What Are the Odds? Option-Based Forecasts of FOMC Target Changes (ICPSR 1332)

Principal Investigator(s): Emmons, William R., Federal Reserve Bank of St. Louis; Lakdawala, Aeimit K., Federal Reserve Bank of St. Louis; Neely, Christopher J., Federal Reserve Bank of St. Louis

Summary: This article uses the probability forecasts derived from options to assess evolving market uncertainty about Federal Reserve monetary policy actions in a variety of recent events and episodes. Options on federal funds futures contracts reveal a complete probability density function over possible Federal Reserve target rates, thus augmenting the expectations provided by federal funds futures contracts. Option-based forecasts are most useful when more than two federal funds target outcomes ... (more info)

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Emmons, William R., Aeimit K. Lakdawala, and Christopher J. Neely. What Are the Odds? Option-Based Forecasts of FOMC Target Changes. ICPSR01332-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2006-11-29. doi:10.3886/ICPSR01332.v1

Persistent URL: http://dx.doi.org/10.3886/ICPSR01332.v1

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This survey was funded by:

• Federal Reserve Bank of St. Louis. Research Division

Summary:   This article uses the probability forecasts derived from options to assess evolving market uncertainty about Federal Reserve monetary policy actions in a variety of recent events and episodes. Options on federal funds futures contracts reveal a complete probability density function over possible Federal Reserve target rates, thus augmenting the expectations provided by federal funds futures contracts. Option-based forecasts are most useful when more than two federal funds target outcomes are plausible at an upcoming policy meeting.

Subject Terms:   forecasting models, markets, monetary policy

Data Collection Notes:

(1) The file submitted is the data file 0611cnd.xls. (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 investigators if further information is desired.

Original ICPSR Release:  2006-11-29

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