Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes

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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Year of publication:	2020
Authors:	Tanaka, Hiroatsu ; Kim, Don H.
Publisher:	[S.l.] : SSRN
Subject:	Derivat \| Derivative \| Geldmarkt \| Money market \| Zinsderivat \| Interest rate derivative \| Zinsstruktur \| Yield curve \| Theorie \| Theory \| Risikoprämie \| Risk premium \| Geldpolitik \| Monetary policy
Description of contents:	Abstract [papers.ssrn.com]