Real-time Taylor rules and the federal funds futures market

Charles Evans

Economic Perspectives, 1998, vol. 22, issue Q III, 44-55

Abstract: This article compares movements in the federal funds rate from 1987 through 1997 with predictions from the federal funds market and a Taylor rule using unemployment and core CPI data. Although a Taylor rule using revised data does about as well as the futures market predictions, the best real-time predictions would have produced forecast errors about 50 percent larger than the futures data.

Keywords: Federal funds market (United States); Monetary policy (search for similar items in EconPapers)
Date: 1998
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