The probability of the Fed raising rates 3 times in 2017 is above 45%.
What data and formula is used to calculate this probability?
This Financial Times article is published on 17Dec2016.
She portended that three rate rises were in the pipeline for next year, more than had been expected.
Second, the market actually believed her. The sharp rise in bond yields that has followed, with the US 10-year Treasury now yielding more than 2.6 per cent for the first time in more than two years, shows this.
So does the fed funds futures market, where investors place bets on the future path of rates. On election eve, this market put the chance of three rate rises next year at less than 5 per cent. By Wednesday, before Ms Yellen spoke, this had risen to about 30. Now it stands just above 45 per cent.