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Journal Article
Everyman's interest rate forecast

FRBSF Economic Letter

Futures margin and excess volatility

Chicago Fed Letter , Issue Jun

Journal Article
Statement to Congress, February 7, 1991 (Title III of S.207, The Intermarket Coordination Act of 1991)

Federal Reserve Bulletin , Issue Apr , Pages 238-240

Journal Article
An imperfect crystal ball

The futures market is not a perfect crystal ball. In some cases, it accurately forecasts what spot prices will be in the future. But not always.
The Regional Economist , Issue Jan. , Pages 10-11

Journal Article
Using federal funds futures rates to predict Federal Reserve actions

The federal funds futures rate naturally embodies the market's expectation of the average behavior of the federal funds rate. But, as John C. Robertson and Daniel L. Thornton explain, analysts cannot attempt to identify Fed policy from the behavior of the federal funds futures rate without making somewhat arbitrary additional assumptions. The authors investigate the predictive accuracy of a rule based on the federal funds futures rate from October 1988 through August 1997 using an assumption that is sufficient for partially identifying when the market is expecting a Fed action but not for ...
Review , Issue Nov , Pages 45-53

Working Paper
Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract

Prior research documents unusually high returns on the last trading day of the month and over the next three consecutive trading days. This phenomenon is known as the turn-of-the-month (TOTM) effect. According to Siegel (1998), why these anomalies occur is not well understood, and whether they will continue to be significant in the future is an open question. In this paper, we examine the S&P 500 futures contract for evidence that turn-of-the-month effects have continued. Transaction costs are low for index futures, and the absence of short-sale restrictions makes index futures an attractive ...
FRB Atlanta Working Paper , Paper 2000-11

Journal Article
The effects of price limits on trading volume: a study of the cotton futures market

Will trading volume shift from a market with price limits to a closely related market without them? An examination of the U.S. cotton market reveals that trading volume does in fact move from a class of security that is subject to trading limits (cotton futures) to another that is not (options on cotton futures). The results add to the debate on trading limits by calling into question the limits' overall effectiveness.
Current Issues in Economics and Finance , Volume 3 , Issue Jan

Working Paper
Inferring Term Rates from SOFR Futures Prices

The Alternative Reference Rate Committee, a group of private-sector market participants convened by the Federal Reserve, has recommended that markets transition to the use of the Secured Overnight Financing Rate (SOFR) in financial contracts that currently reference US dollar LIBOR. This paper examines the feasibility of using SOFR futures prices to construct forward-looking term reference rates that are conceptually similar to the term LIBOR rates commonly used in loan contracts. We show that futures-implied term SOFR rates have closely tracked federal funds OIS rates over the eight months ...
Finance and Economics Discussion Series , Paper 2019-014

Journal Article
Has programmed trading made stock prices more volatile?

Review , Issue May , Pages 18-29

Journal Article
Money market futures

Virtually all financial innovation in the U.S. money market during the past 20 years has centered on interest rate derivatives, including futures and swaps. Furthermore, money market futures--especially futures contracts on Eurodollar time deposits--have been at the vanguard of the recent explosion of trading activity in interest rate derivatives. While futures markets traditionally have been viewed as markets for the transfer of price risk, recent research shows that they may serve other important economic functions as well.
Economic Review , Volume 78 , Issue Nov , Pages 19-37



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Moser, James T. 15 items

Sarkar, Asani 12 items

Kupiec, Paul H. 6 items

Merrick, John J. 6 items

Locke, Peter 5 items

Wu, Lifan 5 items

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Futures 123 items

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