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The Atlanta Fed's macroblog provides commentary on economic topics including monetary policy, macroeconomic developments, financial issues and Southeast regional trends.

Authors for macroblog are Dave Altig and other Atlanta Fed economists.


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January 25, 2007


Do-It-Yourself Funds Rate Probabilities

If you are reading this, chances are you are familiar with these pictures depicting what the future (or the Federal Open Market Committee) might bring for the federal funds rate, as estimated from options of fed funds futures:

   

January_15

March_19

May_22

   

These used to be a regular feature here at macroblog, and have for some time been available daily at the Federal Reserve Bank of Cleveland's website.  They still are, but now the Cleveland site also has a new feature that allows you to customize the estimates, selecting how many alternative rate options you want to consider, whether to include a term premium, and if so how big you want that premium to be.  Knock yourself out. 

January 25, 2007 in Fed Funds Futures | Permalink

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Comments

I like this piece of information about the implied probs. I wonder whether something similar exists for the ECB?

Posted by: Manfred Jaeger | January 26, 2007 at 03:58 AM

Hi Manfred -- Not that I know of. But I'll keep my eyes open.

Posted by: Dave Altig | January 28, 2007 at 09:05 AM

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