A Risk-Premium Adjustment to the Policy Rate Path
Abstract: We offer a method to derive a risk-premium adjustment to the risk-neutral policy rate path implied by raw financial quotes. Our method aims to preserve the information derived from high-frequency data, while also filtering out noise unrelated to future macro-finance conditions.
File(s): File format is application/pdf https://www.chicagofed.org/~/media/publications/chicago-fed-letter/2020/cfl432-pdf.pdf
Provider: Federal Reserve Bank of Chicago
Part of Series: Chicago Fed Letter
Publication Date: 2020