This paper demonstrates how options on federal funds futures, which began trading in March 2003, can be used to recover the implied probability density function (PDF) for future Federal Open Market Committee (FOMC) interest rate outcomes. The discrete nature of the choices made by the FOMC...

A vast literature on the effects of sterilized intervention by the monetary authorities in the foreign exchange markets concludes that intervention systematically moves the spot exchange rate only if it is publicly announced, coordinated across countries, and consistent with the underlying...

This paper reviews analytical work carried out by central banks that participated in the Autumn Meeting of Central Bank Economists on "The evolving inflation process" which the BIS hosted on 28-29 October 2005. The paper first discusses efforts to document the univariate statistical properties...