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This paper demonstrates how options on federal funds futures, which began trading in March 2003, can be used to recover the implied probability density function (PDF) for future Federal Open Market Committee (FOMC) interest rate outcomes. The discrete nature of the choices made by the FOMC...
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An analysis of how federal funds futures markets are efficient processors of information concerning the future path of the fed funds rate and a discussion of some related implications for central-bank policymaking.
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