Daily changes in fed funds futures prices:
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 outlie...
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13112 |
| Links: | http://papers.nber.org/papers/w13112.pdf |
| Zusammenfassung: | 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 outliers than previous research appears to have recognized. I find some statistically significant evidence of serial correlation in the daily changes, but this accounts for only a tiny part of the one-day movements and there is essentially zero predictability for horizons longer than one day. Settlement futures prices for each day appear to incorporate the information embodied in that day's term structure of longer-horizon Treasury securities. Previous employment growth makes a statistically significant contribution to predicting futures price changes, though again this could only account for a tiny part of the daily variance. The paper concludes that futures prices provide a very useful measure of the daily changes in the market's expectation of near-term changes in Fed policy. |
| Beschreibung: | Literaturverz. S. 19 - 20 |
| Umfang: | 28 S. graph. Darst. 22 cm |
Internformat
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13112 | |
| 500 | |a Literaturverz. S. 19 - 20 | ||
| 520 | 8 | |a 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 outliers than previous research appears to have recognized. I find some statistically significant evidence of serial correlation in the daily changes, but this accounts for only a tiny part of the one-day movements and there is essentially zero predictability for horizons longer than one day. Settlement futures prices for each day appear to incorporate the information embodied in that day's term structure of longer-horizon Treasury securities. Previous employment growth makes a statistically significant contribution to predicting futures price changes, though again this could only account for a tiny part of the daily variance. The paper concludes that futures prices provide a very useful measure of the daily changes in the market's expectation of near-term changes in Fed policy. | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 810 | 2 | |a National Bureau of Economic Research <Cambridge, Mass.> |t NBER working paper series |v 13112 |w (DE-604)BV002801238 |9 13112 | |
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-016908352 | |
Datensatz im Suchindex
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| id | DE-604.BV023593022 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:23:19Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016908352 |
| oclc_num | 255914930 |
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| physical | 28 S. graph. Darst. 22 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Hamilton, James D. 1954- Verfasser (DE-588)122825950 aut Daily changes in fed funds futures prices James D. Hamilton Cambridge, Mass. National Bureau of Economic Research 2007 28 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13112 Literaturverz. S. 19 - 20 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 outliers than previous research appears to have recognized. I find some statistically significant evidence of serial correlation in the daily changes, but this accounts for only a tiny part of the one-day movements and there is essentially zero predictability for horizons longer than one day. Settlement futures prices for each day appear to incorporate the information embodied in that day's term structure of longer-horizon Treasury securities. Previous employment growth makes a statistically significant contribution to predicting futures price changes, though again this could only account for a tiny part of the daily variance. The paper concludes that futures prices provide a very useful measure of the daily changes in the market's expectation of near-term changes in Fed policy. Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13112 (DE-604)BV002801238 13112 http://papers.nber.org/papers/w13112.pdf kostenfrei Volltext |
| spellingShingle | Hamilton, James D. 1954- Daily changes in fed funds futures prices |
| title | Daily changes in fed funds futures prices |
| title_auth | Daily changes in fed funds futures prices |
| title_exact_search | Daily changes in fed funds futures prices |
| title_full | Daily changes in fed funds futures prices James D. Hamilton |
| title_fullStr | Daily changes in fed funds futures prices James D. Hamilton |
| title_full_unstemmed | Daily changes in fed funds futures prices James D. Hamilton |
| title_short | Daily changes in fed funds futures prices |
| title_sort | daily changes in fed funds futures prices |
| url | http://papers.nber.org/papers/w13112.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT hamiltonjamesd dailychangesinfedfundsfuturesprices |