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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
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 :).