Questions tagged [fed-funds]
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Constructing the FedFunds Yield Curve with jumps at FOMC meetings
When constructing the FedFunds yield curve I want to define the curve based on two separate interpolation schemes. The first on the short end being LogLinear on the discount factors between FOMC ...
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Question regarding the accuracy of CME FedWatch Tool
I just accessed the CME FedWatch Tool at 10:27am ET.
It reported mid price of ZQZ2 as 95.8788 and a corresponding probability of 74.7% of 50bp hike at Dec FOMC meting (vs 75bp).
For December, as this ...
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Why Fed Funds Rate's is higher than U.S. treasury yield on the short term (< 2M)
The current Fed Funds Rate is 1.75% whereas the 1 Month Treasury Rate is at 1.28%. I would have expected the Fed Funds Rate to be lower than Treasury rate on short maturities, what is the reason of ...
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metric for measuring "the expectation of the tightness of monetary policy"
I am looking for a metric for measuring "the expectation of the tightness of monetary policy." I know this is a super vague concept.
My ideal metric is something I can do a "spot price /...
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Number of Fed Rate hikes prices in
Could someone please explain to me how the calculation of the market expected FED rate hikes is done?
Thank you.
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Why did the month-end (ir)regularities in Effective Federal Funds Rate (EFFR) disappear in 2018?
The Federal Funds rate has exhibited regular drops at month ends since beginning of 2015.
(Source: FRED https://fred.stlouisfed.org/series/EFFR)
Some studies (e.g., https://www.mdpi.com/1911-8074/14/...
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Fed fund market after QE
I read that before 2008, reserves of the banking system (vault cash and reserves at the Fed) fluctuated between \$40 billion and \$80 billion. However, as a result of quantitative easing, reserves ...
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US overnight swaps (OIS)
Can you please confirm if the underlying rate of US overnight indexed swaps is SOFR or Fed funds?
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OIS example in Hull's book
In Hull's book (9th edition), on pages 202-203, there is an example for computing the payoff of an OIS that I am confused about. It says suppose in a US 3-month OIS the notional principal is \$100 ...
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Replacing USD OIS discounting based on FED Funds Rate with SOFR discounting
Slightly related to my other question (The exact mechanics of USD OIS Swaps: replacement of USD Libor by SOFR) but nonetheless, this is a separate topic:
US banks fund themselves via EFFR (Effective ...
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