Sigurd Steffensen

Danmarks Nationalbank (central bank of Denmark)

Havnegade 5

Copenhagen, 1093

Denmark

SCHOLARLY PAPERS

3

DOWNLOADS

303

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Monetary Policy Expectation Errors

Number of pages: 73 Posted: 08 Apr 2020 Last Revised: 13 Apr 2021
Goethe University Frankfurt - Department of Finance, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Danmarks Nationalbank (central bank of Denmark)
Downloads 170 (219,777)

Abstract:

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Fed funds futures, overnight index swaps, forecast evaluation, expectation formation, monetary policy

2.

Countercyclical Expected Returns

Number of pages: 28 Posted: 10 Apr 2020
Aarhus University - CREATES, Aarhus University - CREATES and Danmarks Nationalbank (central bank of Denmark)
Downloads 95 (339,557)

Abstract:

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Survey data, rational expectations, extrapolative expectations

3.

Return Predictability in Federal Funds Futures: Is it There?

Number of pages: 38 Posted: 27 May 2020
Sigurd Steffensen
Danmarks Nationalbank (central bank of Denmark)
Downloads 38 (532,168)

Abstract:

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Return Predictability, Forecasting, Federal Funds Futures, Dynamic Model Averaging, Complete Subset Regressions, Expectations Hypothesis, Monetary Policy