Extracting the expected path of monetary policy from futures rates

Journal of Futures Markets

Volumn 24, Issue 8, 2004, Pages 733-754

  Sack, Brian ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3042774571     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.20109     Document Type: Article

References (12)

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10. Rudebusch, G. (2002). Term structure evidence on interest rate smoothing and monetary policy inertia. Journal of Monetary Economics, 49, 1161-1187.
11. Shiller, R. J. (1979). The volatility of long-term interest rates and expectations models of the term structure. Journal of Political Economy, 87, 1190-1219.
12. Söderström, U. (2001). Predicting monetary policy with federal funds futures prices. Journal of Futures Markets, 21, 377-391.