✦ LIBER ✦

Fed funds futures and the news

✍ Scribed by Adrienne A. Kearney; Raymond E. Lombra

Book ID: 105530425
Publisher: Springer US
Year: 2003
Tongue: English
Weight: 638 KB
Volume: 31
Category: Article
ISSN: 0197-4254
DOI: 10.1007/bf02298491

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Daily Changes in Fed Funds Futures Price

Daily Changes in Fed Funds Futures Prices

✍ JAMES D. HAMILTON 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 126 KB

The Fed funds futures rate as a predicto

The Fed funds futures rate as a predictor of federal reserve policy

✍ Krueger, Joel T.; Kuttner, Kenneth N. 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 745 KB

The Federal funds rate is also an ingredient in marc sophisticated measures of monetary policy as described in Bernankc and Mihov (1995) and Strongin (1995). Those measures also incorporate the volumc of nonborrowed and total reserves. 2See, for example, McGee (1995).

Sources of variation in holding returns

Sources of variation in holding returns for fed funds futures contracts

✍ James D. Hamilton; Tatsuyoshi Okimoto 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 673 KB

## Abstract This study relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates. Although evidence for predictable gains from positions in short‐horizon contracts is mixed, we find that gains in long

Credit Spread Changes and Monetary Polic

Credit Spread Changes and Monetary Policy Surprises: The Evidence from the Fed Funds Futures Market

✍ XIAONENG ZHU* 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 658 KB

This study analyzes the impact of monetary policy actions on credit spreads of various rating categories and maturities, using federal funds futures to distinguish between anticipated and unanticipated changes in the federal funds rate. Two proxies for monetary policy shocks are the surprise change

Using Survey Data to Correct the Bias in

Using Survey Data to Correct the Bias in Policy Expectations Extracted from Fed Funds Futures

✍ HIBIKI ICHIUE; TOMONORI YUYAMA 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 282 KB

Optimal portfolios for commodity futures

Optimal portfolios for commodity futures funds

✍ B. Wade Brorsen; Louis P. Lukac 📂 Article 📅 1990 🏛 John Wiley and Sons 🌐 English ⚖ 699 KB

ommodity futures funds are an important part of today's futures markets. Orga-C nized as limited partnerships, these funds range in size from a few hundred thousand up to several hundred million dollars in capital. With this capital, Brorsen and Irwin (1987) estimated funds held an average of 23% of