A Risk-Premium Adjustment to the Policy Rate Path

Stefania D'Amico, Vamsi Kurakula and Santiago I. Sordo Palacios

Chicago Fed Letter, 2020, issue 432

Abstract: We offer a method to derive a risk-premium adjustment to the risk-neutral policy rate path implied by raw financial quotes. Our method aims to preserve the information derived from high-frequency data, while also filtering out noise unrelated to future macro-finance conditions.

Keywords: Risk; Risk management (search for similar items in EconPapers)
Date: 2020
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