文章基本信息

标题：Assessing Monetary Policy Effects Using Daily Federal Funds Futures Contracts
本地全文：下载
作者：James D. Hamilton
期刊名称：Federal Reserve Bank of St. Louis Review
印刷版ISSN：0014-9187
出版年度：2008
卷号：90
期号：04
页码：377-394
出版社：Federal Reserve Bank of St. Louis
摘要：This paper develops a generalization of the formulas proposed by Kuttner (2001) and others for purposes of measuring the effects of a change in the federal funds target on Treasury yields of different maturities. The generalization avoids the need to condition on the date of the target change and allows for deviations of the effective fed funds rate from the target as well as gradual learning by market participants about the target. The paper shows that parameters estimated solely on the basis of the behavior of the fed funds and fed funds futures can account for the broad calendar regularities in the relation between fed funds futures and Treasury yields of different maturities. Although the methods are new, the conclusion is quite similar to that reported by earlier researchers¡ª changes in the fed funds target seem to be associated with quite large changes in Treasury yields, even for maturities of up to 10 years. (JEL: E52, E43)