000 times and standard ...
Page 19
... bootstrap sample first timing , then slope is estimated and then these are used in estimating ( 16 ) . Standard errors are calculated from the distributions of 1000 bootstrap estimates . The effects of the current policy surprise ( eo ) ...
... bootstrap sample first timing , then slope is estimated and then these are used in estimating ( 16 ) . Standard errors are calculated from the distributions of 1000 bootstrap estimates . The effects of the current policy surprise ( eo ) ...
Page 2
... Bootstrap standard errors , as explained in text , are reported for regressions using timing . R2 statistics refer to OLS goodness - of - fit measures . Coefficients in bold are significant at 5 % . -1.500 0.03 ( 0.964 ) -0.118 ( 0.037 ) ...
... Bootstrap standard errors , as explained in text , are reported for regressions using timing . R2 statistics refer to OLS goodness - of - fit measures . Coefficients in bold are significant at 5 % . -1.500 0.03 ( 0.964 ) -0.118 ( 0.037 ) ...
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