Sigurd Steffensen

Danmarks Nationalbank (central bank of Denmark)

Havnegade 5

Copenhagen, 1093

Denmark

SCHOLARLY PAPERS

3

DOWNLOADS

294

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
Maik Schmeling, Andreas Schrimpf and Sigurd Steffensen
Goethe University Frankfurt - Department of Finance, Bank for International Settlements (BIS) - Monetary and Economic Department and Danmarks Nationalbank (central bank of Denmark)
Downloads 164 (225,023)

Abstract:

Loading...

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 92 (344,230)

Abstract:

Loading...

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 (528,857)

Abstract:

Loading...

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