Working Paper

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

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.

https://doi.org/10.17016/2380-7172.1884

Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: FEDS Notes

Publication Date: 2016-11-18

Number: 2016-11-18