Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes

Posted: 22 Oct 2016

See all articles by Hiroatsu Tanaka

Hiroatsu Tanaka

Board of Governors of the Federal Reserve System

Don H. Kim

Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Date Written: November 18, 2016

Abstract

In this note, we examine empirical evidence on term premiums at the very front end, utilizing federal funds futures data as well as responses to the Desk's sell-side survey (Survey of Primary Dealers, or PD survey) and buy-side survey (Survey of Market Participants), and discuss plausible front-end term premium assumptions that one can use to extract probabilities of a rate hike at upcoming meetings from market quotes.

Suggested Citation

Tanaka, Hiroatsu and Kim, Don H., Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes (November 18, 2016). FEDS Notes No. 2016-11-18 https://doi.org/10.17016/2380-7172.1884 , Available at SSRN: https://ssrn.com/abstract=3717184

Hiroatsu Tanaka (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Don H. Kim

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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