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What Fed funds futures tell us about monetary policy uncertainty

Fontaine, Jean-Sébastien - 2016

The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a "path" factor signaling information about future policy actions, which is filtered from federal funds futures data. The uncertainty is highest when it...

Persistent link: https://www.econbiz.de/10011576374

The equity premium and the volatility spread : the role of risk-neutral skewness

Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009

, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and … risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that …

Persistent link: https://www.econbiz.de/10003852916

Estimating the policy rule from money market rates when target rate changes are lumpy

Fontaine, Jean-Sébastien - 2012

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...

Persistent link: https://www.econbiz.de/10009728132

Default dependence : the equity default relationship

Turnbull, Stuart M. (contributor); Yang, Jun (contributor) - 2008

The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...

Persistent link: https://www.econbiz.de/10003641322

Price discovery in Canadian and US 10-year government bond markets

Campbell, Bryan (contributor); Hendry, Scott (contributor) - 2007

This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information...

Persistent link: https://www.econbiz.de/10003560539