What the Fed funds futures tell us about monetary policy uncertainty / by Jean-Sébastien Fontaine.: FB3-5/2016-61E-PDF

The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in a loosening cycle, reducing the transmission of target changes to longer maturities. Our results trace the information content of federal funds futures to hedging demand.

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Publication information
Department/Agency Bank of Canada.
Title What the Fed funds futures tell us about monetary policy uncertainty / by Jean-Sébastien Fontaine.
Series title Staff working paper, 1701-9397 ; 2016-61
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Note(s) "December 2016."
Includes bibliographic references.
Publishing information [Ottawa] : Bank of Canada, 2016.
Author / Contributor Fontaine, Jean-Sébastien.
Description iii, 58 p.
Catalogue number
  • FB3-5/2016-61E-PDF
Subject terms Interest rates
Capital markets
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