Discussion Paper
A Shadow Rate Model of Intermediate-Term Policy Rate Expectations
Abstract: This note introduces a shadow rate term structure model based on OIS rates and surveys to quantify federal funds rate expectations and term premiums over horizons ranging from one month to five years. The model implies that term premiums vary over time and can be substantial in magnitude, even at relatively short horizons.
https://doi.org/10.17016/2380-7172.2056
Access Documents
File(s): File format is text/html https://www.federalreserve.gov/econres/notes/feds-notes/shadow-rate-model-of-intermediate-term-policy-rate-expectations-20171004.htm
Authors
Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: FEDS Notes
Publication Date: 2017-10-04
Number: 2017-10-04-1