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...

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...

A number of central banks publish their own business conditions survey based on non-random sampling methods. The results of these surveys influence monetary policy decisions and thus affect expectations in financial markets. To date, however, no one has computed the statistical accuracy of these...

The MICEX Index in August showed a growth of more than 7% with an average of 1677 index points regardless of the fact that crude oil prices saw a downside trend. All of the Industry Indices were growing, of which the Chemical and Petrochemical Index advanced higher than others (17.2%)....

The period under review (between 31 August 2015 and 25 September 2015) saw moderate downtrend for all of the Russian major stock market indicators: the MICEX Index dropped 5.4%, including all sector indices except the Mechanical Engineering Index, and all blue chips showed downside dynamics....

We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model-independent in a general setting that includes the cases...

I propose a simple framework that quantifies the stance of monetary policy as a 'shadow short rate' when the term structure is near the zero lower bound. I demonstrate my framework with a one-factor model applied to Japanese data, including an intuitive economic interpretation of the results,...

Traders worldwide use interest rate options and futures to speculate on future monetary decisions, in particular in countries where the monetary regime is Inflation Targeting (IT). Central Banks under an IT regime tend to define the target rate on scheduled meetings. We propose in this paper a...

The issues of liquidity and price transparency in derivatives markets have taken on greater import given regulatory efforts under way to improve their transparency. To date, the lack of transaction data has impeded the understanding of how the inflation swap and other derivatives markets...