Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes

Don H. Kim and Hiroatsu Tanaka
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Don H. Kim: https://www.federalreserve.gov/econres/don-h-kim.htm
Hiroatsu Tanaka: https://www.federalreserve.gov/econres/hiroatsu-tanaka.htm

No 2016-11-18, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this note, we examine empirical evidence on term premiums at the very front end, utilizing federal funds futures data as well as responses to the Desk's sell-side survey (Survey of Primary Dealers, or PD survey) and buy-side survey (Survey of Market Participants), and discuss plausible front-end term premium assumptions that one can use to extract probabilities of a rate hike at upcoming meetings from market quotes.

Date: 2016-11-18
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2016-11-18

DOI: 10.17016/2380-7172.1884

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