A Shadow Rate Model of Intermediate-Term Policy Rate Expectations
Posted: 16 Oct 2017
Date Written: October 04, 2017
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.
Suggested Citation: Suggested Citation
Priebsch, Marcel, A Shadow Rate Model of Intermediate-Term Policy Rate Expectations (October 04, 2017). FEDS Notes No. 2017-10-04-1 https://doi.org/10.17016/2380-7172.2056, Available at SSRN: https://ssrn.com/abstract=3713415
Marcel Priebsch (Contact Author)
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
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