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Persistent link: https://www.econbiz.de/10003764403
This paper explores the properties of daily changes in the prices for near-term fed funds futures contracts. The paper finds these contracts to be excellent predictors of the fed funds rate, and shows that the claim of a nonzero term premium in the short-horizon contracts is more sensitive to...
Persistent link: https://www.econbiz.de/10003468359
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This paper develops a generalization of the formulas proposed by Kuttner (2001) and others for purposes of measuring the effects of a change in the fed funds target on Treasury yields of different maturities. The generalization avoids the need to condition on the date of the target change and...
Persistent link: https://www.econbiz.de/10012465078
This paper explores the properties of daily changes in the prices for near-term fed funds futures contracts. The paper finds these contracts to be excellent predictors of the fed funds rate, and shows that the claim of a nonzero term premium in the short-horizon contracts is more sensitive to...
Persistent link: https://www.econbiz.de/10012465542
Persistent link: https://www.econbiz.de/10000812958
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