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An option for anticipating Fed action

Author

Listed:
  • John B. Carlson
  • William R. Melick
  • Erkin Y. Sahinoz

Abstract

Options contracts on federal funds futures, a new financial instrument introduced earlier this year, can be analyzed to gauge public expectations of future Fed actions. The real bonus is that they can detect differences of opinion when markets see more than two possible outcomes for an FOMC meeting as well as the likelihood associated with each.

Suggested Citation

  • John B. Carlson & William R. Melick & Erkin Y. Sahinoz, 2003. "An option for anticipating Fed action," Economic Commentary, Federal Reserve Bank of Cleveland, issue Sep.
    • Handle: RePEc:fip:fedcec:y:2003:i:sep1
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    File URL: https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/economic-commentary/2003/ec-20030901-an-option-for-anticipating-fed-action-pdf.pdf
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    Citations

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    Cited by:

    1. Jahangir Sultan, 2012. "Options on federal funds futures and interest rate volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(4), pages 330-359, April.
    2. Dominique Guégan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 51(1), pages 79-103.
    3. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," PSE-Ecole d'économie de Paris (Postprint) halshs-00368356, HAL.
    4. Dominique Guegan & Florian Ielpo, 2007. "Flexible time series models for subjective distribution estimation with monetary policy in view," Post-Print halshs-00188247, HAL.
    5. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Post-Print halshs-00368356, HAL.

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