Prediction Markets + Market Predictions = Collective Forecasting That Pays Off

Tag Archives: Journal of Monetary Economics

Inferring market expectations from changes in fed funds futures prices

I recently completed a new research paper studying how interest rates of different maturities change with market expectations of what the Fed is going to do next.
Settlement on a fed funds futures contract is based on the average effective fed funds rate over each of the calendar days of a specified month. If a month [...]

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