IDEAS home Printed from https://ideas.repec.org/a/fip/fedreq/y2001isprp69-77.html
   My bibliography  Save this article

Using the federal funds futures market to predict monetary policy actions

Author

Listed:
  • Raymond E. Owens
  • Roy H. Webb

Abstract

No abstract is available for this item.

Suggested Citation

  • Raymond E. Owens & Roy H. Webb, 2001. "Using the federal funds futures market to predict monetary policy actions," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 69-77.
    • Handle: RePEc:fip:fedreq:y:2001:i:spr:p:69-77
    as

    Download full text from publisher

    File URL: https://www.richmondfed.org/-/media/RichmondFedOrg/publications/research/economic_quarterly/2001/spring/pdf/owens.pdf
    File Function: Full Text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Söderström, Ulf, 1999. "Predicting monetary policy using federal funds future prices," Working Paper Series 85, Sveriges Riksbank (Central Bank of Sweden).
    2. Marvin Goodfriend, 1997. "Monetary policy comes of age: a 20th century odyssey," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 1-22.
    3. Roy H. Webb, 1987. "The irrelevance of tests for bias in series of macroeconomic forecasts," Economic Review, Federal Reserve Bank of Richmond, vol. 73(Nov), pages 3-9.
    4. John C. Robertson & Daniel L. Thornton, 1997. "Using federal funds futures rates to predict Federal Reserve actions," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 45-53.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. O. David Gulley & Jahangir Sultan, 2011. "Economics, politics and the federal funds markets: does the Fed play politics?," Applied Financial Economics, Taylor & Francis Journals, vol. 21(14), pages 1005-1019.
    2. Robert G. King & Andre Kurmann, 2002. "Expectations and the term structure of interest rates : evidence and implications," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 49-95.
    3. Vicondoa, Alejandro, 2016. "Monetary News, U.S. Interest Rate and Business Cycles in Emerging Economies," Economics Working Papers ECO2016/10, European University Institute.
    4. Gern, Klaus-Jürgen & Gottschalk, Jan & Kamps, Christophe & Sander, Birgit & Scheide, Joachim & Strauß, Hubert, 2001. "Weltwirtschaft vor dem Ende der Talfahrt," Open Access Publications from Kiel Institute for the World Economy 2654, Kiel Institute for the World Economy (IfW Kiel).
    5. Ivando Silva De Faria & Helder Ferreira De Mendonça, 2011. "Financial Market Reactions To Thebrazilian Central Bank’S Decisions," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 108, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    6. Marcello Pericoli, 2005. "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers) 545, Bank of Italy, Economic Research and International Relations Area.
    7. Vicondoa, Alejandro, 2019. "Monetary news in the United States and business cycles in emerging economies," Journal of International Economics, Elsevier, vol. 117(C), pages 79-90.
    8. Adrienne Kearney & Raymond Lombra, 2003. "Fed funds futures and the news," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(4), pages 330-337, December.
    9. Yasuo Nishiyama, 2017. "Open market operations and associated movements of the federal funds rate during the week prior to target changes," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(4), pages 806-828, October.
    10. Sébastien Wälti, 2003. "Contagion and interdependence among Central European economies: the impact of common external shocks," IHEID Working Papers 02-2003, Economics Section, The Graduate Institute of International Studies.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Martin Hlusek, 2002. "Estimating Market Probabilities of Future Interest Rate Changes," Working Papers 2002/02, Czech National Bank.
    2. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
    3. Richard Austin & Jeff Moore, 2002. "The behavior of federal funds futures prices over the monetary policy cycle," Economic Review, Federal Reserve Bank of Atlanta, vol. 87(Q2), pages 45-61.
    4. Erceg, Christopher J. & Levin, Andrew T., 2003. "Imperfect credibility and inflation persistence," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 915-944, May.
    5. Christopher J. Erceg & Andrew T. Levin, 2002. "Optimal monetary policy with durable and non-durable goods," International Finance Discussion Papers 748, Board of Governors of the Federal Reserve System (U.S.).
    6. Akhand Akhtar Hossain, 2009. "Central Banking and Monetary Policy in the Asia-Pacific," Books, Edward Elgar Publishing, number 12777.
    7. Pérez Quirós, Gabriel & Sicilia, Jorge, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Paper Series 192, European Central Bank.
    8. Bennett T. McCallum, 2002. "Recent developments in monetary policy analysis: the roles of theory and evidence," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 67-96.
    9. Monticini & Vaciago, 2004. "Are Europe Interest Rates led by FED's Announcements?," Macroeconomics 0407025, University Library of Munich, Germany.
    10. Sarno, Lucio & Thornton, Daniel L., 2003. "The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1079-1110, June.
    11. 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.
    12. Marvin Goodfriend, 2000. "The role of a regional bank in a system of central banks," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 7-25.
    13. Adrian W. Throop, 1988. "An evaluation of alternative measures of expected inflation," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 27-43.
    14. Adrienne Kearney & Raymond Lombra, 2003. "Fed funds futures and the news," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(4), pages 330-337, December.
    15. Amir Kia, 2011. "Developing a Market-Based Monetary Policy Transparency Index: Evidence from the United States," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 53-80, September.
    16. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
    17. Marvin Goodfriend, 1998. "Using the term structure of interest rates for monetary policy," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 13-30.
    18. Söderström, Ulf, 1999. "Predicting monetary policy using federal funds futures prices," SSE/EFI Working Paper Series in Economics and Finance 307, Stockholm School of Economics.
    19. Christopher J. Erceg & Andrew T. Levin, 2002. "Optimal monetary policy with durable and non-durable goods," International Finance Discussion Papers 748, Board of Governors of the Federal Reserve System (U.S.).
    20. Klug, Adam & Landon-Lane, John S. & White, Eugene N., 2005. "How could everyone have been so wrong? Forecasting the Great Depression with the railroads," Explorations in Economic History, Elsevier, vol. 42(1), pages 27-55, January.

    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:fedreq:y:2001:i:spr:p:69-77. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Christian Pascasio (email available below). General contact details of provider: https://edirc.repec.org/data/frbrius.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.