Federal reserve transparency and financial market forecasts of short-term interest rates
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2004 - Business & Economics - 36 pages
6 pages matching funds rate momentum in this book
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1-quarter-ahead 1-year-ahead 10th percentile 2004 Solid lines 90-day eurodollar rate ability to forecast absolute value Athanasios Orphanides basis points beneﬁts Blue Chip Brian Sack Chicago Mercantile Exchange component of FOMC cross-sectional dispersion December downward trend Economics Discussion Series estimated eurodollar futures contract eurodollar options February fed funds federal funds futures federal funds rate Federal Reserve Board Federal Reserve transparency ﬁgures ﬁnancial market forecasts FOMC announcements FOMC meeting forecasts of real forecasts of short-term funds futures contract funds futures forecast funds rate momentum funds rate target funds rate volatility growth and inﬂation implied volatility improvement in ﬁnancial increases in Federal inﬂation targeting interest rate forecast January July June Kuttner Laubach lognormal distribution macroeconomic uncertainty market forecast errors measure Monetary Policy November open market operation private sector forecasts Rasche real GDP growth regressions reported in square short-term interest rates signiﬁcantly surprise component t-statistics reported TABLE TO FIGURE Treasury Bill Rate U.S. economy