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Board of Governors of the Federal Reserve System (U.S.)
FEDS Notes
Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes
Don H. Kim
Hiroatsu Tanaka
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.


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Don H. Kim & Hiroatsu Tanaka, Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes, Board of Governors of the Federal Reserve System (U.S.), FEDS Notes 2016-11-18, 18 Nov 2016.
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DOI: 10.17016/2380-7172.1884
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