Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes
Posted: 9 Jul 2021
Date Written: November, 2016
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.
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