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

Posted: 9 Jul 2021

See all articles by Don H. Kim

Don H. Kim

Board of Governors of the Federal Reserve System

Hiroatsu Tanaka

Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Date Written: November, 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

Kim, Don H. and Tanaka, Hiroatsu, Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes (November, 2016). FEDS Notes No. 2016-11-18, Available at SSRN: https://ssrn.com/abstract=3877845 or http://dx.doi.org/10.17016/2380-7172.1884

Don H. Kim (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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

Hiroatsu Tanaka

Board of Governors of the Federal Reserve System ( email )

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

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