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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.
Keywords: Risk; Risk management;
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Bibliographic Information
Provider: Federal Reserve Bank of Chicago
Part of Series: Chicago Fed Letter
Publication Date: 2020
Issue: 432