00000nam 2200000za 4500 9.830117 CaOODSP 20221107145446 cr ||||||||||| 170106s2016 onc |o f|0| 0 eng d CaOODSP eng n-cn--- FB3-5/2016-61E-PDF Fontaine, Jean-Sébastien. What the Fed funds futures tell us about monetary policy uncertainty [electronic resource] / by Jean-Sébastien Fontaine. [Ottawa] : Bank of Canada, 2016. iii, 58 p. Staff working paper, 1701-9397 ; 2016-61 "December 2016." Includes bibliographic references. 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. gccst Interest rates gccst Capital markets Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2016-61 (CaOODSP)9.806221 PDF 892 KB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2016-61-eng.pdf