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November 28, 2005
Fed Funds Probabilities: A Peek At March
It's Monday, and that means it's time to report the Carlson-Craig-Melick estimates of what the folks who make their livings in the market for options on federal funds futures think the Federal Open Market Committee is soon to do. At this point, there's not much question about the December meeting...
... and scant more for the January meeting:
So, we'll have to find what excitement we can in the March meeting.
That may not actually seem that exciting, but today the 10-year Treasury note closed at 4.4%. If that doesn't change, and the market prediction for the federal funds rate holds true, that could at least be interesting.
UPDATE: Ooops. I neglected to post the data files this week. Here they are:
Download implied_pdf_december_112505.xls
Download implied_pdf_january_112505.xls
Download Imp_pdf_slides_for_blog_112505.ppt
November 28, 2005 in Fed Funds Futures | Permalink
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Comments
Posted by:
Edward Hugh |
November 29, 2005 at 07:59 AM
A commenter at that blog posted a link to a very interesting discussion about interest rates at Morgan Stanley:
http://www.morganstanley.com/GEFdata/digests/20051128-mon.html#anchor3
Posted by:
liberal |
December 02, 2005 at 10:09 AM
Very interesting site I congratulate
Posted by:
Cell |
July 31, 2006 at 03:28 AM
"today the 10-year Treasury note closed at 4.4%. If that doesn't change, and the market prediction for the federal funds rate holds true, that could at least be interesting."
There's a very interesting discussion of the issues this raises here:
http://www.morganstanley.com/GEFdata/digests/20051128-mon.html#anchor3