Market-based Measures of Monetary Policy ExpectationsDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2002 - Monetary policy - 39 pages |
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Bank basis points Board of Governors Brian Sack changes coefficient commercial paper compute credit risk day t+k Deposits Term Federal Economics Discussion Series equation estimated eurodollar deposit rates eurodollar futures rate expiration fed funds federal funds futures federal funds loans federal funds market federal funds rate Federal Reserve System Figure Finance and Economics FOMC meeting forecast forward rates funds futures contract funds futures rates funds rate expected Futures Eurodollar Deposits immediate policy setting influenced instruments considered investors Kuttner Libor rates Mark Carlson market instruments market interest rates market-based measures maturities measure monetary policy measures of monetary monetary policy expectations monetary policy shocks month federal funds months ahead overnight federal funds parentheses are robust policy actions predictive power premium quarterly Rē statistic rates at horizons risk premia robust to serially shock measures short-term slightly longer horizons term federal funds term interest rates three-month Treasury bill Two-quarter Y2K dummy variable year-end dummy variable