SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Recovering market expectations of FOMC rate changes with options on federal funds futures
14 references·3 citing·51 second hopsampled
Recovering market expectations of FOMC rate changes with options on federal funds futures (2005)Recovering market expectations of FOMC ra…RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS (2005)RELIABLE INFERENCE FOR GMM ES…The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk (2004)The Information Content of Fo…Option‐Implied Risk Aversion Estimates (2004)Option‐Implied Risk Aversion …Futures Prices as Risk-adjusted Forecasts of Monetary Policy (2004)Futures Prices as Risk-adjust…Federal Reserve Transparency and Financial Market Forecasts of Short-Term Interest Rates (2004)Federal Reserve Transparency …Dynamics of the federal funds target rate: a nonstationary discrete choice approach (2004)Dynamics of the federal funds…A Model of the Federal Funds Rate Target (2002)A Model of the Federal Funds …Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis (2001)Improving Federal-Funds Rate …Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis (1997)Recovering an Asset's Implied…European monetary policy (1997)European monetary policyThe Fed funds futures rate as a predictor of federal reserve policy (1996)The Fed funds futures rate as…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Calibration of Option‐Based Probability Assessments in Agricultural Commodity Markets (1990)Calibration of Option‐Based P…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Monetary policy uncertainty (2019)Monetary policy uncertaintyMonetary policy uncertainty, positions of traders and changes in commodity futures prices (2017)Monetary policy uncertainty, …What Are the Odds? Option-Based Forecasts of FOMC Target Changes (2006)What Are the Odds? Option-Bas…Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)GMM for panel count data models (2006)Could financial distortions be no impediment to economic growth after all? Evidence from China (2007)Dynamiczne modele panelowe w badaniach ekonomicznych (2011)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Discretion versus policy rules in practice (1993)Money demand function estimation by nonlinear cointegration (2007)Has ECB communication been helpful in predicting interest rate decisions? An evaluation of the early years of the Economic and Monetary Union (2008)REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)The Information in Long-Maturity Forward Rates (1987)The federal funds rate and the channels of monetary transmission (1989)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)The Science of Monetary Policy: A New Keynesian Perspective (1999)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)The pricing of commodity contracts (1976)The valuation of options for alternative stochastic processes (1976)Density Forecasting: A Survey (2000)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Post-'87 crash fears in the S&P 500 futures option market (2000)Some Generalized Functions for the Size Distribution of Income (2008)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Measuring Monetary Policy (1995)The identification of monetary policy disturbances explaining the liquidity puzzle (1995)Monetary Policy Shocks: What Have We Learned and to What End? (1998)The equity premium: A puzzle (1985)The Econometrics of Financial Markets (1997)Ex Ante Skewness and Expected Stock Returns (2009)Expected Stock Returns and Variance Risk Premia (2009)The Econometrics of Financial Markets (2012)Momentum has its moments (2014)Macroeconomics and Reality (1980)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)Measuring Economic Policy Uncertainty* (2016)When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns (2021)State-level economic policy uncertainty (2022)The Voice of Monetary Policy (2023)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Bond Yields and the Federal Reserve (2005)Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons (2011)Extreme return connectedness and its determinants between clean/green and dirty energy investments (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2004Option‐Implied Risk Aversion Estimates647 cited
  • 1997Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis380 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure356 cited
  • 1996The Fed funds futures rate as a predictor of federal reserve policy262 cited
  • 2002A Model of the Federal Funds Rate Target262 cited
  • 1990Calibration of Option‐Based Probability Assessments in Agricultural Commodity Markets94 cited
  • 2004Dynamics of the federal funds target rate: a nonstationary discrete choice approach86 cited
  • 2005RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS79 cited
  • 2004The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk76 cited
  • 2004Futures Prices as Risk-adjusted Forecasts of Monetary Policy57 cited
  • 2001Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis54 cited
  • 2004Federal Reserve Transparency and Financial Market Forecasts of Short-Term Interest Rates51 cited
  • 1997European monetary policy30 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2019Monetary policy uncertainty476 cited
  • 2017Monetary policy uncertainty, positions of traders and changes in commodity futures prices49 cited
  • 2006What Are the Odds? Option-Based Forecasts of FOMC Target Changes14 cited