MARC Record from Library of Congress

LEADER: 02167nam a22002777a 4500
001 2007616267
003 DLC
005 20070717090540.0
007 cr |||||||||||
008 070716s2007 mau sb 000 0 eng
010 $a 2007616267
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aHamilton, James D.
245 10 $aDaily changes in fed funds futures prices$h[electronic resource] /$cJames D. Hamilton.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2007.
490 1 $aNBER working paper series ;$vworking paper 13112
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 7/16/2007.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper explores the properties of daily changes in the prices for near-term fed funds futures contracts. The paper finds these contracts to be excellent predictors of the fed funds rate, and shows that the claim of a nonzero term premium in the short-horizon contracts is more sensitive to outliers than previous research appears to have recognized. I find some statistically significant evidence of serial correlation in the daily changes, but this accounts for only a tiny part of the one-day movements and there is essentially zero predictability for horizons longer than one day. Settlement futures prices for each day appear to incorporate the information embodied in that day's term structure of longer-horizon Treasury securities. Previous employment growth makes a statistically significant contribution to predicting futures price changes, though again this could only account for a tiny part of the daily variance. The paper concludes that futures prices provide a very useful measure of the daily changes in the market's expectation of near-term changes in Fed policy"--National Bureau of Economic Research web site.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 13112.
856 40 $uhttp://papers.nber.org/papers/w13112