Evans, Charles L.; Kuttner, Kenneth N. - Federal Reserve Bank of Chicago - 1998
, especially in light of the low correlation between forecast errors from VARs and those derived from Fed funds futures rates. This … is partly due to a week positive correlation between the VAR forecasts and the futures market errors. Second, Fed funds … models on post-1982 data. Third, time aggregation problems caused by the structure of the Fed funds futures market can …