What are the odds? Option-based forecasts of FOMC target changes

被引：0
作者：
Emmons, William R. [1 ]
Lakdawala, Aeimit K. [1 ]
Neely, Christopher J. [1 ]
机构：
[1] Fed Reserve Bank, St Louis, MO USA
来源：
FEDERAL RESERVE BANK OF ST LOUIS REVIEW | 2006年 / 88卷 / 06期
关键词：
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article uses probability forecasts derived from options to assess evolving market uncertainty about Federal Reserve monetary policy actions in a variety of recent events and episodes. Options on federal funds futures contracts reveal a complete probability density function over possible Federal Reserve target rates, thus augmenting the expectations provided by federal funds futures contracts. Option-based forecasts are most useful when more than two federal funds target outcomes are plausible at an upcoming policy meeting. (JEL E47, E52, G13)
引用
收藏
页码：543 / 561
页数：19
相关论文
共 14 条
  • [1] Abken PA, 1995, ECON REV, V80, P10
  • [2] ANDERSEN AB, 2002, 198 EUR CENTR BANK
  • [3] BERNANKE BS, 2006, OUTLOOK US EC
  • [4] Testing the stability of implied probability density functions
    Bliss, RR
    Panigirtzoglou, N
    [J]. JOURNAL OF BANKING & FINANCE, 2002, 26 (2-3) : 381 - 422
  • [5] Recovering market expectations of FOMC rate changes with options on federal funds futures
    Carlson, JB
    Craig, BR
    Melick, WR
    [J]. JOURNAL OF FUTURES MARKETS, 2005, 25 (12) : 1203 - 1242
  • [6] Hordahl P., 2005, Review of Finance, V9, P97, DOI 10.1007/s10679-005-2989-7
  • [7] Neely CJ, 2005, FED RESERVE BANK ST, V87, P407
  • [8] NEELY CJ, 2003, MONETARY TRENDS OCT
  • [9] NEELY CJ, 2004, FEDERAL RESERVE APR, P4
  • [10] PIAZZESI M, 2005, 10547 NBER
12