Rollover to Zoom 

Description

Federal funds and eurodollar futures contracts are among the most useful instruments for deriving expectations of the future path of monetary policy. However, reading policy expectations from those instruments is complicated by the presence of risk premia. This paper demonstrates how to extract the expected policy path under the assumption that risk premia are constant over time, and under a simple model that allows risk premia to vary. In the latter case, the risk premia are identified under the assumption that policy expectations level out after a long enough horizon. The results provide evidence that the risk premia on these futures contracts vary over time. The impact of this variation is fairly limited for futures contracts with short horizons, but it increases as the horizon of the contracts lengthens.
  • ISBN13: 9781288715510
  • Publisher: Bibliogov
  • Pubilcation Year: 2013
  • Format: Paperback
  • Pages: 00036
Specifications
FormatPaperback
Publication DateFebruary 6, 2013
Primary CategoryPolitical Science/General
Publisher ImprintBibliogov

Finance and Economics Discussion Series:Extracting the Expected Path of Monetary Policy from Futures Rates

Write a Review
This item is unavailable right now.Telling you that an item is out of stock is basically the last thing we wanted to do. We're sorry.Sad Face