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June 20, 2005
This Week's Fed Funds Probabilities
Dave is traveling, so this week's figures are offered without comment. Your comments are invited.
Here are the pictures:
June 20, 2005 in Fed Funds Futures | Permalink
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Comments
Posted by:
michael |
June 20, 2005 at 10:00 AM
My last commment should read "75 bps or more" in the second paragraph rather than "2 and more than 2 hikes".
Posted by:
michael |
June 20, 2005 at 10:15 AM
Measured pace is back! Probably because of the weaker than expected PPI / CPI readings last week.
Posted by:
CalculatedRisk |
June 20, 2005 at 10:49 AM
Would you be able to post the data? Thanks!
Posted by:
Neil |
June 21, 2005 at 04:21 PM
There appears to be something odd in the October Chart between the 3.75% and 4% probabilities. It seems like they are moving opposite each other rather than together. Maybe some sort of liquidity effect as higher chances of rate hikes create a more accurate market in relevant contracts.
Is the data behind the chart going to be made available. It might be interesting to create a 3rd chart that lumps the probabilities of 2 and more than 2 rate hikes by Oct. together.
Even doing that it still looks like the market might be doing something weird by keeping the chance of one more hike constant while moving the other possibilities around quite a bit.