Daily Changes in Fed Funds Futures Prices
研究短期联邦基金期货价格日变化的性质，发现这些合约能很好预测联邦基金利率，但短期合约的期限溢价对异常值敏感，日变化存在微小序列相关，且几乎无法预测超过一天的变化。
This paper explores the properties of daily changes in the prices for near‐term fed funds futures contracts. The paper finds these contracts to be excellent predictors of the fed funds rate, and shows that the claim of a nonzero term premium in the short‐horizon contracts is more sensitive to outliers than previous research appears to have recognized. I find some statistically significant evidence of serial correlation in the daily changes, but this accounts for only a tiny part of the 1‐day movements and there is essentially zero predictability for horizons longer than 1 day. Settlement futures prices for each day appear to incorporate the information embodied in that day's term structure of longer‐horizon Treasury securities. Previous employment growth makes a statistically significant contribution to predicting futures price changes, though again this could only account for a tiny part of the daily variance. The paper concludes that futures prices provide a very useful measure of the daily changes in the market's expectation of near‐term changes in Fed policy.