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Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts
16 references·5 citing·36 second hop
Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts (2007)Assessing Monetary Policy Effects Using D…The Effect of Changes in the Federal Funds Rate Target on Market Interest Rates in the 1970s (2012)The Effect of Changes in the …Daily Changes in Fed Funds Futures Prices (2009)Daily Changes in Fed Funds Fu…Futures prices as risk-adjusted forecasts of monetary policy (2008)Futures prices as risk-adjust…Market-Based Measures of Monetary Policy Expectations (2007)Market-Based Measures of Mone…Futures Prices as Risk-Adjusted Forecasts of Monetary Policy (2007)Futures Prices as Risk-Adjust…Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets (2006)Monetary Policy Surprises and…Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts? (2006)Have Increases in Federal Res…Using Federal Funds Futures Contracts for Monetary Policy Analysis (2005)Using Federal Funds Futures C…Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Do Actions Speak Louder Than …Anticipations of Monetary Policy in Financial Markets (2003)Anticipations of Monetary Pol…Market Anticipations of Monetary Policy Actions (2002)Market Anticipations of Monet…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Expectations, Open Market Operations, and Changes in the Federal Funds Rate (2001)Expectations, Open Market Ope…Perfecting the Market's Knowledge of Monetary Policy (2000)Perfecting the Market's Knowl…A Revised Measure of the St. Louis Adjusted Monetary Base (1996)A Revised Measure of the St. …The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)The effect of changes in the …ECB Spillovers and domestic monetary policy effectiveness in small open economies (2019)ECB Spillovers and domestic m…Asset price and monetary policy: the effect of expectations formation (2014)Asset price and monetary poli…The impact of economic news on expected changes in monetary policy (2012)The impact of economic news o…The Microstructure of the U.S. Treasury Market (2007)The Microstructure of the U.S…The Daily and Policy-Relevant Liquidity Effects (2007)The Daily and Policy-Relevant…Econometric policy evaluation: A critique (1976)The making of US monetary policy: Central bank transparency and the neoliberal dilemma (2007)Stock Returns Over the FOMC Cycle (2015)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models (2007)Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections (2007)Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence (2008)The Econometrics of Financial Markets (2012)Do Measures of Monetary Policy in a VAR Make Sense (1998)Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Taking Stock: Monetary Policy Transmission to Equity Markets (2004)Investor sentiment and the stock market’s reaction to monetary policy (2009)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)Are Sticky Prices Costly? Evidence from the Stock Market (2015)Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Do Long-Term Interest Rates Overreact to Short-Term Interest Rates? (1984)What Ends Recessions? (1994)A Skeptical View of the Impact of the Fed’s Balance Sheet (2018)A Reassessment of Monetary Policy Surprises and High-Frequency Identification (2022)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Monetary Policy Rules (1999)Heterogeneous Expectations and Bond Markets (2006)Gradualism, Transparency and the Improved Operational Framework: A Look at Overnight Volatility Transmission* (2009)Why Are Target Interest Rate Changes so Persistent? (2012)The federal funds rate and the channels of monetary transmission (1989)Monetary Policy Shocks: What Have We Learned and to What End? (1998)An Anatomy of Commodity Futures Risk Premia (2011)Countercyclical currency risk premia (2013)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence (2008)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)On Stock Market Returns and Monetary Policy (1997)The Pre-FOMC Announcement Drift (2012)Financial Heterogeneity and the Investment Channel of Monetary Policy (2020)
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References

  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 2004Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements1,566 cited
  • 1989The effect of changes in the federal funds rate target on market interest rates in the 1970s595 cited
  • 2006Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets414 cited
  • 2007Market-Based Measures of Monetary Policy Expectations373 cited
  • 2008Futures prices as risk-adjusted forecasts of monetary policy353 cited
  • 2006Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts?244 cited
  • 2002Market Anticipations of Monetary Policy Actions205 cited
  • 2012The Effect of Changes in the Federal Funds Rate Target on Market Interest Rates in the 1970s187 cited
  • 2003Anticipations of Monetary Policy in Financial Markets157 cited
  • 2007Futures Prices as Risk-Adjusted Forecasts of Monetary Policy139 cited
  • 2000Perfecting the Market's Knowledge of Monetary Policy118 cited
  • 2001Expectations, Open Market Operations, and Changes in the Federal Funds Rate102 cited
  • 2005Using Federal Funds Futures Contracts for Monetary Policy Analysis96 cited

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  • 2009Daily Changes in Fed Funds Futures Prices86 cited
  • 1996A Revised Measure of the St. Louis Adjusted Monetary Base68 cited
  • Cited by

    • 2019ECB Spillovers and domestic monetary policy effectiveness in small open economies28 cited
    • 2007The Daily and Policy-Relevant Liquidity Effects26 cited
    • 2007The Microstructure of the U.S. Treasury Market26 cited
    • 2012The impact of economic news on expected changes in monetary policy22 cited
    • 2014Asset price and monetary policy: the effect of expectations formation19 cited