I'm writing a paper where I am using expected federal funds rates at different horizons and wanted to use the OIS as a proxy for what the market expects the FFR to be post FOMC-meetings. However, I can't seem to find the data anywhere. Does anyone know where I can get these and if not, what else I can use as proxies about market expectations about the FFR?
1 Answer
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Just use meeting date OIS - cleanest way to do it.
Sources: inter-dealer brokers such as ICAP, banks, data vendors such as Bloomberg or Reuters.
