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dc.contributor.authorLloyd, S. P.
dc.date.accessioned2017-11-15T14:45:06Z
dc.date.available2017-11-15T14:45:06Z
dc.date.issued2017-09-20
dc.identifier.otherCWPE1733
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/269304
dc.description.abstractA growing literature has begun to use overnight indexed swap (OIS) rates to measure market expectations of future short-term interest rates. In this paper, I assess the empirical success of OIS rates in predicting the future path of monetary policy. I first compare US OIS rates to federal funds futures (FFFs), which have regularly been used to construct financial market-based measures of interest rate expectations. For the 2002-2016 period, I find that 1 to 11-month OIS rates provide measures of investors' interest rate expectations that are as good as those from comparable-horizon FFFs contracts. More generally, I find that, on average, 1 to 24-month US, UK, Eurozone and Japanese OIS rates accurately measure expectations of future short-term interest rates. To date, many methods used by monetary economists rely on FFFs data to measure monetary policy expectations. This has limited the application of these methods to US data only. Motivated by the results in this paper, researchers can look to OIS rates as a globally-comparable measure of monetary.
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectFederal Funds Futures
dc.subjectOvernight Indexed Swaps
dc.subjectMonetary Policy Expectations
dc.titleOvernight Indexed Swap Market-Based Measures of Monetary Policy Expectations
dc.typeWorking Paper
dc.identifier.doi10.17863/CAM.15503


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