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Constructing high-frequency monetary policy surprises from SOFR futures

Miguel Acosta, Connor M. Brennan, and Margaret M. Jacobson
Year of publication:
May 2024
Authors: Acosta, Miguel ; Brennan, Connor M. ; Jacobson, Margaret M.
Publisher: Washington, D.C. : Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board
Subject: Secured Overnight Financing Rate = SOFR | Euromarkt | Euromarkets | Währungsderivat | Currency derivative | Geldpolitik | Monetary policy | Ankündigungseffekt | Announcement effect | Daten | Data | Zeitreihenanalyse | Time series analysis | USA | United States | 2018-2023
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