Using federal funds futures contracts for monetary policy analysisDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2005 - Business & Economics - 25 pages |
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Adam Copeland Ana Aizcorbe Andreas Lehnert Andrew Cohen April asset prices Athanasios Orphanides August basis point Berger Bernanke and Kuttner bold are significant Bootstrap Brian Sack Business Cycle changes in expected coefficient consistent standard errors Covitz current meeting current policy surprise December defining 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 first funds futures contracts funds futures rates future FOMC meetings Giirkaynak Gurkaynak Inflation intermeeting investors January July Kevin Moore level surprises longer horizons Model monetary policy surprises month November Number of observations October Open Market Operations paper policy announcement policy date policy expectations policy on asset policy surprise measure R2 Constant Refet regressions Response of asset Rigobon sample slope component slope surprise Stevens stock prices Takeshi Kimura target rate term premium two-year yield Variable std err
Bibliographic information
| Title | Using federal funds futures contracts for monetary policy analysis Volumes 5-29 of Finance and economics discussion series |
| Authors | Refet S. Gürkaynak, Board of Governors of the Federal Reserve System (U.S.) |
| Publisher | Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2005 |
| Original from | Cornell University |
| Digitized | Aug 16, 2011 |
| Length | 25 pages |
| Subjects | › Business & Economics / Money & Monetary Policy Federal funds market (United States) Monetary policy |
| Export Citation | BiBTeX EndNote RefMan |