Authors
Joel T Krueger, Kenneth N Kuttner
Publication date
1996/12/1
Journal
Journal of Futures Markets
Volume
16
Issue
8
Pages
865-879
Description
This paper examines the relationship between the one-and two-month Fed funds futures rates and the observed Fed funds rate. The paper’s main finding is that Fed funds futures rates embody rational forecasts of the spot rate, in the sense that the prediction errors are not forecastable on the basis of readily available information. The results show that short-term changes in Federal Reserve policy contain a significant systematic component, which is accurately anticipated by the financial markets.
Total citations
Scholar articles
JT Krueger, KN Kuttner - Journal of Futures Markets, 1996