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
... surprises constitute a large part of the current policy surprise . The coefficient on level is not significantly different from unity , which is consistent with defining level as a parallel shift of short - term expected interest rates ...
... surprises constitute a large part of the current policy surprise . The coefficient on level is not significantly different from unity , which is consistent with defining level as a parallel shift of short - term expected interest rates ...
Page 16
... surprise measure be- comes important . Since the current policy setting surprise is a combination of the timing and level surprises , and the timing surprise has no effect on longer term yields , the eo measure understates the effects ...
... surprise measure be- comes important . Since the current policy setting surprise is a combination of the timing and level surprises , and the timing surprise has no effect on longer term yields , the eo measure understates the effects ...
Page 17
... level surprises on stock prices , measured by the percentage change in S & P 500. The effect using eo is estimated to be -2.93 percent , while it is -3.85 percent using the level surprise . Employing the current rate surprise as the policy ...
... level surprises on stock prices , measured by the percentage change in S & P 500. The effect using eo is estimated to be -2.93 percent , while it is -3.85 percent using the level surprise . Employing the current rate surprise as the policy ...
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