Extracting the Expected Path of Monetary Policy from Futures Rates

Sackley, William H.

doi:10.2469/dig.v34.n4.1588

Cited by 27 publications

(37 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For example, the presence of (possibly time‐varying) risk premia in these market prices may lead to systematically biased forecasts of the future path of monetary policy, as argued by Piazzesi and Swanson () in particular. Other studies, including Durham () and Sack (), however, find only small variation in risk premia in fed funds futures. In addition, as noted by Piazzesi and Swanson (), risk premia seem to change primarily at (relatively low) business‐cycle frequencies, suggesting that our approach of analysing one‐day changes in fed funds futures prices may mitigate the role of such ‘unobserved’ risk premia, by ‘differencing out’ their effect.…”

mentioning

confidence: 82%

Market Set‐up in Advance of Federal Reserve Policy Rate Decisions

Dijk

Lumsdaine

Wel

2016

The Economic Journal

View full text Add to dashboard Cite

This article considers the extent to which the federal (fed) funds futures market prepares for Federal Open Market Committee (FOMC) announcements. We demonstrate that there is often less variation in fed funds futures prices during the period immediately preceding an FOMC announcement than in earlier periods, despite greater trading activity, as the market has already incorporated anticipated signals. We find that macro announcements and central bank officials' congressional testimony are of comparable importance, whereas speeches are relatively unimportant. In addition, macro announcements have stronger effects when they are released during the Fed's 'blackout' period, emphasising important interaction effects.

show abstract

mentioning

confidence: 82%

Market Set‐up in Advance of Federal Reserve Policy Rate Decisions

Dijk

Lumsdaine

Wel

2016

The Economic Journal

View full text Add to dashboard Cite

show abstract

“…It is now widely accepted (Bernanke & Kuttner, 2005;Faust, Swanson, & Wright, 2004;Krueger & Kuttner, 1996;Kuttner, 2001;Rudebusch, 1998;Sack, 2004;Söderström, 2001;Sultan, 2005) that federal funds futures contain useful information for predicting monetary policy. There are several ways to calculate policy surprise using the federal funds futures rate.…”

Section: Calculation Of Monetary Policy Surprisementioning

confidence: 99%

What explains the lack of monetary policy influence on bank holding companies?

Mamun

Hassan

2014

Rev Financ Econ

View full text Add to dashboard Cite

In this paper, we investigate how monetary policy innovations affect the equity returns of bank holding companies (BHCs). We also examine bank characteristics to determine what explains the cross-sectional and timeseries variation in the returns' sensitivity. Similar to non-financial firms, we find that only unanticipated components affect bank equity returns; however, this effect is absent in the second half of our sample period. Smaller, less liquid banks have higher sensitivity; a higher ratio of time deposits to total deposits reduces this sensitivity. A higher ratio of non-interest income to total income also reduces this sensitivity, while capital-constrained banks have a higher sensitivity to monetary policy innovations. We argue that a higher dependence on non-interest income and the use of interest rate derivatives together may explain the disappearing influence of monetary policy on these BHCs.

show abstract

“…If there is no FOMC meeting in the second month, then, the policy surprise in that month is the same as the market surpise from the first month (Surprise m1), assuming that the term premium is unchanged between the first and the second months. Sack (2004) notes that constant term premium at the short end of the yield curve is supported empirically.…”

Section: A No Fomc Meeting In Monthmentioning

confidence: 99%

Monetary policy surprises and the expectations hypothesis at the short end of the yield curve

Demiralp¹

2008

Economics Letters

View full text Add to dashboard Cite

Extracting the Expected Path of Monetary Policy from Futures Rates

Cited by 27 publications

References 0 publications

Market Set‐up in Advance of Federal Reserve Policy Rate Decisions

Market Set‐up in Advance of Federal Reserve Policy Rate Decisions

What explains the lack of monetary policy influence on bank holding companies?

Monetary policy surprises and the expectations hypothesis at the short end of the yield curve

Contact Info

Product

Resources

About