Using federal funds futures contracts for monetary policy analysis
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2005 - Business & Economics - 25 pages
12 pages matching surprise component in this book
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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