Information content of the fed funds rates

Jahangir Sultan

Journal of Futures Markets, 2005, vol. 25, issue 8, 753-774

Abstract: This study shows that the Fed Funds spot rate mostly affects the level of key interest rates while the Fed Funds futures rate tends to affect both the level and the volatility. Such effects are more concentrated on the shorter segment of the yield curve. In addition, only an unexpected change in the target rate affects both the level and the volatility of interest rates. Finally, the FOMC's increased disclosure of its policy stance has a calming effect on the volatility of key interest rates. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:753–774, 2005

Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:25:y:2005:i:8:p:753-774

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().