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Using Federal Funds Futures Rates to Predict Federal Reserve Actions

Version
v0
Resource Type
Dataset : survey data
Creator
  • Robertson, John C. (Australian National University)
  • Thornton, Daniel L. (Federal Reserve Bank of St. Louis)
Other Title
  • Archival Version (Subtitle)
Publication Date
1998-10-06
Language
English
Free Keywords
Federal Reserve System; monetary policy
Description
  • Abstract

    The federal funds futures rate naturally embodies the market's expectation of the average behavior of the federal funds rate. This research points out that analysts cannot attempt to identify federal policy from the behavior of the federal funds futures rate without making somewhat arbitrary additional assumptions. Also studied is the predictive accuracy of a rule based on the federal funds futures rate from October 1988 through August 1997 using an assumption that is sufficient for partially identifying when the market is expecting a federal action but not for predicting the magnitude of the action. The forecasting rule correctly predicts a target change at the one-month horizon only about one-third of the time. The conclusion is that more research is needed, especially in light of the Federal Open Market Commission's (FOMC) recent practice of disclosing policy decisions immediately after FOMC meetings.
  • Table of Contents

    Datasets:

    • DS1: Dataset
Geographic Coverage
  • United States
Collection Mode
  • (1) The file submitted is ND97DATA.RT, an ASCII data file. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

Availability
Delivery
This version of the study is no longer available on the web. If you need to acquire this version of the data, you have to contact ICPSR User Support (help@icpsr.umich.edu).
Alternative Identifiers
  • 1180 (Type: ICPSR Study Number)
Relations
  • Is previous version of
    DOI: 10.3886/ICPSR01180.v1
Publications
  • Robertson, John C., Thornton, Daniel L.. Using federal funds futures rates to predict federal reserve actions. Federal Reserve Bank of St. Louis Review.79, (6), 45-53.1997.

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Robertson, John C.; Thornton, Daniel L. (1998): Using Federal Funds Futures Rates to Predict Federal Reserve Actions. Archival Version. Version: v0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/ICPSR01180