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| 001 | 9.830117 |
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| 003 | CaOODSP |
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| 005 | 20221107145446 |
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| 007 | cr ||||||||||| |
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| 008 | 170106s2016 onc |o f|0| 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2016-61E-PDF |
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| 100 | 1 |aFontaine, Jean-Sébastien. |
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| 245 | 10|aWhat the Fed funds futures tell us about monetary policy uncertainty |h[electronic resource] / |cby Jean-Sébastien Fontaine. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2016. |
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| 300 | |aiii, 58 p. |
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| 490 | 1 |aStaff working paper, |x1701-9397 ; |v2016-61 |
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| 500 | |a"December 2016." |
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| 504 | |aIncludes bibliographic references. |
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| 520 | 3 |aThe 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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| 692 | 07|2gccst|aInterest rates |
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| 692 | 07|2gccst|aCapital markets |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-61|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s892 KB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2016-61-eng.pdf |
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