[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/fip/fedgfn/2016-11-18.html
   My bibliography  Save this paper

Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes

Author

Abstract
In this note, we examine empirical evidence on term premiums at the very front end, utilizing federal funds futures data as well as responses to the Desk's sell-side survey (Survey of Primary Dealers, or PD survey) and buy-side survey (Survey of Market Participants), and discuss plausible front-end term premium assumptions that one can use to extract probabilities of a rate hike at upcoming meetings from market quotes.

Suggested Citation

  • Don H. Kim & Hiroatsu Tanaka, 2016. "Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes," FEDS Notes 2016-11-18, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2016-11-18
    DOI: 10.17016/2380-7172.1884
    as

    Download full text from publisher

    File URL: https://www.federalreserve.gov/econresdata/notes/feds-notes/2016/front-end-term-premiums-in-federal-funds-futures-rates-and-implied-probabilities-of-future-rate-hikes-20161118.html
    Download Restriction: no
    File URL: https://libkey.io/10.17016/2380-7172.1884?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Near-term expectations for the federal funds rate
      by thebusinesscycleblog in The business cycle blog on 2016-11-28 18:53:27

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dr. Lucas Marc Fuhrer & Dr. Basil Guggenheim & Dr. Matthias Jüttner, 2018. "What do Swiss franc Libor futures really tell us?," Working Papers 2018-06, Swiss National Bank.
    2. Lucas Marc Fuhrer & Basil Guggenheim & Matthias Jüttner, 2019. "A survey-based estimation of the Swiss franc forward term premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-18, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedgfn:2016-11-18. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ryan Wolfslayer ; Keisha Fournillier (email available below). General contact details of provider: https://edirc.repec.org/data/frbgvus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.