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
关键词：
D O I：
暂无
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
收藏
页码：543 / 561
页数：19
相关论文
共 50 条
  • [41] Option-Based Demand Response Management for Electric Vehicle Aggregator
    Lai, Shuying
    Qiu, Jing
    Tao, Yuechuan
    Zhao, Junhua
    IEEE TRANSACTIONS ON TRANSPORTATION ELECTRIFICATION, 2024, 10 (02): : 4042 - 4054
  • [42] Bank as a liquidity provider and interest rate discovery: An option-based optimization
    Chang, Chuen-Ping
    Lin, Jyh-Horng
    EXPERT SYSTEMS WITH APPLICATIONS, 2006, 31 (02) : 360 - 369
  • [43] Disclosed Values of Option-Based Compensation - Incompetence, Deliberate Underreporting or the Use of Expected Option Life?
    Bechmann, Ken L.
    Hjortshoj, Toke K.
    EUROPEAN ACCOUNTING REVIEW, 2009, 18 (03) : 475 - 513
  • [44] Transfer price optimization for option-based airline alliance revenue management
    Graf, M.
    Kimms, A.
    INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS, 2013, 145 (01) : 281 - 293
  • [45] A real option-based supply chain project evaluation and scheduling method
    Wagner, Stephan M.
    Padhi, Sidhartha S.
    Zanger, Ingmar
    INTERNATIONAL JOURNAL OF PRODUCTION RESEARCH, 2014, 52 (12) : 3725 - 3743
  • [46] A Dynamic Real Option-Based Investment Model for Renewable Energy Portfolios
    Passos, Aderson Campos
    Street, Alexandre
    Barroso, Luiz Augusto
    IEEE TRANSACTIONS ON POWER SYSTEMS, 2017, 32 (02) : 883 - 895
  • [47] Option-based temperature derivatives as the instruments for elimination of weather risk impacts
    Tumpach, Milos
    Juhaszova, Zuzana
    EKONOMICKY CASOPIS, 2007, 55 (02): : 125 - 144
  • [48] PRICING RISK-ADJUSTED DEPOSIT INSURANCE - AN OPTION-BASED MODEL
    RONN, EI
    VERMA, AK
    JOURNAL OF FINANCE, 1986, 41 (04): : 871 - 895
  • [49] Option-based variables and future stock returns in normal times and recessions
    Acikalin, Ozgur Safak
    Onder, Zeynep
    BORSA ISTANBUL REVIEW, 2024, 24 : 80 - 87
  • [50] Valuation of Deposit Insurance in South Africa Using an Option-Based Model
    Ellyne, Mark
    Cheng, Richard
    AFRICAN DEVELOPMENT REVIEW-REVUE AFRICAINE DE DEVELOPPEMENT, 2014, 26 (01): : 148 - 159
12345