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

Gurkaynak, Refet S

 
9781288711536: Finance and Economics Discussion Series: Using Federal Funds Futures Contracts for Monetary Policy Analysis
Couverture souple
ISBN 10 : 1288711530 ISBN 13 : 9781288711536
Editeur : 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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Éditeur
BiblioBazaar, LLC
Date d'édition
2013
Langue
anglais
ISBN 10 
1288711530
ISBN 13 
9781288711536
Reliure
Broché
Nombre de pages
36
Coordonnées du fabricant
non disponible
Personne responsable
non disponible