A Simple Macro-Finance Measure of Risk Premia in Fed Funds Futures

Uri Carl and Anthony M. Diercks
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Anthony M. Diercks: https://www.federalreserve.gov/econres/anthony-m-diercks.htm

No 2019-01-08, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this Note, we use rolling covariances between real and nominal activity in a regression framework, combined with a model averaging approach, to uncover intuitive dynamics in the term premium.

Date: 2019-01-08
New Economics Papers: this item is included in nep-fmk, nep-mac, nep-mon and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2019-01-08

DOI: 10.17016/2380-7172.2305

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