Futures prices as risk-adjusted forecasts of monetary policy

• 成果类型: Article
• 署名作者: Piazzesi, Monika; Swanson, Eric T.
• 署名单位: National Bureau of Economic Research; University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.04.003
• 发表日期: 2008
• 页码: 677-691
• 关键词: federal funds futures; monetary policy; risk premia

摘要

Many researchers have used federal funds futures rates as measures of financial markets' expectations of future monetary policy. However, to the extent that federal funds futures reflect risk premia, these measures require some adjustment. In this paper, we document that excess returns on federal funds futures have been positive on average and strongly countercyclical. In parti cular, excess returns are surprisingly well predicted by macroeconomic indicators such as employment growth and financial business-cycle indicators such as Treasury yield spreads and corporate bond spreads. Excess returns on eurodollar futures display similar patterns. We document that simply ignoring these risk premia significantly biases forecasts of the future path of monetary policy. We also show that risk premia matter for some futures-based measures of monetary policy shocks used in the literature. (c) 2008 Elsevier BY. All rights reserved.