Using Survey Data to Correct the Bias in Policy Expectations Extracted from Fed Funds Futures
提出新方法纠正联邦基金期货风险溢价估计偏差，发现2000年以来溢价常为负，与同期负贝塔一致，对研究货币政策预期提取的学者有用。
Many studies estimate risk premiums on federal funds futures to extract monetary policy expectations by assuming that average forecast errors of the expectations are zero or that survey forecasts are good proxies for the expectations. These assumptions, however, may fail due to an unanticipated declining trend in the federal funds rate and to survey respondents' strategic behavior. Consequently, the premiums estimated under these assumptions may be biased. We propose a new method to estimate the premiums and find that the premiums have been often negative since 2000, which is generally consistent with the negative betas observed in the 2000s.