Work

A Simple Macro-Finance Measure of Risk Premia in Fed Funds Futures

Year: 2019

Type: article

Abstract: In this Note, we use rolling covariances between real and nominal activity in a regression framework, combined with a model averaging approach, to uncover intuitive dynamics in the term premium.

Source: FEDS Notes

DOI: 10.17016/2380-7172.2305

Authors: Anthony M. Diercks, Uri Carl

Institutions: Federal Reserve, Federal Reserve Board of Governors

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

OpenAlex ID: W2910819795

FWCI: 3.768

Cites: 4

Cited by: 9

Related to: 10