Discussion Paper
A Simple Macro-Finance Measure of Risk Premia in Fed Funds Futures
Abstract: In this Note, we use rolling covariances between real and nominal activity in a regression framework, combined with a model averaging approach, to uncover intuitive dynamics in the term premium.
https://doi.org/10.17016/2380-7172.2305
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Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: FEDS Notes
Publication Date: 2019-01-08
Number: 2019-01-08