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What Are the Odds? Option-Based Forecasts of FOMC Target Changes

Version
v1
Resource Type
Dataset : survey data
Creator
  • Emmons, William R. (Federal Reserve Bank of St. Louis)
  • Lakdawala, Aeimit K. (Federal Reserve Bank of St. Louis)
  • Neely, Christopher J. (Federal Reserve Bank of St. Louis)
Other Title
  • Version 1 (Subtitle)
Publication Date
2006-11-29
Funding Reference
  • Federal Reserve Bank of St. Louis. Research Division
Language
English
Free Keywords
forecasting models; markets; monetary policy
Description
  • Abstract

    This article uses the 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.
  • Table of Contents

    Datasets:

    • DS1: Dataset
Collection Mode
  • (1) The file submitted is the data file 0611cnd.xls. (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 investigators if further information is desired.

Availability
Download
This study is freely available to the general public via web download.
Alternative Identifiers
  • 1332 (Type: ICPSR Study Number)
Publications
  • Emmons, William R., Lakdawala, Aeimit K., Neely, Christopher J.. What are the odds? Option-based forecasts of FOMC target changes. Federal Reserve Bank of St. Louis Review.88, (6), 543-561.2006.

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

Emmons, William R.; Lakdawala, Aeimit K.; Neely, Christopher J. (2006): What Are the Odds? Option-Based Forecasts of FOMC Target Changes. Version 1. Version: v1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/ICPSR01332.v1