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

Version Date: Oct 6, 1998

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Principal Investigator(s):
John C. Robertson, Australian National University; Daniel L. Thornton, Federal Reserve Bank of St. Louis

https://doi.org/10.3886/ICPSR01180.v1

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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.

Citation

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

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Distributor(s)

Inter-university Consortium for Political and Social Research
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Data Collection Notes

  1. (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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Original Release Date

1998-10-06

Version History

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:

  • 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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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.

  • The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.