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A Simple Macro-Finance Measure of Risk Premia in Fed Funds Futures

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Abstract

In this Note, we use rolling covariances between real and nominal activity in a regression framework, combined with a model averaging approach, to uncover intuitive dynamics in the term premium.

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  • Uri Carl & Anthony M. Diercks, 2019. "A Simple Macro-Finance Measure of Risk Premia in Fed Funds Futures," FEDS Notes 2019-01-08, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2019-01-08
    DOI: 10.17016/2380-7172.2305
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    File URL: https://www.federalreserve.gov/econres/notes/feds-notes/simple-macro-finance-measure-of-risk-premia-in-fed-funds-futures-20190108.htm
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    File URL: https://libkey.io/10.17016/2380-7172.2305?utm_source=ideas
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    Cited by:

    1. Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    2. Ricardo J. Caballero & Alp Simsek, 2022. "Monetary Policy with Opinionated Markets," American Economic Review, American Economic Association, vol. 112(7), pages 2353-2392, July.
    3. David S. Miller, 2020. "Intermeeting Rate Cuts as a Response to Rare Disasters," Finance and Economics Discussion Series 2020-076, Board of Governors of the Federal Reserve System (U.S.).

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