Journal Article
What are the odds? option-based forecasts of FOMC target changes
Abstract: This article uses probability forecasts derived from options to assess evolving market uncertainty about Federal Reserve monetary policy actions in a variety of recent events and episodes. Options on federal funds futures contracts reveal a complete probability density function over possible Federal Reserve target rates, thus augmenting the expectations provided by federal funds futures contracts. Option-based forecasts are most useful when more than two federal funds target outcomes are plausible at an upcoming policy meeting.
Access Documents
File(s):
File format is application/pdf
https://fraser.stlouisfed.org/title/review-federal-reserve-bank-st-louis-820/november-december-2006-620744
Description: Full text
Bibliographic Information
Provider: Federal Reserve Bank of St. Louis
Part of Series: Review
Publication Date: 2006
Volume: 88
Issue: Nov
Pages: 543-562