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

Posted: 23 Jan 2019 Last revised: 25 Jun 2020

See all articles by Anthony M. Diercks

Anthony M. Diercks

Board of Governors of the Federal Reserve System

Uri Carl

Independent

Date Written: 2019-01-08

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.

Suggested Citation

Diercks, Anthony M. and Carl, Uri, A Simple Macro-Finance Measure of Risk Premia in Fed Funds Futures (2019-01-08). FEDS Notes No. 2019-01-08, Available at SSRN: https://ssrn.com/abstract=3318867 or http://dx.doi.org/10.17016/2380-7172.2305

Anthony M. Diercks (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Uri Carl

Independent

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