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Extracting the Expected Path of Monetary Policy from Futures Rates
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Extracting the Expected Path of Monetary Policy from Futures Rates (2003)Extracting the Expected Path of Monetary …Market-Based Measures of Monetary Policy Expectations (2006)Market-Based Measures of Mone…Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia (2004)Term Structure Evidence on In…Anticipations of Monetary Policy in Financial Markets (2003)Anticipations of Monetary Pol…Predicting monetary policy with federal funds futures prices (2001)Predicting monetary policy wi…Using Federal Funds Futures Rates to Predict Federal Reserve Actions (1997)Using Federal Funds Futures R…The Fed funds futures rate as a predictor of federal reserve policy (1996)The Fed funds futures rate as…The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures (1996)The Behavior of Interest Rate…Federal Funds Futures as an Indicator of Future Monetary Policy: A Primer (1995)Federal Funds Futures as an I…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…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)MONEY, INCOME, AND CAUSALITY (1972)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The identification of monetary policy disturbances explaining the liquidity puzzle (1995)Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts? (2006)Prediction market accuracy in the long run (2008)An equilibrium characterization of the term structure (1977)On estimating the expected return on the market (1980)Pricing Interest-Rate-Derivative Securities (1990)The Central Tendency: A Second Factor in Bond Yields (1998)Nonlinear Mean Reversion in the Short-Term Interest Rate (2003)Monitoring and Controlling Bank Risk: Does Risky Debt Help? (2005)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Macro Factors and the Term Structure of Interest Rates (2003)Does Central Bank Communication Really Lead to Better Forecasts of Policy Decisions? New Evidence Based on a Taylor Rule Model for the ECB (2009)Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2014)Bayesian Methods for Dynamic Multivariate Models (1998)Measuring Monetary Policy (1998)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Short-Term Interest Rate Futures as Monetary Policy Forecasts (2008)Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks (2015)A Goldilocks Theory of Fiscal Deficits (2022)Intervention from an information perspective (2000)Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations When No Monetary Policy Changes Occur? (2006)Model‐free evaluation of directional predictability in foreign exchange markets (2007)MARKET REACTION TO MONETARY POLICY NONANNOUNCEMENTS (1998)Extracting the Expected Path of Monetary Policy from Futures Rates (2002)Market Predictability of ECB Policy Decisions (2002)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)The Fed's policy decisions and implied volatility (2010)Demographic Effects on the Impact of Monetary Policy (2019)
this work references cited by second hop

References

  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1996The Fed funds futures rate as a predictor of federal reserve policy262 cited
  • 2003Anticipations of Monetary Policy in Financial Markets157 cited
  • 1996The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures153 cited
  • 2004Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia89 cited
  • 1995Federal Funds Futures as an Indicator of Future Monetary Policy: A Primer46 cited
  • 1997Using Federal Funds Futures Rates to Predict Federal Reserve Actions41 cited
  • 2006Market-Based Measures of Monetary Policy Expectations36 cited
  • 2001Predicting monetary policy with federal funds futures prices16 cited

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