TY  - JOUR
AU  - Hamilton,James D.
TI  - Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13569
PY  - 2007
Y2  - November 2007
UR  - http://www.nber.org/papers/w13569
L1  - http://www.nber.org/papers/w13569.pdf
N1  - Author contact info:
James D. Hamilton
Department of Economics, 0508
University of California, San Diego
9500 Gilman Drive
La Jolla, CA 92093-0508
Tel: 858/534-5986
Fax: 858/534-7040
E-Mail: jhamilton@ucsd.edu
AB  - This paper develops a generalization of the formulas proposed by Kuttner (2001) and others for purposes of measuring the effects of a change in the fed funds target on Treasury yields of different maturities.  The generalization avoids the need to condition on the date of the target change and allows for deviations of the effective fed funds rate from the target as well as gradual learning by market participants about the target. The paper shows that parameters estimated solely on the basis of the behavior of the fed funds and fed funds futures can account for the broad calendar regularities in the relation between fed funds futures and Treasury yields of different maturities.  Although the methods are new, the conclusion is quite similar to that reported by earlier researchers-- changes in the fed funds target seem to be associated with quite large changes in Treasury yields, even for maturities up to ten years.
ER  -