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June 06, 2005
Funds Futures: No Decision
Not much change from last week. Together, between 75% and 80% of the probabilities estimated from the October options contract on federal funds futures are on levels of 3.5% or 3.75% (cumulatively) by that time. Interestingly, the estimates are telling us the probability of continued "measured pace" increases through the September FOMC meeting made a comeback after the weak employment report on Friday. Sort of strange, but consistent with the behavior of the bond market over the course of the day.
Here's the pictures:
Here's the data:
Download july_pdfs_060605.xls
Download october_pdfs_060605.xls
And if you are new to this, and are interested in more information on these calculations, you can find it here.
June 6, 2005 in Fed Funds Futures , Federal Reserve and Monetary Policy | Permalink
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Listed below are links to blogs that reference Funds Futures: No Decision :
»
Predicting the Fed's next move
from
Econbrowser
Fed-watching can be something of an arcane sport.... Although playing that game can be fun, it's actually quite easy for anybody to have a very well-informed belief about what we can expect next from the Federal Reserve. [Read More]
Tracked on Jun 8, 2005 2:33:05 PM
»
Predicting the Fed's next move
from
Econbrowser
Fed-watching can be something of an arcane sport.... Although playing that game can be fun, it's actually quite easy for anybody to have a very well-informed belief about what we can expect next from the Federal Reserve. [Read More]
Tracked on Jun 10, 2005 2:10:53 PM
Comments
Posted by:
edward |
June 06, 2005 at 12:50 PM
I guess Fisher's "8th inning" remark had some impact. It appears that after his remarks the odds of 4%, by the Sep 20th meeting, dropped substantially. And the odds of stopping at 3.25% rose slightly.
To me the big surprise was that the odds of 3.5% dropped while 3.75% actually increased! If Fisher's comments were taken to heart, I would think 3.5% would be the most likely rate after the next 3 meetings (25bps on June 30 and 25bps for either Aug or Sep). "Measured pace" is still the favorite!
Posted by:
CalculatedRisk |
June 06, 2005 at 07:32 PM
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Hi,
Just to say thanks quickly for all that linking, will do my best to reciprocate. Meantime there's now a link to your blog in the specialist blogs section on Afoe :).