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

页码：543 / 561

页数：19

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