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Using federal funds futures rates to predict Federal Reserve actions

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. The risk of a collision between the Federal Reserve and the markets
    by zooeygoethe in Economic Objectorvism on 2007-11-17 23:42:21

Citations

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Cited by:

  1. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
  2. Sarno, Lucio & Thornton, Daniel L., 2003. "The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1079-1110, June.
  3. Dominique Guégan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 51(1), pages 79-103.
  4. Jorge Inigo, 2017. "Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies," Papers 1703.00923, arXiv.org.
  5. William Poole & Robert Rasche, 2000. "Perfecting the Market's Knowledge of Monetary Policy," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(2), pages 255-298, December.
  6. Martin Hlusek, 2002. "Estimating Market Probabilities of Future Interest Rate Changes," Working Papers 2002/02, Czech National Bank, Research and Statistics Department.
  7. Teik-Khim Ooi & Wee-Yeap Lau, 2021. "Impact of Market Expectations on the U.S. Interest Rate Lift-Off in ASEAN-5 Financial System," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 243-271, June.
  8. Daniel L. Thornton, 1998. "Tests of the market's reaction to federal funds rate target changes," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 25-36.
  9. Nicholas Taylor, 2010. "The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2‐3), pages 399-420, March.
  10. Pérez Quirós, Gabriel & Sicilia, Jorge, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Paper Series 192, European Central Bank.
  11. Raymond E. Owens & Roy H. Webb, 2001. "Using the federal funds futures market to predict monetary policy actions," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 69-77.
  12. Dominique Guegan & Florian Ielpo, 2007. "Flexible time series models for subjective distribution estimation with monetary policy in view," Post-Print halshs-00188247, HAL.
  13. Amir KIA, 2009. "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," EcoMod2009 21500052, EcoMod.
  14. Mr. Kevin Ross, 2002. "Market Predictability of ECB Policy Decisions: A Comparative Examination," IMF Working Papers 2002/233, International Monetary Fund.
  15. Söderström, Ulf, 1999. "Predicting monetary policy using federal funds future prices," Working Paper Series 85, Sveriges Riksbank (Central Bank of Sweden).
  16. Richard Austin & Jeff Moore, 2002. "The behavior of federal funds futures prices over the monetary policy cycle," Economic Review, Federal Reserve Bank of Atlanta, vol. 87(Q2), pages 45-61.
  17. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," PSE-Ecole d'économie de Paris (Postprint) halshs-00368356, HAL.
  18. Daniel L. Thornton, 2000. "The relationship between the federal funds rate and the Fed's federal funds rate target: is it open market or open mouth operations?," Working Papers 1999-022, Federal Reserve Bank of St. Louis.
  19. John S. Lapp & Douglas K. Pearce & Surachit Laksanasut, 2003. "The Predictability of FOMC Decisions: Evidence from the Volcker and Greenspan Chairmanships," Southern Economic Journal, John Wiley & Sons, vol. 70(2), pages 312-327, October.
  20. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Post-Print halshs-00368356, HAL.
  21. 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.
  22. Dunbar, Kwamie & Amin, Abu S., 2015. "The nature and impact of the market forecasting errors in the Federal funds futures market," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 174-192.
  23. 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.
  24. N. K. Kishor & H. A. Marfatia, 2013. "Does federal funds futures rate contain information about the treasury bill rate?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(16), pages 1311-1324, August.
  25. Amir Kia, 2011. "Developing a Market-Based Monetary Policy Transparency Index: Evidence from the United States," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 53-80, September.
  26. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
  27. Kim, Hyerim & Kang, Kyu Ho, 2022. "The Bank of Korea watch," Journal of International Money and Finance, Elsevier, vol. 126(C).
  28. V. Vance Roley & Gordon H. Sellon, 1998. "Market reaction to monetary policy nonannouncements," Research Working Paper 98-06, Federal Reserve Bank of Kansas City.
  29. Brian P. Sack, 2002. "Extracting the expected path of monetary policy from futures rates," Finance and Economics Discussion Series 2002-56, Board of Governors of the Federal Reserve System (U.S.).
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