Market-based measures of monetary policy expectations

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dc.citation.epage212en_US
dc.citation.issueNumber2en_US
dc.citation.spage201en_US
dc.citation.volumeNumber25en_US
dc.contributor.authorGürkaynak, R. S.en_US
dc.contributor.authorSack, B. P.en_US
dc.contributor.authorSwanson, E. T.en_US
dc.date.accessioned2016-02-08T10:14:46Z
dc.date.available2016-02-08T10:14:46Z
dc.date.issued2007en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractA number of recent articles have used different financial market instruments to measure near-term expectations of the federal funds rate and the high-frequency changes in these instruments around Federal Open Market Committee announcements to measure monetary policy shocks. This article evaluates the empirical success of a variety of financial market instruments in predicting the future path of monetary policy. All of the instruments we consider provide forecasts that are clearly superior to those of standard time series models at all of the horizons considered. Among financial market instruments, we find that federal funds futures dominate all the other securities in forecasting monetary policy at horizons out to six months. For longer horizons, the predictive power of many of the instruments we consider is very similar. In addition, we present evidence that monetary policy shocks computed using the current-month federal funds futures contract are influenced by changes in the timing of policy actions that do not influence the expected course of policy beyond a horizon of about six weeks. We propose an alternative shock measure that captures changes in market expectations of policy over slightly longer horizons.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T10:14:46Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2007en
dc.identifier.doi10.1198/073500106000000387en_US
dc.identifier.eissn1537-2707
dc.identifier.issn0735-0015
dc.identifier.urihttp://hdl.handle.net/11693/23496
dc.language.isoEnglishen_US
dc.publisherTaylor & Francis Inc.en_US
dc.relation.isversionofhttp://dx.doi.org/10.1198/073500106000000387en_US
dc.source.titleJournal of Business and Economic Statisticsen_US
dc.subjectFederal Reserveen_US
dc.subjectFuturesen_US
dc.subjectMonetary policyen_US
dc.titleMarket-based measures of monetary policy expectationsen_US
dc.typeArticleen_US

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