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Using Federal Funds Futures Rates to Predict Federal Reserve Actions

Author: John C Robertson; Daniel L Thornton; Inter-university Consortium for Political and Social Research.
Publisher: Ann Arbor, Mich. : Inter-university Consortium for Political and Social Research [distributor], 1998.
Series: ICPSR (Series), 1180.
Edition/Format:   Computer file : EnglishView all editions and formats
Database:WorldCat
Summary:
The federal funds futures rate naturally embodies the market's expectation of the average behavior of the federal funds rate. This research points out that analysts cannot attempt to identify federal policy from the behavior of the federal funds futures rate without making somewhat arbitrary additional assumptions. Also studied is the predictive accuracy of a rule based on the federal funds futures rate from October  Read more...
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Material Type: Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: John C Robertson; Daniel L Thornton; Inter-university Consortium for Political and Social Research.
OCLC Number: 61145821
Notes: Title from ICPSR DDI metadata of 2004-10-30.
Details: Mode of access: Intranet.
Series Title: ICPSR (Series), 1180.
Responsibility: John C. Robertson, Daniel L. Thornton

Abstract:

The federal funds futures rate naturally embodies the market's expectation of the average behavior of the federal funds rate. This research points out that analysts cannot attempt to identify federal policy from the behavior of the federal funds futures rate without making somewhat arbitrary additional assumptions. Also studied is the predictive accuracy of a rule based on the federal funds futures rate from October 1988 through August 1997 using an assumption that is sufficient for partially identifying when the market is expecting a federal action but not for predicting the magnitude of the action. The forecasting rule correctly predicts a target change at the one-month horizon only about one-third of the time. The conclusion is that more research is needed, especially in light of the Federal Open Market Commission's (FOMC) recent practice of disclosing policy decisions immediately after FOMC meetings.

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