Finance and Economics Discussion Series: Using Federal Funds Futures Contracts for Monetary Policy Analysis - Softcover

Gurkaynak, Refet S

 
9781288711536: Finance and Economics Discussion Series: Using Federal Funds Futures Contracts for Monetary Policy Analysis
Softcover
ISBN 10: 1288711530 ISBN 13: 9781288711536
Publisher: BiblioBazaar, LLC, 2013

Synopsis

Federal funds futures are popular tools for calculating market-based monetary policy surprises. These surprises are usually thought of as the difference between expected and realized federal funds target rates at the current FOMC meeting. This paper demonstrates the use of federal funds futures contracts to measure how FOMC announcements lead to changes in expected interest rates after future FOMC meetings. Using several 'surprises' at different horizons, timing, level, and slope components of unanticipated policy actions are defined. These three components have differing effects on asset prices that are not captured by the contemporaneous surprise measure.

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Publisher
BiblioBazaar, LLC
Publication date
2013
Language
English
ISBN 10 
1288711530
ISBN 13 
9781288711536
Binding
Paperback
Number of pages
36