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

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.

Author: Refet S. Gurkaynak
Publisher: Bibliogov
Published: 02/06/2013
Pages: 36
Binding Type: Paperback
Weight: 0.18lbs
Size: 9.69h x 7.44w x 0.07d
ISBN: 9781288711536

This title is not returnable