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An option for anticipating Fed action

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Author Info
John B. Carlson
William R. Melick
Erkin Y. Sahinoz

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Abstract

Options contracts on federal funds futures, a new financial instrument introduced earlier this year, can be analyzed to gauge public expectations of future Fed actions. The real bonus is that they can detect differences of opinion when markets see more than two possible outcomes for an FOMC meeting as well as the likelihood associated with each.

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File URL: http://www.clevelandfed.org/research/commentary/2003/0901.pdf
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Publisher Info
Article provided by Federal Reserve Bank of Cleveland in its journal Economic Commentary.

Volume (Year): (2003)
Issue (Month): Sep 1 ()
Pages:
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Handle: RePEc:fip:fedcec:y:2003:i:sep1

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Postal: 1455 East 6th St., Cleveland OH 44114
Phone: 216.579.2000
Web page: http://www.clevelandfed.org/
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Related research
Keywords: Options (Finance) ; Federal funds rate ; Federal Open Market Committee;

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368356_v1, HAL. [Downloadable!]
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This page was last updated on 2009-11-18.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.