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Using the federal funds futures market to predict monetary policy actions

Author Info

Listed author(s):
  • Raymond E. Owens
  • Roy H. Webb

Abstract

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File URL: http://www.richmondfed.org/publications/research/economic_quarterly/2001/spring/pdf/owens.pdf
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Article provided by Federal Reserve Bank of Richmond in its journal Economic Quarterly.

Volume (Year): (2001)
Issue (Month): Spr ()
Pages: 69-77

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Handle: RePEc:fip:fedreq:y:2001:i:spr:p:69-77
Contact details of provider: Web page: http://www.richmondfed.org/

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Keywords: Federal funds market (United States) ; Federal funds rate ; Monetary policy ; Interest rates;

References listed on IDEAS
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  1. Söderström, Ulf, 1999. "Predicting monetary policy using federal funds future prices," Working Paper Series 85, Sveriges Riksbank (Central Bank of Sweden).
  2. Marvin Goodfriend, 1997. "Monetary policy comes of age: a 20th century odyssey," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 1-22.
  3. Roy H. Webb, 1987. "The irrelevance of tests for bias in series of macroeconomic forecasts," Economic Review, Federal Reserve Bank of Richmond, issue Nov, pages 3-9.
  4. 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.
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Cited by:

  1. Robert G. King & André Kurmann, 2002. "Expectations and the term structure of interest rates : evidence and implications," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 49-95.
  2. Gern, Klaus-Jürgen & Gottschalk, Jan & Kamps, Christophe & Sander, Birgit & Scheide, Joachim & Strauß, Hubert, 2001. "Weltwirtschaft vor dem Ende der Talfahrt," Open Access Publications from Kiel Institute for the World Economy 2654, Kiel Institute for the World Economy (IfW).
  3. Adrienne Kearney & Raymond Lombra, 2003. "Fed funds futures and the news," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(4), pages 330-337, December.
  4. Ivando Silva De Faria & Helder Ferreira De Mendonça, 2011. "Financial Market Reactions To Thebrazilian Central Bank’S Decisions," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 108, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  5. Marcello Pericoli, 2005. "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers) 545, Bank of Italy, Economic Research and International Relations Area.
  6. Sébastien Wälti, 2003. "Contagion and interdependence among Central European economies: the impact of common external shocks," IHEID Working Papers 02-2003, Economics Section, The Graduate Institute of International Studies.

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