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Estimates of the term premium on near-dated federal funds futures contracts. (2003). Durham, J. Benson.
In: Finance and Economics Discussion Series.
RePEc:fip:fedgfe:2003-19.

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Cited: 13

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Cites: 17

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  1. .

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  2. Bond returns and market expectations. (2013). Costantini, Riccardo ; Altavilla, Carlo ; Carlo Altavilla , ; Giacomini, Raffaella.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:20/13.

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  3. Futures Contract Rates as Monetary Policy Forecasts. (2009). Nobili, Andrea ; Ferrero, Giuseppe.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2009:q:2:a:4.

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  4. Futures prices as risk-adjusted forecasts of monetary policy. (2008). Swanson, Eric ; Piazzesi, Monika.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:55:y:2008:i:4:p:677-691.

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  5. La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières. (2008). Coffinet, Jerome.
    In: Working papers.
    RePEc:bfr:banfra:193.

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  6. Short-term interest rate futures as monetary policy forecasts. (2008). Nobili, Andrea ; Ferrero, Giuseppe.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_681_08.

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  7. Do federal funds futures need adjustment for excess returns? a state-dependent approach. (2007). Bundick, Brent.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp07-08.

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  8. Biases in Monetary Policy Expectations Extracted From Fed Funds Futures and Surveys. (2007). Ichiue, Hibiki ; YUYAMA, TOMONORI .
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:07-e-15.

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  9. Measuring Expectations. (2006). Kjellberg, David.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2006_009.

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  10. Futures prices as risk-adjusted forecasts of monetary policy. (2006). Swanson, Eric ; Piazzesi, Monika.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-23.

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  11. Using federal funds futures contracts for monetary policy analysis. (2005). Gürkaynak, Refet.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-29.

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  12. Futures Prices as Risk-adjusted Forecasts of Monetary Policy. (2004). Swanson, Eric ; Piazzesi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10547.

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  13. Future prices as risk-adjusted forecasts of monetary policy. (2004). Swanson, Eric ; Piazzesi, Monika.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:1.

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References

References cited by this document

  1. Black, Fischer, 1972, Capital Market Equilibrium with Restricted Borrowing, Journal of Business, vol. 45, 444-455.

  2. Bomfim, Antulio, 2003, Monetary Policy and the Yield Curve, Board of Governors of the Federal Reserve System, manuscript.

  3. Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay, 1997, The Econometrics of Financial Markets, Princeton University Press.
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  4. Chen, Nai-fu, Richard Roll, and Stephen A. Ross, 1986, Economic Forces and the Stock Market, Journal of Business, vol. 59, 383-403.

  5. Cochrane, John H., 2001, Asset Pricing, Princeton University Press.
    Paper not yet in RePEc: Add citation now
  6. Durham, J. Benson, 2003, Should Equity Investors `Fight the Central Bank?: The Effect of Monetary Policy on Stock Market Returns, Financial Analysts Journal, forthcoming.
    Paper not yet in RePEc: Add citation now

  7. Gürkaynak, Refet S., Brian Sack, and Eric Swanson, 2002, Market-based Measures of Monetary Policy Expectations, Finance and Economic Discussion Series Working Paper, No. 40 (September), Board of Governors of the Federal Reserve System.

  8. Goldman Sachs, 2001, Message in the Market, Fixed Income Weekly Market Outlook (April 20).
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  9. Jensen, Gerald R., Jeffrey M. Mercer, and Robert R. Johnson, 1996, Business Conditions, Monetary Policy, and Expected Security Returns, Journal of Financial Economics, vol. 40, 213-237.

  10. Krueger, Joel T. and Kenneth N. Kuttner, 1996, The Fed Funds Futures Rate as a Predictor of Federal Reserve Policy, Journal of Futures Markets, vol. 16, 865-879.

  11. Lintner, John, 1965, The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, Review of Economic and Statistics, vol. 47, 13-37.
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  12. Moore, Jeff and Richard Austin, 2002, The Behavior of Federal Funds Futures Prices over the Monetary Policy Cycle, Federal Reserve Bank of Atlanta Economic Review, (Second Quarter), 45-61.

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  14. Roll, Richard, 1977, A Critique of the Asset Pricing Theorys Test: Part I, Journal of Financial Economics, vol. 4, 129-176.
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  15. Rudebusch, Glenn D., Federal Reserve Interest-rate Targeting, Rational Expectations, and the Term Structure, Journal of Monetary Economics, vol. 35, 245-274. Sack, Brian, 2002, Extracting the Expected Path of Monetary Policy from Futures Rates, Finance and Economic Discussion Series Working Paper, No. 56 (December), Board of Governors of the Federal Reserve System.

  16. Söderström, Ulf, 2001, Predicting Monetary Policy with Federal Funds Futures Prices, Journal of Futures Markets, vol. 21, 377-391.

  17. Sharpe, William F., 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, vol. 19, 425-442.

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