Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes

In this note, we examine empirical evidence on term premiums at the very front end, utilizing federal funds futures data as well as responses to the Desk's sell-side survey (Survey of Primary Dealers, or PD survey) and buy-side survey (Survey of Market Participants), and discuss plausible front-end term premium assumptions that one can use to extract probabilities of a rate hike at upcoming meetings from market quotes

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Year of publication:	2020
Authors:	Tanaka, Hiroatsu ; Kim, Don H.
Publisher:	[S.l.] : SSRN
Subject:	Derivat \| Derivative \| Zinsstruktur \| Yield curve \| Geldmarkt \| Money market \| Zinsderivat \| Interest rate derivative \| Risikoprämie \| Risk premium
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Series:	FEDS Notes ; No. 2016-11-18
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 18, 2016 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014091565