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How Do Survey- And Market-Based Expectations Of The Policy Rate Differ?
Saturday, April 23, 2016 3:49
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from Liberty Street Economics
– this post authored by Bonni Brodsky, Marco Del Negro, Joseph Fiorica, Eric LeSueur, Ari Morse, and Anthony Rodrigues
Over the past year, market pricing on interest rate derivatives linked to the federal funds rate has suggested a significantly lower expected path of the policy rate than responses to the New York Fed’s Survey of Primary Dealers (SPD) and Survey of Market Participants (SMP). However, this gap narrowed considerably from December 2015 to January 2016, before widening slightly at longer horizons in March.
Source: http://econintersect.com/pages/contributors/contributor.php?post=201604230545
