What are the odds? Option-based forecasts of FOMC target changes

被引：0
|
作者：
Emmons, William R. [1 ]
Lakdawala, Aeimit K. [1 ]
Neely, Christopher J. [1 ]
机构：
[1] Fed Reserve Bank, St Louis, MO USA
来源：
FEDERAL RESERVE BANK OF ST LOUIS REVIEW | 2006年 / 88卷 / 06期
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D O I：
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中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article uses probability forecasts derived from options to assess evolving market uncertainty about Federal Reserve monetary policy actions in a variety of recent events and episodes. Options on federal funds futures contracts reveal a complete probability density function over possible Federal Reserve target rates, thus augmenting the expectations provided by federal funds futures contracts. Option-based forecasts are most useful when more than two federal funds target outcomes are plausible at an upcoming policy meeting. (JEL E47, E52, G13)
引用
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页码：543 / 561
页数：19
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