The Atlanta Fed's macroblog provides commentary and analysis on economic topics including monetary policy, macroeconomic developments, inflation, labor economics, and financial issues.

Authors for macroblog are Dave Altig, John Robertson, and other Atlanta Fed economists and researchers.

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January 16, 2006

Last Week Ends Like The One Before...

... in the market for options on federal funds futures.  Specifically, the Carlson-Craig-Melick estimates of probabilities for the next two meetings of the Federal Open Market Committee make 25 basis point a lock on January 31, and another 25 basis points in March the favorite (at 60 percent). 

One difference: Expectations for an increase at the March meeting were increasing at the end of the week before last, a trend that continued into last Monday, Tuesday, and Wednesday. But the trade report (which showed continued unwinding of energy effects on import prices), decent news on producer prices, and smaller-than-expected retail sales in December all contributed to a downward movement at the end of last week. 

The story, in pictures:



On the inversion watch: The 10-year Treasury yield closed at 4.35% on Friday.

It's a new quarter at the GSB, so for anyone wondering what this post is all about, you can find an informal discussion here.  For the vets, here's the data:

Download Imp_pdf_slides_for_011306.ppt

Download implied_pdf_january_011306.xls

Download implied_pdf_march_011306.xls

January 16, 2006 in Fed Funds Futures | Permalink


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not sure this time on the rate increases.

walking off a cliff:

i've seen it before. it happens.

if retail trends continue, look out. business cap ex is important this year.

Posted by: anon | January 16, 2006 at 11:09 PM

do you know how they calculate the imp probability?

Posted by: Odell | January 17, 2006 at 09:00 AM

Odell -- If you click on the "Carlson-Craig-Melick" link you will be led to a paper that describes the estimation technique.

Posted by: Dave Altig | January 18, 2006 at 06:28 AM

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