Monetary policy and financial market expectations: what did they know and when did they know it?
AbstractInterest rates sometimes seem to respond to Federal Reserve policy actions in unexpected ways--for example, falling when the Fed " tightens" monetary policy or rising when the Fed "eases" policy. In this article, Michael R. Pakko and David C. Wheelock attempt to demystify such responses. They show how trading in the federal funds futures market reveals public expectations of Federal Reserve actions, and how our knowledge of these expectations can help us interpret the behavior of interest rates.
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Bibliographic InfoArticle provided by Federal Reserve Bank of St. Louis in its journal Review.
Volume (Year): (1996)
Issue (Month): Jul ()
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- John C. Robertson & Daniel L. Thornton, 1997. "Using federal funds futures rates to predict Federal Reserve actions," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 45-53.
- Söderström, Ulf, 1999.
"Predicting monetary policy using federal funds futures prices,"
Working Paper Series in Economics and Finance
307, Stockholm School of Economics.
- Söderström, Ulf, 1999. "Predicting monetary policy using federal funds future prices," Working Paper Series 85, Sveriges Riksbank (Central Bank of Sweden).
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