A Shadow Rate Model of Intermediate-Term Policy Rate Expectations

Marcel A. Priebsch
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Marcel A. Priebsch: https://www.federalreserve.gov/econres/marcel-a-priebsch.htm

No 2017-10-04-1, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This note introduces a shadow rate term structure model based on OIS rates and surveys to quantify federal funds rate expectations and term premiums over horizons ranging from one month to five years. The model implies that term premiums vary over time and can be substantial in magnitude, even at relatively short horizons.

Date: 2017-10-04
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2017-10-04-1

DOI: 10.17016/2380-7172.2056

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