Gürkaynak, Refet S.; Sack, Brian; Swanson, Eric - Federal Reserve Bank of San Francisco - 2006
financial markets in general have become better
at predicting the federal funds rate since the mid-1990s, although this … financial markets to price these securities off of
one another at longer maturities. Finally, the optimal linear combination … intended to capture policy
changes that, from the point of view of the private sector and financial markets, are exogenous …