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Using Federal Funds Futures Rates to Predict Federal Reserve Actions (ICPSR 1180) RSS

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Summary:

The federal funds futures rate naturally embodies the market's expectation of the average behavior of the federal funds rate. This research points out that analysts cannot attempt to identify federal policy from the behavior of the federal funds futures rate without making somewhat arbitrary additional assumptions. Also studied is the predictive accuracy of a rule based on the federal funds futures rate from October 1988 through August 1997 using an assumption that is sufficient for partially identifying when the market is expecting a federal action but not for predicting the magnitude of the action. The forecasting rule correctly predicts a target change at the one-month horizon only about one-third of the time. The conclusion is that more research is needed, especially in light of the Federal Open Market Commission's (FOMC) recent practice of disclosing policy decisions immediately after FOMC meetings.

Access Notes

  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • These data are freely available.

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Study Description

Citation

Robertson, John C., and Daniel L. Thornton. Using Federal Funds Futures Rates to Predict Federal Reserve Actions. ICPSR01180-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 1998-10-06. http://doi.org/10.3886/ICPSR01180.v1

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Scope of Study

Subject Terms:   Federal Reserve System, monetary policy

Geographic Coverage:   United States

Data Collection Notes:

(1) The file submitted is ND97DATA.RT, an ASCII data file. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

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