A Simple Macro-Finance Measure of Risk Premia in Fed Funds Futures

Anthony M. Diercks · Uri Carl

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Market Dynamics and Volatility

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In this Note, we use rolling covariances between real and nominal activity in a regression framework, combined with a model averaging approach, to uncover intuitive dynamics in the term premium.

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2013Pricing the term structure with linear regressions 2008Futures prices as risk-adjusted forecasts of monetary policy

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