ECB paper looks at market expectations of Fed policy



The Federal Reserve, Washington, DC

A paper presented to the European Central Bank’s monetary policy conference outlines a new indicator of market expectations of the Federal Reserve’s policy. 

In Monetary policy communication, policy slope and the stock market, Andreas Neuhierl and Michael Weber construct what they call a monetary policy slope. They use changes in futures contracts of different time horizons based on the federal funds rate.

The “slope” is derived from running regressions on changes in the federal funds rate

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