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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| 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 |
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| Subject terms | Interest rates Capital markets |
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