Journal Article
How well does the federal funds futures rate predict the future federal funds rate?
Abstract: Contrary to popular belief, federal funds futures rates do not tell us precisely where the market thinks federal funds rates will be in the future. On average, futures rates overpredict future fed funds rates, and, depending on whether fed funds rates are falling or rising, the futures rate may consistently overestimate or underestimate the future fed funds rates. To obtain a reliable estimate of the future fed funds rate, one must adjust the fed funds futures rate appropriately to account for the bias and past movements of the fed funds rate.
Keywords: Federal funds rate;
Access Documents
File(s):
File format is text/html
https://fraser.stlouisfed.org/title/4515/item/627749
Description: Full Text
File(s):
File format is application/pdf
https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/economic-commentary/2001/ec-20011001-how-well-does-the-federal-funds-futures-rate-predict-the-future-federal-funds-rate-pdf.pdf
Description: Full Text
Authors
Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Economic Commentary
Publication Date: 2001
Issue: Oct
Order Number: 1