I am trying to derive the monthly series from 2000-2019 of the expectations of federal funds rate based on federal funds futures.

How should I proceed? Where to look? Is it possible?

  • $\begingroup$ It is not as straightfoward as you may think quant.stackexchange.com/questions/18890/… $\endgroup$ – Alex C Jul 2 '19 at 0:22
  • $\begingroup$ You are correct, cannot access historical data. $\endgroup$ – user508281 Jul 2 '19 at 0:41
  • $\begingroup$ I'm not quite clear what you're looking for - expectations are for future events but you're asking about the past. Market expectations of future rate movements vary; the expectation of a cut a month before a meeting date could turn into an expectation of a hike a week before the same date. $\endgroup$ – Phil H Jul 2 '19 at 8:19
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    $\begingroup$ To be more precise, I am trying to derive the series of l expectations based on fed funds futures in the past. For example, based on futures what did the market expect in January 2000 and so on up till the latest date. $\endgroup$ – user508281 Jul 3 '19 at 2:23

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